Please ignore my previous message about the difference between "tsls" and "ivreg" results; that was my mistake.
Deepankar On Sun, May 2, 2010 at 5:10 PM, Dipankar Basu <basu...@gmail.com> wrote: > Thanks. > > Estimation of the same model with the same dataset gives different results > when "tsls" (from package sem) is used as opposed to "ivreg()" (from package > AER); both parameter estimates and standard errors are different. This is > intriguing. Can anyone throw some light on this? Is there any reason to > prefer one to the other? > > Deepankar > > > On Sun, May 2, 2010 at 3:51 PM, Achim Zeileis <achim.zeil...@uibk.ac.at>wrote: > >> On Sun, 2 May 2010, Dipankar Basu wrote: >> >> Hi All, >>> >>> I am using R 2.11.0 on a Ubuntu machine. I estimated a model using "tsls" >>> from the package "sem". Is there a way to get Newey West standard errors >>> for >>> the parameter estimates? >>> >>> When estimating the model by OLS, I used "NeweyWest" from the package >>> "sandwich" to get HAC standard errors. But, I am not able to use the same >>> method with the results of the "tsls" estimation. >>> >> >> You can use ivreg() from package "AER" which provides a few more methods >> than tsls(). In particular, it provides an estfun() method so that the >> covariance matrix estimators from "sandwich" can be employed. >> Z >> >> Any help would be appreciated. >>> >>> Deepankar >>> >>> [[alternative HTML version deleted]] >>> >>> ______________________________________________ >>> R-help@r-project.org mailing list >>> https://stat.ethz.ch/mailman/listinfo/r-help >>> PLEASE do read the posting guide >>> http://www.R-project.org/posting-guide.html >>> and provide commented, minimal, self-contained, reproducible code. >>> >>> > [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
