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From | Paulo Regis <pauloregis.ar@googlemail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: xtivreg2 gmm2 : robust vs cluster(id) vs bw(#) dkraay(#) |
Date | Fri, 16 Mar 2012 17:55:48 +0800 |
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) * * 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/