st: RE: omitted constant with ivregress 2sls but not with ivregress gmm or ivreg

["Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>]

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
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