xtivreg ivreg2 區(qū)別

是 否 +2 論壇幣

k人 參與回答

經(jīng)管之家送您一份

應(yīng)屆畢業(yè)生專屬福利!

求職就業(yè)群

趙安豆老師微信：zhaoandou666

經(jīng)管之家聯(lián)合CDA

送您一個(gè)全額獎(jiǎng)學(xué)金名額~ !

立即領(lǐng)取

感謝您參與論壇問題回答

經(jīng)管之家送您兩個(gè)論壇幣！

+2 論壇幣

xtivreg是不是就是所說的2sls?  ivreg2........,gmm2s 名字是什么呢？之前以為后者是2sls�？磥硎腔煜�了。誰能給我簡(jiǎn)單解釋一下呢？

掃碼加我 拉你入群

請(qǐng)注明：姓名-公司-職位

以便審核進(jìn)群資格，未注明則拒絕

分享0 收藏2 回帖

關(guān)鍵詞：XTIVREG IVREG IVR REG 2SLS

    ivreg2 implements a range of single-equation estimation methods for the linear regression model: ordinary least squares
    (OLS), instrumental variables (IV, also known as two-stage least squares, 2SLS), the generalized method of moments (GMM),
    limited-information maximum likelihood (LIML), and k-class estimators.  In the language of IV/GMM, varlist1 are the
    exogenous regressors or included instruments, varlist_iv are the exogenous variables excluded from the regression or
    excluded instruments, and varlist2 the endogenous regressors that are being instrumented.

    ivreg2 will also estimate linear regression models using robust (heteroskedastic-consistent), autocorrelation-consistent
    (AC), heteroskedastic and autocorrelation-consistent (HAC) and cluster-robust variance estimates.

    ivreg2 provides extensions to Stata's official ivregress and newey.  ivreg2 supports the same command syntax as official
    ivregress and (almost) all its options.  The main extensions available are as follows:  two-step feasible GMM estimation
    (gmm2s option) and continuously updated GMM estimation (cue option); LIML and k-class estimation; automatic output of
    overidentification and underidentification test statistics; C statistic test of exogeneity of subsets of instruments
    (orthog() option); endogeneity tests of endogenous regressors (endog() option); test of instrument redundancy (redundant()
    option); kernel-based autocorrelation-consistent (AC), and heteroskedastic and autocorrelation consistent (HAC) standard
    errors and covariance estimation (bw(#) option), with user-specified choice of kernel (kernel() option); default reporting
    of large-sample statistics (z and chi-squared rather than t and F); small option to report small-sample statistics;
    first-stage regressions reported with various tests and statistics for identification and instrument relevance; ffirst
    option to report only these identification statistics and not the first-stage regression results themselves; nofooter
    option to suppress footer of regression output.  ivreg2 can also be used for OLS estimation using the same command syntax
    as official regress and newey.






    xtivreg offers five different estimators for fitting panel-data models in which some of the right-hand-side covariates are
    endogenous.  These estimators are two-stage least-squares generalizations of simple panel-data estimators for exogenous
    variables. xtivreg with the be option uses the two-stage least-squares between estimator.  xtivreg with the fe option uses
    the two-stage least-squares within estimator.  xtivreg with the re option uses a two-stage least-squares random-effects
    estimator.  There are two implementations: G2SLS from Balestra and Varadharajan-Krishnakumar (1987) and EC2SLS from
    Baltagi.  The Balestra and Varadharajan-Krishnakumar G2SLS is the default because it is computationally less expensive.
    Baltagi's EC2SLS can be obtained by specifying the ec2sls option.  xtivreg with the fd option requests the two-stage
    least-squares first-differenced estimator.

    See Baltagi (2008) for an introduction to panel-data models with endogenous covariates.  For the derivation and application
    of the first-differenced estimator, see Anderson and Hsiao (1981).

仔細(xì)看看各個(gè)命令的help文件