[R] 2SLS for panel data, re

[Millo Giovanni]

Dear Chanita,

impossible to tell without a reproducible example. You do not even
include your Stata call.

Assuming you meant 'ivreg2' w/o "t", there are four rows of possible
arguments to it in the help page, but I don't seem to find any switch
for random effects. Are you sure you are not comparing a RE model with a
pooled one?

Best wishes,
Giovanni

Giovanni Millo, PhD
Research Dept.,
Assicurazioni Generali SpA
Via Machiavelli 3,
34132 Trieste (Italy)
tel. +39 040 671184
fax  +39 040 671160


-------------- original message ------------------

Date: Thu, 14 Nov 2013 08:12:33 -0800
From: Chanita Holmes <chanita.holmes at gmail.com>
To: r-help at r-project.org
Subject: [R] 2SLS for panel data, re
Message-ID:
	
<CAEaD0=6SkDOTODbPZZ19LE2ca6YxByXWp+q-GiL1g+8eFB22DA at mail.gmail.com>
Content-Type: text/plain

Hi,

I am trying to estimate a 2sls using panel data (random effect model). I
tried the same estimation in STATA using the ivtreg2 command. However
STATA
and R are giving me two different results. I figure there is something
with
my R code:

iv=plm(formula=wecon~fdistockgdp +trade + polrightsreversed +lnrgdpch +
execleft + muslim2+c100rat +c111rat +yeardum|
polrightsreversed+lnrgdpch+
execleft+muslim2+c100rat+c111rat+yeardum
+lnpop+lnarea+devcountrycomlanguage+bitcum,
data = women, index = c("country", "year"), random.method = c("swar"),
inst.method = c("bvk"), model="random")
summary(iv)

Coefficients :
                    Estimate Std. Error t-value  Pr(>|t|)
(Intercept)       -0.2258528  0.2951301 -0.7653 0.4441954
fdistockgdp       -0.0067207  0.0077315 -0.8693 0.3847993
trade              0.0068462  0.0023687  2.8903 0.0038863 **
polrightsreversed  0.0092366  0.0106174  0.8699 0.3844229
lnrgdpch           0.1246679  0.0389043  3.2045 0.0013724 **
execleft           0.1118046  0.0340817  3.2805 0.0010524 **
muslim2           -0.0044742  0.0012433 -3.5986 0.0003270 ***
c100rat            0.0226208  0.0595134  0.3801 0.7039114
c111rat            0.0165951  0.0618339  0.2684 0.7884310
yeardum1982        0.1479947  0.0588824  2.5134 0.0120282 *
yeardum1983        0.1783255  0.0606153  2.9419 0.0032958 **
yeardum1984        0.0344572  0.0597167  0.5770 0.5639907
yeardum1985        0.2206961  0.0610344  3.6159 0.0003060 ***
yeardum1986        0.2428015  0.0649779  3.7367 0.0001912 ***
yeardum1987        0.0489043  0.0615708  0.7943 0.4271186
yeardum1988        0.2243599  0.0605343  3.7063 0.0002155 ***
yeardum1989        0.2215060  0.0624042  3.5495 0.0003940 ***
yeardum1990        0.0688333  0.0607056  1.1339 0.2569648
yeardum1991        0.1370871  0.0638830  2.1459 0.0319892 *
yeardum1992        0.1851857  0.0630868  2.9354 0.0033655 **
yeardum1993        0.0904620  0.0698526  1.2950 0.1954420
yeardum1994        0.1003735  0.0737431  1.3611 0.1736137
yeardum1995        0.1164818  0.0721240  1.6150 0.1064494
yeardum1996        0.0482520  0.0787232  0.6129 0.5399837
yeardum1997        0.1049161  0.0895001  1.1722 0.2412247
yeardum1998        0.2191887  0.1109757  1.9751 0.0483807 *
yeardum1999        0.1573342  0.1397150  1.1261 0.2602422
yeardum2000        0.1532796  0.1627206  0.9420 0.3463059
---
 However STATA gives me
------------------------------------------------------------
-----------------------
            wecon |      Coef.   Std. Err.      z    P>|z|     [95%
Conf.
Interval]
------------------+-----------------------------------------
-----------------------
            trade |   .0093915   .0027483     3.42   0.001      .004005
.014778
      fdistockgdp |  -.0169171   .0092405    -1.83   0.067    -.0350281
.0011938
polrightsreversed |   .0165855   .0119176     1.39   0.164    -.0067726
.0399436
         lnrgdpch |   .1045675   .0431179     2.43   0.015     .0200579
.189077
         execleft |   .1373652   .0384442     3.57   0.000     .0620159
.2127145
          muslim2 |  -.0043645   .0013551    -3.22   0.001    -.0070205
-.0017085
          c100rat |   .0480539   .0657304     0.73   0.465    -.0807752
.1768831
          c111rat |   .0170048   .0676272     0.25   0.801    -.1155421
.1495516

Really would appreciate any help explaining why the results are so
different

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Ai sensi del D.Lgs. 196/2003 si precisa che le informazi...{{dropped:12}}