st: xtivreg2 gmm2 : robust vs cluster(id) vs bw(#) dkraay(#)

[Paulo Regis <pauloregis.ar@googlemail.com>]

Dear colleagues,

I have a question regarding the command -xtivreg2. Usually, when
working with  robust standard errors,this affects the standard error
of the coefficients but not the coefficients themselves. This is true
in -regress or -xtreg, for example. This is also true in 2SLS (see
example 1 below using xtivreg2 and comparing robust to heterosk and
Clustered SE).

However, I got into trouble when applying the GMM version of
-xtivreg2. In example 2 below, the use of alternative robust standard
errors actually have an impact on the coefficients. In fact, when
using the different roust standard  errors white 1980 (robust),
Clusters (clusters(id)) Newey and West 1987 (bt(#)), Driscoll and
Kraay 1998 (dkraay(#)) available with "xtivreg2   , gmm2", you will
always get not only different standard errors but also different
coefficients.

I woudl appreciate if anyone of this list could give me a hint on why
this is the case for GMM. Also, I would be more tahn appy if you can
point at some references to look at this a bit in more detail. For
example, I have looked at the documentation related to the command
-ivreg2 but I could not find any explanation of this.

Bests,

Paulo


use http://fmwww.bc.edu/ec-p/data/macro/abdata.dta
tsset id year

*Example 1: 2SLS
xtivreg2 ys k (n=l2.n l3.n), fe robust
xtivreg2 ys k (n=l2.n l3.n), fe cluster(id)


*Example 2: GMM
xtivreg2 ys k (n=l2.n l3.n), fe gmm2 robust
xtivreg2 ys k (n=l2.n l3.n), fe gmm2 cluster(id)
*
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