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st: -ivreg2- (SJ, SSC) problem


From   Nick Cox <[email protected]>
To   "[email protected]" <[email protected]>
Subject   st: -ivreg2- (SJ, SSC) problem
Date   Tue, 20 Aug 2013 17:15:58 +0100

Florence Neymotin had difficulty posting to the list.

Nick
[email protected]


---------- Forwarded message ----------
From: Florence Neymotin <[email protected]>

Florence Neymotin, Ph.D.
Asst. Professor

Division of Finance and Economics
H. Wayne Huizenga School of Business and Entrepreneurship
Nova Southeastern University
[email protected]

I have had a very odd issue with stata v9.1 which I am using. I ran a
command about 2 years ago, and now that I need to redo my empirical work, I
am rerunning almost LITERALLY the same command, and I am not getting the
output statistics that I should...

more specifically, I run something like:

ivreg2 y (x1=z1 z2) x2 x3 x4, cluster(f1id) ffirst

now, I should get a plethora of test-statistics (including anderson rubin
lr, cragg donald f etc.), but I ONLY get the hansen j, the f-test of
excluded instruments and the shea partial r-squared...

when I ran it two years ago I DID get the right test stats, but now they
don't show up using the same command...so I am lost. I tried updating with
the _1 version of ivreg2, but that makes no difference.

This is very odd and I haven't seen this type of issue before so I thought
someone else might have some insight here...
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