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Re: st: wald test and ivreg


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: wald test and ivreg
Date   Tue, 4 Nov 2003 19:06:13 -0000

Kevin,

Subject:        	st: wald test and ivreg
Date sent:      	Mon, 3 Nov 2003 22:01:40 -0000
From:           	"Amess, Dr K.M." <kma11@leicester.ac.uk>
To:             	<statalist@hsphsun2.harvard.edu>
Send reply to:  	statalist@hsphsun2.harvard.edu

> 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.

Cheers,
Mark

> 
> 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.
> Kevin
> 
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Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert
*
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*   http://www.ats.ucla.edu/stat/stata/



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