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st: RE: RE: ivreg2


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   "Fabia Aparecida de Carvalho" <fabia.carvalho@bcb.gov.br>
Subject   st: RE: RE: ivreg2
Date   Fri, 25 Feb 2005 16:17:22 -0000

Fabia,

Subject:        	RE: RE: ivreg2
Date sent:      	Fri, 25 Feb 2005 11:32:33 -0300
From:           	"Fabia Aparecida de Carvalho" <fabia.carvalho@bcb.gov.br>
To:             	<statalist@hsphsun2.harvard.edu>
Copies to:      	<M.E.Schaffer@hw.ac.uk>,
	"Statalist" <statalist@hsphsun2.harvard.edu>

> 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:M.E.Schaffer@hw.ac.uk] 
>  Sent: Thu 2/24/2005 6:18 PM 
>  To: Fabia Aparecida de Carvalho 
>  Cc: M.E.Schaffer@hw.ac.uk; 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 <fabia.carvalho@bcb.gov.br>:
> 
>  > 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:M.E.Schaffer@hw.ac.uk]
>  >       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" > <fabia.carvalho@bcb.gov.br> >      
>  To:                     <M.E.Schaffer@hw.ac.uk> >      >       >
>  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:M.E.Schaffer@hw.ac.uk] >       >  Sent: Mon 2/21/2005 11:54
>  AM >       >  To: Fabia Aparecida de Carvalho >       >  Cc:
>  stillman@motu.org.nz; baum@bc.edu >       >  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" >       > 
>  <fabia.carvalho@bcb.gov.br> To:                  >       > 
>  <m.e.schaffer@hw.ac.uk> Copies to:           >       > 
>  <stillman@motu.org.nz>, >       >          <baum@bc.edu> >       > > 
>       >  > 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: m.e.schaffer@hw.ac.uk
>  web: http://www.sml.hw.ac.uk/ecomes
> 
>  -------------------------------------------------------------------
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> 
>  This message is subject to http://www.hw.ac.uk/disclaim.htm
> 
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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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