Fabia,
Subject: RE: RE: ivreg2
Date sent: Fri, 25 Feb 2005 11:32:33 -0300
From: "Fabia Aparecida de Carvalho" <[email protected]>
To: <[email protected]>
Copies to: <[email protected]>,
"Statalist" <[email protected]>
> Prof. Schaffer, how does ivreg2 treat missing observations to form the
> covar matrix? Does it sample only the balanced part of the panel?
No, it does it in exactly the same way that official -ivreg-, and for
that matter, official -regress-, do it.
Cheers,
Mark
> Thank you, Fabia
>
> -----Original Message-----
> From: Mark Schaffer [mailto:[email protected]]
> Sent: Thu 2/24/2005 6:18 PM
> To: Fabia Aparecida de Carvalho
> Cc: [email protected]; Statalist
> Subject: st: RE: ivreg2
>
>
>
> Fabia,
>
> I'm posting this reply to the list, partly in the hope that someone
> will be able to help answer the question of why you can't. Have you
> registered with Statalist?
>
> With respect to your ivreg2 questions,
>
> Quoting Fabia Aparecida de Carvalho <[email protected]>:
>
> > Dear Prof. Schaffer, I have been trying to post messages to the
> > Statalist but they never go through. Anyway, I think the problem
> was > with the version of Stata (mine was 7). I tried the same
> database > and the same commands in Stata 8 and it worked.
>
> To be more precise, you were probably using an early version of Stata
> 7 that hadn't been updated. ivreg2 uses the syntax command, and I
> think this wasn't in the original Stata 7 release. The update
> command fixes these things.
>
> > Could you tell me if ivreg2 allows for serial correlation across
> > clusters with the assumption of no heteroscedasticity (i.e., the
> > elements in the diagonal matrices of the covar matrix have the same
> > variance but the off-diagonal matrices may be different from zero -
> > just as in Keane and Runkle 1990)?
>
> I don't have Keane and Runkle at hand, but if I understand the
> question correctly then the answer is yes. If you use the bw()
> option and you have panel data, you will get a covar matrix estimate
> that is robust to serial correlation. If you add the gmm option to
> this, you will also get coefficient estimates that are efficient in
> the presence of serial correlation. In both case, there is an
> assumption of homoskedasticity.
>
> To get a covar matrix that is robust to heteroskedasticity as well
> (or coeffs that are efficient in the presence of arbitrary
> heteroskedasticity), you would add the robust option.
>
> If you add the cluster option, you get robustness in the presence of
> arbitrary serial correlation and heteroskedasticity. The different
> between this and the combination of robust and bw() is that the
> latter makes assumptions about how quickly the serial correlation
> dies out that are required for the asymptotics to work.
>
> Cheers,
> Mark
>
> > Sorry for asking this directly to
> > you but I have e-mailed the list owner mentioning my problem but I
> > haven't received any reply.
> >
> > Thank you, Fabia
> >
> > -----Original Message-----
> > From: Mark Schaffer [mailto:[email protected]]
> > Sent: Mon 2/21/2005 2:51 PM
> > To: Fabia Aparecida de Carvalho
> > Cc:
> > Subject: RE: ivreg2
> >
> >
> >
> > Just a note to say that I haven't received the Statalist
> message > ... > not sure why. > > --Mark > >
> Subject: RE: ivreg2 > Date sent:
> Mon, 21 Feb 2005 12:36:41 -0300 > From:
> "Fabia Aparecida de Carvalho" > <[email protected]> >
> To: <[email protected]> > > >
> thank you very much for the quick response. I've just sent a >
> message > > to the list. Best, Fabia > > > >
> -----Original Message----- > > From: Mark Schaffer
> [mailto:[email protected]] > > Sent: Mon 2/21/2005 11:54
> AM > > To: Fabia Aparecida de Carvalho > > Cc:
> [email protected]; [email protected] > > Subject: Re: ivreg2 >
> > > > > > > > If you give us the examples of
> what you're doing, we might be > able to > > help. Also, try
> posting it to Statalist rather than to us > privately, > >
> since others might benefit from the answer - or indeed might > have
> the > > answer themselves. > > > > --Mark >
> > > > Subject: ivreg2 > > Date sent:
> Mon, 21 Feb 2005 11:51:55 -0300 > > From:
> "Fabia Aparecida de Carvalho" > >
> <[email protected]> To: > >
> <[email protected]> Copies to: > >
> <[email protected]>, > > <[email protected]> > > >
> > > Dear Profs. Schaffer, Stillman and Baum, > > > >
> > > I've been trying to run a gmm with newey-west covar matrix on
> > a > > panel, but Stata always tells me the syntax is wrong.
> When I use > the > > ivreg for 2SLS using the same panel, it
> works. Do you know what > could > > possibly be the problem?
> Thank you, Fabia Carvalho > > Fabia > Carvalho > > > Central
> Bank of Brazil > > > > > 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 > > > > > > > >
> > > 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 > > > >
>
>
>
> Prof. Mark Schaffer
> Director, CERT
> Department of Economics
> School of Management & Languages
> Heriot-Watt University, Edinburgh EH14 4AS
> tel +44-131-451-3494 / fax +44-131-451-3294
> email: [email protected]
> web: http://www.sml.hw.ac.uk/ecomes
>
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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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