Re: st: divergent ivpois and gmm results

[Tirthankar Chakravarty <tirthankar.lists@gmail.com>]

You want to use the one-step GMM estimator using the -onestep- option
to get comparable results to an IV estimator.

T

On Fri, Sep 28, 2012 at 8:15 AM, Dimitriy V. Masterov
<dvmaster@gmail.com> wrote:
> I am trying to replicate the output of Austin Nichols -ivpois- command
> with the gmm command so that I can see if robust errors make a
> difference for my analysis. I found that in simple specifications,
> ivpois and my gmm command yield virtually identical estimates of the
> coefficients and their errors, especially if I used the simple non-IV
> poisson model for the initial values. However, when I added more
> variables, the estimates began to diverge drastically even where there
> did not seem to be any problems with the iterations. If I added two or
> three more variables, my gmm command would get stuck, while ivpois
> would finish without any issues.
>
> I managed to replicate the first problem with one of the three example
> data sets. The other two seem to work perfectly.
>
> Here's my code:
>
> #delimit;
> use http://fmwww.bc.edu/RePEc/bocode/i/ivp_cig.dta, clear;
> loc x "pcigs79 rest79 income age qage educ qeduc famsize white";
> loc z "ageeduc cage ceduc pcigs78 restock";loc y "cigpacks";loc e "k210";
> ivpois `y' `x', endog(`e') exog(`z');
>
> /* Get Initial Values From Simple Poisson */
> qui poisson `y' `x' `e' if e(sample), nolog;
> mat b=e(b);
> gmm (`y' * exp(-{xb: `x' `e'}-{b0})-1), instruments(`x' `z') from(b);
>
> For example, the coefficient on white is pretty different across the
> two models: -.0312757 in ivpois versus -.0902521 with my gmm.
>
> If anyone has any idea what I am doing wrong, I would be very grateful.
>
> DVM
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