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Re: st: ivreg2 C-statistic with liml & robust options


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu, Roger Harbord <roger.harbord@bristol.ac.uk>
Subject   Re: st: ivreg2 C-statistic with liml & robust options
Date   Tue, 22 Feb 2005 16:18:40 -0000

Roger,

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

> 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?

Well spotted.

With IV, the C-stat without -robust- is based on two Sargan 
statistics.  Add -robust-, and the C-stat is based on two Hansen J 
statistics.  These two Hansen Js come from two GMM estimations.  That 
is, there is no difference between the C-stat reported for IV with
-robust- and the C-stat reported for two-step GMM with the -gmm- 
option.

The C-stat for LIML is based on the Anderson-Rubin statistic (the 
LIML analog of the Sargan statistic).  The -robust- analog of the C-
stat would be based on the robust analog of the Anderson-Rubin 
statistics.  These in turn would come from the robust analog of LIML, 
which is continuously-updated GMM (aka "CUE").  The current version 
of ivreg2 doesn't implement CUE, but we have a beta version that 
does.  If you're really keen on trying it out, I can send it to you.

Cheers,
Mark

> 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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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
44-131-451-3296 fax
44-131-451-3485 CERT administrator
http://www.sml.hw.ac.uk/cert

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