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st: ivreg2 C-statistic with liml & robust options


From   Roger Harbord <roger.harbord@bristol.ac.uk>
To   Statalist <statalist@hsphsun2.harvard.edu>
Subject   st: ivreg2 C-statistic with liml & robust options
Date   Tue, 22 Feb 2005 15:59:26 -0000

If I use -ivreg2- with both the -liml- and -robust- options i get LIML point estimates with heteroskedasticity-robust standard errors (very nice, my thanks to Baum, Schaffer & Stillman).

But if i use the -orthog()- option to test the endogeneity of a regressor, the resulting C-statistic doesn't appear to change depending on whether or not I use the -robust- option. However it does change with use of -robust- if i use 2SLS instead of LIML. (i have ivreg2 version 2.0.06 from SSC)

Does this mean that the C-statistic given by -orthog()- is ignoring the -robust- option when I use LIML? If so is there an alternative? Baum, Schaffer & Stillman (2003) appear to question the use of -hausman- with robust standard errors (section 5.2 & footnote 21), and -ivendog- won't work either.

I'm new to IV so my apologies if i'm hopelessly confused..

Thanks,
Roger.

C. F. Baum, M. E. Schaffer, and S. Stillman. Instrumental variables and GMM: Estimation and testing. Stata Journal 3 (1):1-31, 2003.

--
Roger Harbord
Department of Social Medicine, University of Bristol
http://www.epi.bris.ac.uk

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