Save both first- and second-stage results after (xt)ivreg2 by outreg2?

[River Huang]

1. Please first ssc install "ivreg2" and "outreg2".
2. Is there a better way to save first- and second-stage results estimated by ivreg2 with outreg2? My example is as follows:

sysuse auto, clear

xi: ivreg2 price i.rep78 (foreign = weight turn trunk), first savefirst
est restore _ivreg2_foreign
outreg2 using "ivreg2-12", replace
xi: ivreg2 price i.rep78 (foreign = weight turn trunk)
outreg2 using "ivreg2-12", append

[Andrew Musau]

The author of -outreg2- wrote -ivregress2- specifically for this purpose. Install from SSC and see examples in help. Otherwise, as far as I know, there is no append option in -outreg2-

[River Huang]

The author of -outreg2- wrote -ivregress2- specifically for this purpose. Install from SSC and see examples in help. Otherwise, as far as I know, there is no append option in -outreg2-

Indeed, I have read the help file (of outreg2) but did not find similar illustration. And, THERE IS an "append" option in "outreg2".

[Andrew Musau]

River: You are correct about the append option, apologies I had not run your code. I do not quite understand what you mean when you say

did not find similar illustration

.

The following using -outreg2- will give you the same output as your example in #1.

ivregress2 2sls price i.rep78 (foreign = weight turn trunk), first
est restore first
outreg2 using myfile, cttop(first) replace
est restore second
outreg2 using myfile, cttop(second)

[River Huang]

River: You are correct about the append option, apologies I had not run your code. I do not quite understand what you mean when you say

.

The following using -outreg2- will give you the same output as your example in #1.

ivregress2 2sls price i.rep78 (foreign = weight turn trunk), first
est restore first
outreg2 using myfile, cttop(first) replace
est restore second
outreg2 using myfile, cttop(second)

Dear Andrew, Thanks for the suggestion. In addition to "ivregress2" (probably you meant "ivregress"), I got the error message

. est restore first
estimation result first not found
r(111);

Any suggestion?

[Andrew Musau]

From #2, first

ssc install ivregress2

before running the code in #4.

[River Huang]

From #2, first

ssc install ivregress2

before running the code in #4.

Thanks a lot, Andrew. It works now.

[Nicolas Santos]

Hello!

I have been trying to do the same with xtivreg2 but it is not working.

Here is my code and the output I get:

*IV WITH FIRST STAGE
xi: xtivreg2 ln_L (ln_exp_value = wlngdpdest_lcu03) i.year, fe i(region_industry) cluster(region_industry) first savefirst
est restore first
outreg2 using myfile.xls , cttop(first) replace

. est restore first
estimation result first not found
r(111); t=0.00 9:57:34

end of do-file

Any ideas? thank you in advance!

[Andrew Musau]

#1 through #7 illustrates that you cannot output xtivreg2 first stage results using outreg2. So you have 2 options

1. Install ivregress2 from SSC and follow the instructions in this thread, or
2. Keeping with xtivreg2, use esttab

eststo clear
*IV WITH FIRST STAGE
eststo: xi: xtivreg2 ln_L (ln_exp_value = wlngdpdest_lcu03) i.year, fe i(region_industry) cluster(region_industry) first savefirst savefprefix(st1)
esttab est1 st1* using myfile.xls, replace

[Sanaullah Farooq]

I have the similar query. I am using two different 2sls regression models as follows:

Y = Controls ( X1 = Instrument_1 Instrument_2)
Y = Controls ( X2 = Instrument_1 Instrument_2)

The only different between these two models is that my primary independent variable changes from X1 to X2. Otherwise control variables and primary dependent variable is the same. I want to bring the regression output of 1st stage and 2nd stage regression for both of these above 2 models in one excel file with 3 decimal places.

