Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
st: RE: Same results for xtivreg2(2sls/iv) and xtivreg2(gmm2s)
From
"Schaffer, Mark E" <[email protected]>
To
<[email protected]>
Subject
st: RE: Same results for xtivreg2(2sls/iv) and xtivreg2(gmm2s)
Date
Sat, 2 Apr 2011 14:55:10 +0100
Vikram,
They are the same estimation. In your 2-step GMM estimation you haven't
added options for a robust VCV such as -cluster-. The default
assumption is homoskedasticity (this is stated in the regression
output), and under conditional homoskedasticity and independence, the
2-step GMM estimator is the IV estimator.
--Mark
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> vikramfinavker
> Sent: 02 April 2011 13:47
> To: [email protected]
> Subject: st: Same results for xtivreg2(2sls/iv) and xtivreg2(gmm2s)
>
> HI, when i run my following model i got the same results for xtiverg2
> /(2sls/iv) and for xtivreg2 (gmm2s) regression. Could anyone
> please tell me is it possible or am i doing something wrong here?
>
> I used the following syntax;
>
> 2SLS/IV
> xtivreg2 y1 x1 x2 x3 x4 (x5 x6 = z1 z2 z3 z4) yeardummy
> industrydummy, fe
> endog(x5 x6)
>
> GMM
> xtivreg2 y1 x1 x2 x3 x4 (x5 x6 = z1 z2 z3 z4) yeardummy
> industrydummy, gmm2s fe endog(x5 x6)
>
> Please advise me.....
>
> Regards,
>
> Vikram Finavker
>
> --
> View this message in context:
> http://statalist.1588530.n2.nabble.com/Same-results-for-xtivre
> g2-2sls-iv-and-xtivreg2-gmm2s-tp6233762p6233762.html
> Sent from the Statalist mailing list archive at Nabble.com.
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
--
Heriot-Watt University is a Scottish charity
registered under charity number SC000278.
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/