In ivreg2 the option "savesfirst" is supposed to "save the first-stage and reduced form estimations as a single estimated system." But it seems to be doing something else:

Code:
. sysuse auto, clear
(1978 Automobile Data)

. qui ivreg2 price (mpg = trunk), savesfirst

. estimates replay _ivreg2_sfirst_price

---------------------------------------------------------------------------------------
Model _ivreg2_sfirst_price (System of first-stage/reduced form regressions)
---------------------------------------------------------------------------------------

System of first-stage/reduced-form regressions:
-----------------------------------------------

Statistics consistent for homoskedasticity only
Number of obs =                     74
------------------------------------------------------------------------------
             |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
price        |
       trunk |   216.7482   77.14554     2.81   0.006     62.96142     370.535
       _cons |   3183.504   1110.728     2.87   0.005     969.3088    5397.699
-------------+----------------------------------------------------------------
mpg          |
       trunk |  -.7866364   .1296715    -6.07   0.000    -1.045132   -.5281411
       _cons |   32.11886   1.866987    17.20   0.000     28.39709    35.84063
------------------------------------------------------------------------------

. reg price trunk

      Source |       SS           df       MS      Number of obs   =        74
-------------+----------------------------------   F(1, 72)        =      7.89
       Model |  62747229.9         1  62747229.9   Prob > F        =    0.0064
    Residual |   572318166        72  7948863.42   R-squared       =    0.0988
-------------+----------------------------------   Adj R-squared   =    0.0863
       Total |   635065396        73  8699525.97   Root MSE        =    2819.4

------------------------------------------------------------------------------
       price |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
       trunk |   216.7482   77.14554     2.81   0.006     62.96142     370.535
       _cons |   3183.504   1110.728     2.87   0.005     969.3088    5397.699
------------------------------------------------------------------------------
As we can see, savesfirst does not seem to save the estimates from the reduced-form (second stage) regression but only those of an alternative regression of "price" on "trunk". Is this correct, or did I make a mistake somewhere? More importantly, is there a way to store both the first and second stage estimates together? Maybe in some other package? Many thanks!

(This is related to this thread: https://www.statalist.org/forums/for...cients-in-2sls)