However, the problem I am facing is that STATA copy pastes the same 1st stage and 2nd stage regression output for Model-2 as of Model-1. I am using following codes.

ivregress 2sls Y Controls (X1 = Instrument_1 Instrument_2), first
est restore first
outreg2 using results, replace excel dec(3)
est restore second
outreg2 using results, append excel dec(3)

ivregress 2sls Y Controls (X2 = Instrument_1 Instrument_2), first
est restore first
outreg2 using results, append excel dec(3)
est restore second
outreg2 using results, append excel dec(3)

[Andrew Musau]

Try to have

eststo clear

in between the two blocks of code. If this does not solve it, present a reproducible example using dataex or one of Stata's example data sets.

[Sanaullah Farooq]

These are my four 2SLS regression models:

ivregress 2sls Y Control_1 Control_2 Control_3 Control_4 Control_5 Control_6 Control_7 Control_8 Control_9 Control_10 (X1 = Instrument_1 Instrument_2), first
ivregress 2sls Y Control_1 Control_2 Control_3 Control_4 Control_5 Control_6 Control_7 Control_8 Control_9 Control_10 (X2 = Instrument_1 Instrument_2), first
ivregress 2sls Y Control_1 Control_2 Control_3 Control_4 Control_5 Control_6 Control_7 Control_8 Control_9 Control_10(X3 = Instrument_1 Instrument_2), first
ivregress 2sls Y Control_1 Control_2 Control_3 Control_4 Control_5 Control_6 Control_7 Control_8 Control_9 Control_10 (X4 = Instrument_1 Instrument_2), first

I want to bring results of both 1st stage and 2nd stage regression for all of these four models in one excel file with 3 decimal places. I am using following codes for results output:
outreg2 using results, replace excel dec(3)
outreg2 using results, append excel dec(3)


following is my sample data:

