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From | "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |
To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
Subject | st: RE: omitted constant with ivregress 2sls but not with ivregress gmm or ivreg |
Date | Mon, 28 Oct 2013 21:52:07 +0000 |
Pablo, You need to give us more details, such as the command lines used. Also, you say > A potential explanation is that the original ivreg code estimated IV by default > with gmm but that's impossible, because Stata's official -ivreg- never implemented GMM. Does -ivreg2- with and without -gmm2s- keep or drop the constant? --Mark > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu [mailto:owner- > statalist@hsphsun2.harvard.edu] On Behalf Of pablo martinelli > Sent: 28 October 2013 15:22 > To: statalist@hsphsun2.harvard.edu > Subject: st: omitted constant with ivregress 2sls but not with ivregress gmm or > ivreg > > Hi all, > I am having some difficulties for replicating some results I get in 2011 with an > earlier version of Stata (I think it was Stata 7 but I am not sure). Now I am using > Stata 11. > The problem is the following. > When I use ivregress 2sls, Stata omits the constant, even though it is not > perfectly collinear with any exogenous or endogenous variables. The > coefficients are slightly modified with respect to the original results. > (the problem doesn't happen when I use ols). > If I use ivregress gmm with robust standard errors I get the original resulst I get > in 2011, except for the constant whose estimated value is somewhat different > from the orginal. F-statistics, R2, etc are also the same. I obtain the same > results with either ivreg and ivreg2. > A potential explanation is that the original ivreg code estimated IV by default > with gmm, though I have not been able to find confirmation of this point. > Some of the regressors are certainly correlated, but not perfectly. > Anyway, I cannot figure out why should the constant be ommited with ivregress > 2sls and not with ivregress gmm. What is the econometric problem here? And > why should in that case any of the two methods (2sls or gmm) preferable to the > other? > Any explanation, suggestion or hint would be highly appreciated. > Best, > Pablo Martinelli > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/faqs/resources/statalist-faq/ > * http://www.ats.ucla.edu/stat/stata/ ----- Sunday Times Scottish University of the Year 2011-2013 Top in the UK for student experience Fourth university in the UK and top in Scotland (National Student Survey 2012) We invite research leaders and ambitious early career researchers to join us in leading and driving research in key inter-disciplinary themes. Please see www.hw.ac.uk/researchleaders for further information and how to apply. Heriot-Watt University is a Scottish charity registered under charity number SC000278. * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/