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st: RE: overid test in ivreg2 vs overidxt


From   "Steven Stillman (LMPG)" <Steven.Stillman@lmpg.dol.govt.nz>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: overid test in ivreg2 vs overidxt
Date   Wed, 13 Aug 2003 18:10:27 +1200

Eiji, you have two distinct questions here.  

The standard errors are different because xtivreg2 uses a small sample
adjustment which accounts for the degrees of freedoms lost by estimating
your control variables and all the fixed effects.  ivreg2 by default does
not use a small sample adjustment (i.e. standard errors are just divided by
N) although you can get the small sample adjusted standard errors using the
'small' option.  The choice here is really a matter of taste.  IV is an
asymptotic estimator and thus a small sample adjustment is unnecessary.  If
you do want a small sample adjustment using ivreg2 you will have to manual
adjust the standard errors because of the additional degrees of freedom lost
by mean-differencing your data (i.e. the number of fixed effects).  

I am surprised that the Sargan statistics are not identical since this does
not depend on any small sample adjustment.  I am a co-author of both ivreg2
and overidxt.  overidxt is a simple implementation of the sargan statistic
and I have a high degree of confidence that the code is correct.  I and my
co-authors will have to take a closer look at the ivreg2 code because it is
much more complicated.  We will report back to the list once we have more
information on this.