* Example generated by -dataex-. To install: ssc install dataex
clear
input long firmid float Y byte X1 float(X2 X3 X4 Instrument_1 Instrument_2) byte Control_1 float Control_2 byte(Control_3 Control_4) float(Control_5 Control_6 Control_7 Control_8 Control_9 Control_10)
 1        . 1 .167 .278  .6931472 0 .143 0  6.670259 0 0  2.195045          0           0  .15292925  .09155466  .3478433
 1        . 1 .167 .278  .6931472 0 .143 0  6.588926 1 0  1.001695          0           0  .14126548   .0994498 .24796863
 2        . 0    0    0         0 0 .083 0  5.619005 1 0  2.910694  .23590516   .08526387  .02889901   .9454166   .373393
 2        . 0    0    0         0 0 .083 0  6.575638 1 0  2.686605   .4002618  .004500957 .024768505   .8075809 .17650464
 2 .2180372 0    0    0         0 0 .083 0  6.672377 1 1   2.12065  .37214655   .11105797  .02869392   .8887459  .2063778
 2 .2936769 1   .1  .18  .6931472 0 .083 0  6.805904 1 0  .8898335   .4881782           0 .016597208   .9662221  .4256044
 2 .6583127 1 .111 .198  .6931472 0 .083 0  6.843047 1 1  1.533329   .5128571           0 .006899303  1.0960473  .2489924
 2 .1472668 1 .111 .198  .6931472 0 .083 0  6.813955 1 1  1.347958   .5373243           0   .0772715  1.0687627  .2739401
 2 .0130525 1 .111 .198  .6931472 0 .083 0   6.71405 1 0  .5789255   .4266763   .02973658   .0647687  1.2173065  .3686417
 3        . 0    0    0         0 0 .133 0  5.360353 1 1  1.319554          0           0   .4868421  .04887218  .3206087
 3        . 0    0    0         0 0 .133 0   5.50289 1 0  2.278167          0           0   .4462103   .0403423  .5544439
 3 .3781362 0    0    0         0 0 .133 0  5.408068 1 1  1.275768          0           0   .4036738  .06317204  .5092649
 4        . 1 .167 .278  .6931472 0  .08 0  5.316506 0 1  2.535091 .001416008   .05458899 .000536697  .21714285 1.5553493
 4        . 1 .143 .245  .6931472 0  .08 0  5.509544 0 0  4.165987 .000793399  .000480897  .09653819  .21015795  3.026734
 4        . 1 .143 .245  .6931472 0  .08 0  6.537719 0 0  1.137273          0           0   .0795885  .11429835 2.0036337
 4        . 1 .142 .244  .6931472 0  .08 0   6.72145 1 0  3.127966          0           0  .14301102  .12392352  2.156743
 4 .6267393 1 .143 .245  .6931472 0  .08 0  7.356216 1 0  2.221713  .14036657   .14221853   .0839134   .0842327  1.324527
 4  .095713 1 .143 .245  .6931472 0  .08 0  7.202885 1 0  .8099924  .10965533   .16608353    .036254  .11739746 1.7236214
 4 .0878166 1 .286 .408 1.0986123 1  .08 0  7.305255 1 0  2.031314  .05019824   .10973725  .05019824  .11988442  1.623895
 4 .0124391 1 .333 .444 1.0986123 1  .08 0  7.147638 1 0  2.999438          0           0 .025961764  .15561324  1.962664
 4 .2215257 1 .333 .444 1.0986123 1  .08 0  7.660209 1 0  2.536171  .11205354  .017623222  .08580718  .11572896 1.2479378
 5        . 0    0    0         0 0  .08 0  5.098854 1 1  1.302788  .06090922   .03044545   .2734658  .17117937  .4916016
 5        . 0    0    0         0 0  .08 0   5.10412 1 0  2.350877          0   .06068646  .22870205  .17585413  .5877343
 5  .107992 0    0    0         0 0  .08 0   4.98275 1 0  4.027356          0           0   .1161748  .21028963   .891403
 5 .3556655 0    0    0         0 1  .08 0  5.265412 1 0  3.196363          0     .090732   .0860763  .17622955  .6173435
 5 .0350082 0    0    0         0 1  .08 0  5.232786 1 0  2.111114          0   .05839393  .09071933  .19472116  .6088019
 6        . 1  .09 .164  .6931472 0 .133 0  8.323074 1 0  1.381452  .07185876           0 .003424159          0 .23330727
 6        . 1   .1  .18  .6931472 0 .133 0  8.643474 1 0  1.114615  .05577296           0 .012392032          0 .27839422
 6 .1786354 1   .1  .18  .6931472 0 .133 0  8.718434 1 0  1.174101  .05200667           0 .013328754          0  .3219449
 6 .0084918 1 .091 .165  .6931472 0 .133 0  8.779881 1 1  1.098194  .05974993           0  .03943341          0  .3064833
 6 .0971444 1   .1  .18  .6931472 1 .133 0  8.781847 1 0  1.258458  .06299406           0  .02925601          0  .3341442
 6 .0699918 1   .2  .32 1.0986123 1 .133 0  8.790741 1 0  1.368817  .05957615           0 .025026243          0  .3477476
 6 .0869313 1 .222 .346 1.0986123 1 .133 0   8.80623 1 0  1.344824   .0392618           0  .03067843          0   .352542
 7        . 1 .076  .14  .6931472 0 .143 0  7.853216 1 0  3.595824  .27490285  .008818959  .04316239  .22836053  1.559401
