Roger,
Date sent: Tue, 22 Feb 2005 15:59:26 -0000
From: Roger Harbord <[email protected]>
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.
Many thanks for the rapid and very helpful response, Mark. The beta version
of ivreg2 sounds really interesting, but i don't think i'm in a position to
beta-test it as i'm still getting to grips with this area myself and i'd
rather stick to generally-accepted methods for analyses as the whole idea of
IV is unfamiliar in my field.
