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st: RE: dmexogxt problem


From   "Willard van Ooij" <w.van.ooij@intechnium.nl>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: dmexogxt problem
Date   Fri, 2 Aug 2002 14:03:43 +0200

Works fine here:

. xtivreg price mpg (weight turn=length displ
gear_ratio trunk), fe i(rep78)
<ouput omitted>
. dmexogxt
Davidson-MacKinnon test of exogeneity:  2.869836  F( 2,59)  P-value =
.0647
. dmexogxt weight
Davidson-MacKinnon test of exogeneity:   0.409  Chi-sqr( 1)  P-value =
.5222

Is your version of Stata up-to-date? (check with -query born-)

Willard





-----Oorspronkelijk bericht-----
Van: Ara Stepanian [mailto:stephanari@yahoo.com]
Verzonden: vrijdag 2 augustus 2002 3:35
Aan: statalist@hsphsun2.harvard.edu
Onderwerp: st: dmexogxt problem


Hi, 

i just tried to use the dmexogxt program on the auto
example, and there seem to be a problem. I couldn't
figure out where it is from a look at the code.
I would appreciate any suggestions.
Here's how the output looks like:
use auto, clear
(1978 Automobile Data)

. xtivreg price mpg (weight turn=length displ
gear_ratio trunk), fe i(rep78)

Fixed-effects (within) IV regression         Number of
obs      =           69
Group variable: rep78                        Number of
groups   =            5

R-sq:  within  =      .                      Obs per
group: min =            2
       between = 0.1619                               
     avg =         13.8
       overall = 0.2079                               
     max =           30

                                             Wald
chi2(3)       =    157.55
corr(u_i, Xb)  = -0.2670                     Prob >
chi2        =    0.0000

------------------------------------------------------------------------
------
       price |      Coef.   Std. Err.      z    P>|z| 
   [95% Conf. Interval]
-------------+----------------------------------------------------------
------
      weight |     10.385    6.42565     1.62   0.106 
  -2.209046    22.97904
        turn |  -1925.613   1406.054    -1.37   0.171 
  -4681.429    830.2023
         mpg |  -152.0257   163.7232    -0.93   0.353 
  -472.9172    168.8658
       _cons |   54528.87   38204.49     1.43   0.153 
  -20350.55    129408.3
-------------+----------------------------------------------------------
------
     sigma_u |  1526.3689
     sigma_e |  4229.6552
         rho |  .11522388   (fraction of variance due
to u_i)
------------------------------------------------------------------------
------
F  test that all u_i=0:     F(4,61) =     0.41        
   Prob > F    = 0.7983
------------------------------------------------------------------------
------
Instrumented:   weight turn
Instruments:    mpg length displacement gear_ratio
trunk

. dmexogxt
invalid syntax
r(197);

. dmexogxt weight
invalid syntax
r(197);


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