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st: Ivreg2


From   Rozilee Asid <rozilee@streamyx.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Ivreg2
Date   Wed, 13 Oct 2004 00:39:36 +0800

Hi all

I have around 50 cross countries sample with various level of datasets and
trying to estimates one model using ivreg2 command. My model is something
like this (all in log) and I put some restriction to capture only quality
variable included

ivreg2 lngdp (lnfdi=lnpat lnusdiff lnopenk lnsave) lnip lnrnd if iprs>2.3 &
rnd>0.01,ffirst small orthog(lnip lnrnd)

My main attention is to identified the quality impact of IP and rnd posses
by certain countries (i.e based on restriction made in the equation). My
question is by looking at the output that I have, is it valid to say that my
model is sufficient and acceptable?

I need comment on this matter.

Thanks


My output shown below:

Sargan statistic (overidentification test of all instruments): 5.012
                                         Chi-sq(3) P-val =   0.17095

And the tested instrument variable produced the output as below:

Sargan statistic for unrestricted equation:   4.678
                        Chi-sq(1) P-val =   0.03055
C statistic (exogeneity/orthogonality of specified instruments):0.333
                                          Chi-sq(2) P-val =   0.84645

By invoking all possible test for ivhettest, the output as below:

. ivhettest,all
IV heteroskedasticity test(s) using levels of IVs only
Ho: Disturbance is homoskedastic
    Pagan-Hall general test statistic   :  7.546  Chi-sq(6) P-value = 0.2733
    Pagan-Hall test w/assumed normality :  8.008  Chi-sq(6) P-value = 0.2375
    White/Koenker nR2 test statistic    : 10.138  Chi-sq(6) P-value = 0.1190
    Breusch-Pagan/Godfrey/Cook-Weisberg : 15.419  Chi-sq(6) P-value = 0.0172

And invoking for overid test;

Tests of overidentifying restrictions:
Sargan N*R-sq test        5.012  Chi-sq(3)    P-value = 0.1709
Sargan (N-L)*R-sq test    4.510  Chi-sq(3)    P-value = 0.2114
Basmann test              4.727  Chi-sq(3)    P-value = 0.1929
Sargan pseudo-F test      1.503  F(3,36)      P-value = 0.2301
Basmann pseudo-F test     1.576  F(3,33)      P-value = 0.2138

Test for ivendog produced output as below:

ivendog lnfdi

Tests of endogeneity of: lnfdi
H0: Regressor is exogenous
    Wu-Hausman F test: 9.22515  F(1,35)     P-value = 0.00449
    Durbin-Wu-Hausman chi-sq test:8.34380  Chi-sq(1)   P-value = 0.00387









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