Steve

> -----Original Message-----
> From:	Eiji Mangyo [SMTP:eijim@umich.edu]
> Sent:	Wednesday, August 13, 2003 4:09 PM
> To:	statalist@hsphsun2.harvard.edu
> Subject:	st: overid test in ivreg2 vs overidxt
> 
> Dear Statalisters,
> 
> I have a 2-year panel household data set. I estimated the theoretically
> same
> model using two different Stata commands. First, using xtivreg, fe and
> second, manually differencing within household and using ivreg2. I got the
> same coefficient estimates but different standard errors and different
> overid test statistics. (Result tables copied below; 1st stages omitted)
> 
> 1) Are the standard errors of the coefficient estimates different because
> xtivreg, fe used households with both single observation and two repeated
> observations while differencing and ivreg2 used only household with two
> repeated observations?
> 
> 2) Is the Sargan statistic given by overidxt different from the Sargan
> statistic given in ivreg2 for the same reason as above?
> 
> Thank you very much for your help.
> Eiji
> 
> xtivreg dprome2 mefor afor mesrh asrh maxedu /*
>       > */ y93 lny93 heny93 sdy93 hby93 hny93 gxy93 gzy93 city93 suby93
> towy93 /*
>       > */ (lnpcdef=drainq1-drainq4 drainqland1-drainqland4 /*
>       > */ dsunq1-dsunq4 dsunqland1-dsunqland4 /*
>       > */ drainqvill1-drainqvill4 dsunqvill1-dsunqvill4),fe
> 
> Fixed-effects (within) IV regression         Number of obs      =
> 850
>       Group variable: ohhid                        Number of groups   =
> 581
> 
>       R-sq:  within  = 0.0438                      Obs per group: min =
> 1
>              between = 0.0006                                     avg =
> 1.5
>              overall = 0.0024                                     max =
> 2
> 
>                                                    Wald chi2(17)      =
> 943.39
>       corr(u_i, Xb)  = -0.3811                     Prob > chi2        =
> 0.0000
> 
>  
> ----------------------------------------------------------------------
> --------
>            dprome2 |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
> Interval]
>  
> -------------+--------------------------------------------------------
> --------
>            lnpcdef |  -.0829731   .0578167    -1.44   0.151    -.1962917
> .0303454
>              mefor |    .014233    .022224     0.64   0.522    -.0293253
> .0577912
>               afor |  -.0363992   .0359746    -1.01   0.312    -.1069081
> .0341096
>              mesrh |  -.0880036     .03345    -2.63
> 0.009    -.1535644   -.0224427
>               asrh |   .1225672    .047207     2.60   0.009     .0300431
> .2150912
>             maxedu |   .0141301   .0174315     0.81   0.418     -.020035
> .0482953
>                y93 |  -.0033069    .062804    -0.05   0.958    -.1264005
> .1197867
>              lny93 |    .137499    .092804     1.48   0.138    -.0443935
> .3193915
>             heny93 |  -.0247196     .10157    -0.24   0.808    -.2237932
> .174354
>              sdy93 |  -.1033524    .093967    -1.10   0.271    -.2875244
> .0808195
>              hby93 |  -.1834472    .092521    -1.98
> 0.047    -.3647851   -.0021094
>              hny93 |  -.0731059   .1022382    -0.72   0.475    -.2734891
> .1272773
>              gxy93 |  -.0030924   .0728227    -0.04   0.966    -.1458223
> .1396375
>              gzy93 |  -.0967301   .0762305    -1.27   0.204    -.2461392
> .052679
>             city93 |    .026772   .0498719     0.54   0.591    -.0709751
> .1245191
>             suby93 |  -.0511917   .0635875    -0.81   0.421     -.175821
> .0734375
>             towy93 |   .0035864   .0529958     0.07   0.946    -.1002835
> .1074562
>              _cons |   .3330647   .4183751     0.80   0.426    -.4869353
> 1.153065
>  
> -------------+--------------------------------------------------------
> --------
>            sigma_u |  .25929132
>            sigma_e |  .22144028
>                rho |  .57825123   (fraction of variance due to u_i)
>  
> ----------------------------------------------------------------------
> --------
>       F  test that all u_i=0:     F(580,252) =     1.22         Prob > F
> = 0.0325
>  
> ----------------------------------------------------------------------
> --------
>       Instrumented:   lnpcdef
>       Instruments:    mefor afor mesrh asrh maxedu y93 lny93 heny93 sdy93
> hby93 hny93
>                       gxy93 gzy93 city93 suby93 towy93 drainq1 drainq2
> drainq3
>                       drainq4 drainqland1 drainqland2 drainqland3
> drainqland4 dsunq1
>                       dsunq2 dsunq3 dsunq4 dsunqland1 dsunqland2
> dsunqland3
>                       dsunqland4 drainqvill1 drainqvill2 drainqvill3
> drainqvill4
>                       dsunqvill1 dsunqvill2 dsunqvill3 dsunqvill4
> 
>     overidxt
> 
>       Test of overidentifying restrictions:  17.241  Chi-sq(14)  P-value =
> .2436
> 
> 
> ivreg2 ddprome2 dmefor dafor dmesrh dasrh dmaxedu /*
>       > */ dy93 dlny93 dheny93 dsdy93 dhby93 dhny93 dgxy93 dgzy93 dcity93
> dsuby93 dto wy93 /*
>       > */ (dlnpcdef= ddrainq1-ddrainq4 ddrainqland1-ddrainqland4 /*
>       > */ ddsunq1-ddsunq4 ddsunqland1-ddsunqland4 /*
>       > */ ddrainqvill1-ddrainqvill4 ddsunqvill1-ddsunqvill4)
> 
> 
> Instrumental variables (2SLS) regression
>       ----------------------------------------
> 
>                                                             Number of obs
> =
> 269
>                                                             F( 16,   238)
> =
> 1.84
>                                                             Prob > F
> =
> 0.0268
>       Total (centered) SS     =  25.45874667                Centered R2
> =
> 0.0293
>       Total (uncentered) SS   =  25.84544851                Uncentered R2
> =
> 0.0438
>       Residual SS             =  24.71404235                Root MSE
> =
> .303107
> 
>  
> ----------------------------------------------------------------------
> --------
>           ddprome2 |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
> Interval]
>  
> -------------+--------------------------------------------------------
> --------
>           dlnpcdef |  -.0829732   .0559599    -1.48   0.138    -.1926526
> .0267063
>             dmefor |    .014233   .0215103     0.66   0.508    -.0279264
> .0563924
>              dafor |  -.0363992   .0348193    -1.05   0.296    -.1046438
> .0318453
>             dmesrh |  -.0880035   .0323758    -2.72
> 0.007     -.151459   -.0245481
>              dasrh |   .1225671    .045691     2.68   0.007     .0330144
> .2121199
>            dmaxedu |   .0141301   .0168717     0.84   0.402    -.0189378
> .0471981
>               dy93 |  (dropped)
>             dlny93 |    .137499   .0898237     1.53   0.126    -.0385522
> .3135502
>            dheny93 |  -.0247196   .0983082    -0.25   0.801    -.2174001
> .1679609
>             dsdy93 |  -.1033525   .0909493    -1.14   0.256    -.2816099
> .0749049
>             dhby93 |  -.1834473   .0895498    -2.05
> 0.041    -.3589616   -.0079329
>             dhny93 |  -.0731059   .0989549    -0.74   0.460     -.267054
> .1208421
>             dgxy93 |  -.0030924   .0704841    -0.04   0.965    -.1412387
> .1350539
>             dgzy93 |  -.0967301   .0737825    -1.31   0.190    -.2413411
> .0478809
>            dcity93 |    .026772   .0482703     0.55   0.579     -.067836
> .12138
>            dsuby93 |  -.0511917   .0615455    -0.83   0.406    -.1718186
> .0694352
>            dtowy93 |   .0035864   .0512939     0.07   0.944    -.0969478
> .1041205
>              _cons |  -.0033069   .0607871    -0.05   0.957    -.1224474
> .1158336
>  
> ----------------------------------------------------------------------
> --------
>       Sargan statistic (overidentification test of all instruments):
> 5.456
>                                                          Chi-sq(14) P-val
> =
> 0.97839
>  
> ----------------------------------------------------------------------
> --------
>       Collinearities detected among instruments: 10 instrument(s) dropped
>       Instrumented:  dlnpcdef
>       Instruments:   dmefor dafor dmesrh dasrh dmaxedu dy93 dlny93 dheny93
> dsdy93
>                      dhby93 dhny93 dgxy93 dgzy93 dcity93 dsuby93 dtowy93
> ddrainq1
>                      ddrainq2 ddrainq3 ddrainq4 ddrainqland1 ddrainqland2
>                      ddrainqland3 ddrainqland4 ddsunq1 ddsunq2 ddsunq3
> ddsunq4
>                      ddsunqland1 ddsunqland2 ddsunqland3 ddsunqland4
> ddrainqvill1
>                      ddrainqvill2 ddrainqvill3 ddrainqvill4 ddsunqvill1
> ddsunqvill2
>                      ddsunqvill3 ddsunqvill4
>  
> ----------------------------------------------------------------------
> --------
> 
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