 7        . 1 .083 .153  .6931472 0 .143 0  7.938802 1 1  4.001382   .3191869  .013908702 .031383738  .27639088  .5147718
 7 .4707019 1 .125 .219  .6931472 0 .143 0  7.548556 1 1   1.02784   .2239199  .017386723 .003161222  .20179136  .7417573
 8        . 0    0    0         0 0 .143 0  9.370075 1 0   2.39497   .4503921   .04594272   .0989601  .58523697 .23926957
 8        . 0    0    0         0 0 .143 0  9.621721 1 0  .9360583   .4656372   .02790112  .07482272   .5961297 .23632617
 8  .013066 0    0    0         0 0 .143 0  9.556127 1 0  1.051774   .3897106   .05272097  .08442432    .626778 .26858047
 8 .0729185 0    0    0         0 0 .143 0  9.557187 1 0  1.445413   .4245723     .022904  .09543334   .6817475 .24513035
 9        . 1 .125 .219  .6931472 0 .111 0  7.676891 1 0  2.223286  .19268733   .05950229  .04434867   .9299782  .9374018
 9        . 1 .222 .345 1.0986123 0 .111 0  7.999544 1 0  1.750802  .26748556   .05843066  .04957041   .9021345 1.0263364
10        . 1 .125 .219  .6931472 1 .111 1  7.579679 0 0 -.8789069   .7760348  .017875383    .154239  .11899898   .492866
10        . 1 .143 .245  .6931472 1 .111 1  7.509335 1 1 -.9153821   .7760348   .02191781   .0909589  .13589041  .5009405
10 .1337435 1 .143 .245  .6931472 1 .111 1  7.548556 1 0 -.7770399   .7760348   .02476291  .11116965  .11538462  .4805458
10 .0642795 1 .167 .278  .6931472 1 .111 0   7.51043 1 0 -.4385285   .7760348   .02627258   .0821018  .13081555  .5141277
11        . 1 .067 .125  .6931472 0 .087 0  10.85688 1 0  2.151078  .12262478   .04000771 .066101365   .8498555  .5887009
11        . 1 .125 .219 1.0986123 0 .087 0 10.746842 1 0  3.004662  .09078588   .04362885  .06462578   .7737022 .57257843
11 .0319797 1  .17 .282 1.0986123 0 .087 0 10.709115 1 0  3.594614  .05370627   .13169652 .069903046   .7410973  .6031451
11 .1446595 1 .167 .278 1.0986123 0 .087 0 10.814525 1 0  1.467005   .1449797   .13639471  .05571193   .7756042 .54469466
11 .0146019 1 .154  .26 1.0986123 0 .087 0 10.938592 0 0  2.018156   .2276053   .02662144   .0580557   .8613341  .3900148
11 .1254967 1 .182 .298 1.0986123 0 .087 0   11.1073 1 0   1.83439  .17858857  .023028685  .09603036    .819056  .4441822
11 .1265605 1 .182 .298 1.0986123 0 .087 0  11.19054 1 0  1.140329  .16364816   .01405262  .16195025   .7695259  .4452607
11 .0813631 1 .182 .298 1.0986123 1 .087 0 11.278935 1 1   1.04282  .19144017   .03140124  .11473773    .792398 .37706175
11  .034435 1 .077 .142  .6931472 1 .087 0 11.172756 1 0  .8827064  .22117613  .029621303  .10825546   .8721563  .4268419
11 .0141084 1  .25 .375 1.3862944 1 .087 0 11.097562 1 1   .906329  .25627935   .02451144  .10222694   .9776549  .4228094
11 .0837349 1 .167 .278 1.0986123 1 .087 0  10.85925 1 1  .3420519   .3137293  .031703614  .13256301   1.151616  .4007288
11  .175896 1   .2  .32 1.0986123 1 .087 0 10.822754 0 0  .9627872  .22658478  .036012683  .12066043   1.206405  .4409994
11  .042627 1  .25 .375 1.3862944 1 .087 0 10.907075 1 0  1.158489  .19464453  .024761276  .14295925  1.1801103 .50008905
11 .0523604 1  .25 .375 1.3862944 1 .087 0 10.862761 1 0  1.195856   .1603763  .011495134  .12581424  1.2123343  .5508044
12        . 0    0    0         0 0 .143 0  8.711443 1 0  1.707613  .08876812    .0736166  .15299736   .5762516  .9561454
12        . 0    0    0         0 0 .143 0  8.778326 1 0  1.670156  .02711029   .08179297  .05375847  .59149724  .9513629
12 .0030739 0    0    0         0 0 .143 0  8.850804 1 0  1.479259  .08567335  .017908309  .05888252   .5879656 1.0003316
12 .0425033 0    0    0         0 0 .143 0  9.005896 1 0  1.295988  .10673537  .034106243  .04269415  .59244263 1.0307052
12 .0727007 0    0    0         0 0 .143 0   9.10864 1 0  1.433117  .08922838   .06465183  .04240009  .59105504 1.0432297
12 .0269416 0    0    0         0 0 .143 0  9.136478 1 0  1.570485  .08548665   .03951335 .037144702   .6547158  1.118065
12 .0258915 0    0    0         0 0 .143 0  9.230339 1 0  1.539825  .08792394  .071456574  .03342482   .6603607  1.106647
12 .0043527 1 .125 .219  .6931472 1 .143 0  9.234056 1 0  1.730175  .08925781   .05253906  .03818359   .6886719  1.220859
12 .0011287 1 .125 .219  .6931472 1 .143 0  9.247058 1 0  2.326788  .07441681   .03797957  .03489493   .7098516 1.3163985
12 .0043216 1 .111 .198  .6931472 1 .143 0   9.25646 1 0  3.223516  .05796409    .0341864  .04956073   .7280366  1.280631
