Re: st: ivreg2 and predict?

[Nick Cox <njcoxstata@gmail.com>]

This sounds like a partial installation. You didn't install a file,
ivreg2_p.ado. Perhaps you used a browser. It is much better to use
-ssc- to install.

The contrast is not strange, as -ivregress- is an official command and
all its associated commands are part of your Stata installation.

Nick

On Thu, Mar 24, 2011 at 5:21 PM,  <adrien.Amzallag@ecb.int> wrote:

> I'm trying to run the 'predict' command following the 'ivreg2' command.
> My (simplified) equations are:
>
> ivreg2 i (inf_dev = L.inf_dev) if yq<190, gmm2s bw(auto)
> predict ihat
>
> When I run these, I get the following error: "unrecognized command:
> ivreg2_p" . Is this familiar to anyone?
>
> Strangely, the predict command works with 'ivregress', however I'm
> obliged to use 'ivreg2' as (my 2nd problem) I can't manage to create a
> weighting matrix to correct for *only* autocorrelation and not
> heteroskedasticity as well. In other words, my ivregress command for the
> above equation would be:
>
> ivregress gmm i (inf_dev = L.inf_dev) if yq<190, wmatrix(hac ba opt)
>
> ...but using ivregress in this way produces very different coefficient
> results to the above 'ivreg2' command (which has the AC-only form I
> need).
>
> Any thoughts on these two questions? (1. why the error with 'predict'
> and 'ivreg2', and 2. how to create a weighting matrix to correct only
> for AC not H, using ivregress)
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