[R] GMM twoStep vs Stata's ivreg2 gmm2s or ivregress coefficients

[Peter Lomas]

Hi R-Help,

I'm replicating IV-GMM models from Stata in R, but get small differences in
coefficients (eg 100.0 vs 100.3); I'm hoping somebody can share anything
they've learned attempting the same thing.  The linear models match
exactly, so there isn't a data problem. With both help files I've matched
the arguments I think I can (Bartlett, bandwidth, errors), and experimented
with others, but can't close the gap.

Suggestions appreciated if people have knowledge of Stata's methods in R-
I'm not sure if this is something that should be expected from numerical
solvers.

Thanks again
Peter

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