12 .0421487 1 .222 .346 1.0986123 1 .143 0  9.232004 1 0  3.865063  .05646345   .03121636  .06869557   .7500734 1.3035605
12 .0138013 1 .222 .346 1.0986123 1 .143 0  9.339261 1 0   3.04257  .05625879   .02153657  .04878692    .780327 1.2194295
12 .0500059 1 .222 .346 1.0986123 1 .143 0  9.457981 1 0   2.99809  .04777518  .020686964  .12099922   .7484778  1.245355
12 .0332513 1 .222 .346 1.0986123 1 .143 0  9.524567 1 0  1.921815  .02621969   .03060181  .09947415   .7505843 1.1742079
13        . 0    0    0         0 0 .087 0   7.98177 1 0  1.554322          0           0   .1369993   .7702615 .40098795
13        . 0    0    0         0 0 .087 0  8.099998 1 0  1.056766          0           0  .17731404   .7882233  .4136688
13 .1044543 0    0    0         0 1 .087 0    8.1118 1 0  1.064939          0           0  .12039585   .8808334  .3409489
13 .0493355 1 .083 .153  .6931472 1 .087 0  7.796462 1 1  .6566874  .05838857           0  .11612308  1.2904958  .3843117
13  .016464 1   .1  .18  .6931472 1 .087 0  7.856868 1 0  .8170201  .04946939  .005496598  .11374457  1.3184538  .3787912
13 .0338956 1   .1  .18  .6931472 1 .087 0  7.753828 1 1  .6084456  .04265225  .012186356   .1000944   1.518095   .381408
13 .0308093 1 .111 .198  .6931472 1 .087 0  7.825104 1 0  1.015819  .02836997   .01134799   .1269818  1.4940003  .4411161
13 .0481399 1 .143 .245  .6931472 1 .087 0  7.496035 1 1   .982059  .02365501  .015770007  .04470734  1.6209205  .4049875
14        . 1   .2  .32 1.0986123 0 .133 0  6.768863 1 0  12.16139          0           0   .1789832          0  .4558937
14        . 1   .2  .32 1.0986123 0 .133 0  6.921661 1 0  8.735854          0           0  .14229389          0  .4461802
14 .0263091 1   .2  .32 1.0986123 0 .133 0  7.071064 1 0  10.55435          0           0   .1798879          0  .4616893
14 .0111886 1 .182 .298 1.0986123 0 .133 0  7.476869 1 0  11.61536          0           0  .13963887          0 .38718405
14 .0164651 1 .182 .298 1.0986123 0 .133 0  7.868981 1 0  5.857128          0  .000344181  .08589239          0 .34451935
14 .0533523 1  .25 .375 1.3862944 1 .133 0  8.072218 1 0  6.941312          0  .000249672 .067598775          0   .319307
14 .0481224 1  .25 .375 1.3862944 1 .133 0  8.153005 1 0  7.013286          0 .0000287869  .05409062          0  .2787408
14 .0988625 1 .273 .397 1.3862944 1 .133 0  8.262946 1 0  6.495554  .05137331  .001547389  .06599613          0 .23958986
14  .093229 1 .417 .486 1.7917595 1 .133 0  8.343411 1 0   7.58737  .04740148   .00654388 .063130595          0  .2279226
14 .0915854 1   .4  .48  1.609438 1 .133 0  8.488958 1 0  9.099871  .04098091  .005122614  .06719059          0 .21968286
14 .0497909 1 .375 .469 1.3862944 1 .133 0  8.675752 1 0  8.899597 .033998396  .004232732  .05577648          0 .20283583
14 .0563682 1 .364 .463  1.609438 1 .133 0  8.825046 1 0  7.842003  .03738331   .02791621   .0553914          0  .1955709
15        . 1 .111 .198  .6931472 0 .133 0  7.729893 1 0  2.726783  .03750355   .02123622 .035458125 .015516226 .15768677
15        . 1 .111 .198  .6931472 0 .133 0   7.77108 1 0  1.656519  .07268574   .01962397  .03465203 .015837843  .1853495
15 .0170711 1 .111 .198  .6931472 0 .133 0  8.031221 1 0  1.841752  .07399164  .009211847 .026454885 .013931718 .14128068
15 .0634942 1 .083 .153  .6931472 0 .133 0  8.054078 1 0   1.88715  .05037183           0  .04792475 .015063878 .20962465
15 .1204542 1 .214 .337 1.3862944 0 .133 0  7.967731 1 0  1.942151 .028410075           0  .07258428 .011987666 .28155974
15 .0055379 1 .231 .355 1.3862944 1 .133 0  8.311742 1 0  3.289813          0  .020017685  .08544973 .009750946 .22391348
end
label values firmid firmid1
label def firmid1 1 "0876711D LN Equity", modify
label def firmid1 2 "1218069D LN Equity", modify
label def firmid1 3 "1334987D LN Equity", modify
label def firmid1 4 "1561649D LN Equity", modify
label def firmid1 5 "1638414D LN Equity", modify
label def firmid1 6 "1655637D LN Equity", modify
label def firmid1 7 "3572335Q LN Equity", modify
label def firmid1 8 "8190169Q LN Equity", modify
label def firmid1 9 "9408593Q LN Equity", modify
label def firmid1 10 "AA/ LN Equity", modify
label def firmid1 11 "AAL LN Equity", modify
label def firmid1 12 "ABF LN Equity", modify
label def firmid1 13 "ACA LN Equity", modify
label def firmid1 14 "ADM LN Equity", modify
label def firmid1 15 "ADN LN Equity", modify

