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Re: st: wald test and ivreg
Subject: st: wald test and ivreg
Date sent: Mon, 3 Nov 2003 22:01:40 -0000
From: "Amess, Dr K.M." <email@example.com>
Send reply to: firstname.lastname@example.org
> Dear all,
> I am using the -ivreg- command with the "robust cluster(i) small"
> options. Because I have used the small option t-stasticis are
> specified that are robust to general forms of heteroscedasticity and
> within correlation. Additionally, the -test- command invokes an F-test
> of my specified restrictions.
> Would it be better to use a Wald test of restrictions
I'm not sure I understand the issue. According to -help test-,
"test and testparm perform Wald tests."
so you are already using a Wald test.
> I want to test
> as the F-test is not valid in the presence of heteroscedasticity or is
> the F-test robust in the same way as the t-statistic is robust due to
> robust standard errors being used?
If you estimate with -robust-, then the estimated var-cov matrix is
robust, and hence -test- will give you a heteroskedasticity-robust
(Wald) test stat.
> Is there a way of telling Stata to conduct a Wald test even when the
> default is to conduct an F-test after the 'small' option is used in
> the previously estimated model?
> Thanks for help in advance.
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
Prof. Mark E. Schaffer
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS UK
44-131-451-3485 CERT administrator
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