Re: st: Comparing coefficients from two ivregress models

[John Antonakis <John.Antonakis@unil.ch>]

This seems to be the simplest solution!  Thanks T.

Best,
J.

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On 08.09.2011 10:48, Tirthankar Chakravarty wrote:
> Use -gmm- and specify that you want the equations to be considered
> independently (the moment conditions are independent). Note that the
> point estimates are identical from two independent calls to -ivregress
> 2sls- and the corresponding -gmm-. Throughout, "turn" is the included
> endogenous variable.
>
> /**********************************************/
> sysuse auto, clear
> ivregress 2sls mpg gear_ratio (turn = weight length headroom)
> ivregress 2sls mpg gear_ratio length (turn = weight length headroom)
>
> gmm (eq1: mpg - {b1}*turn - {b2}*gear_ratio - {b0}) ///
> 	(eq2: mpg - {c1}*turn - {c2}*gear_ratio -{c3}*length - {c0}), ///
> 	instruments(gear_ratio weight length headroom) ///
> 	onestep winitial(unadjusted, indep)
> test [b2]_cons = [c2]_cons
> /**********************************************/
>
> T
>
> On Thu, Sep 8, 2011 at 1:12 AM, Maarten Buis<maartenlbuis@gmail.com>  wrote:
> > On Thu, Sep 8, 2011 at 9:56 AM, YUNHEE CHANG wrote:
> > > I am estimating two differently-specified IV regressions and trying to compare coefficients between the two models. I tried:
> > >
> > > ivregress 2sls y x1 x2 (x1=z)
> > > est store reg1
> > >
> > > ivregress 2sls y x1 x2 x3 (x1=z)
> > > est store reg2
> > >
> > > test [reg1]_b[x1]=[reg2]_b[x1]
> > >
> > > Then I get "equation [reg1] not found" error. What am I doing wrong?
> > That might have worked after you combined both models with -suest-,
> > but -ivregress- cannot be used together with -suest-. So what you want
> > cannot be done.
> >
> > Sorry,
> > Maarten
> >
> > --------------------------
> > Maarten L. Buis
> > Institut fuer Soziologie
> > Universitaet Tuebingen
> > Wilhelmstrasse 36
> > 72074 Tuebingen
> > Germany
> >
> >
> > http://www.maartenbuis.nl
> > --------------------------
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