[Andrew Musau]

Thanks for the data example. Two points

1. You cannot use ivregress. From #6: First

ssc install ivregress2

2. -append- for subsequent regressions, do not -replace-

ivregress2 2sls Y Control_1 Control_2 Control_3 Control_4 Control_5 Control_6 Control_7 Control_8 Control_9 Control_10 (X1 = Instrument_1 Instrument_2), first
est restore first
outreg2 using myfile, cttop(first) replace
est restore second
outreg2 using myfile, cttop(second)

ivregress2 2sls Y Control_1 Control_2 Control_3 Control_4 Control_5 Control_6 Control_7 Control_8 Control_9 Control_10 (X2 = Instrument_1 Instrument_2), first
est restore first
outreg2 using myfile, cttop(first) append
est restore second
outreg2 using myfile, cttop(second) append

[Ayub UOM]

Andrew Musau
It's very good command for 2sls and it eased my work thank you.i have one question,that how can i use # 13 code for GMM ,i want to check endogeneity through GMM (in first stage using lag of independent variable. as an instrument ,then second stage using the first one as Independent variable).could you please guide me that how to outreg result of GMM ?
best regards

[Andrew Musau]

Do you use Stata's gmm command to estimate the model? If so and you run two separate estimations, you can do something as follows:

gmm....
est restore first
outreg2 using myfile, cttop(first) replace
gmm...
est restore second
outreg2 using myfile, cttop(second)

If not, show an example of your syntax.