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st: Re: ivreg2


From   Mark Schaffer <M.E.Schaffer@hw.ac.uk>
To   Fabia Aparecida de Carvalho <fabia.carvalho@bcb.gov.br>
Subject   st: Re: ivreg2
Date   Sun, 27 Feb 2005 23:51:29 +0000 (GMT)

Fabia,

Quoting Fabia Aparecida de Carvalho <fabia.carvalho@bcb.gov.br>:

> Dear Mark, going back a little, when you said I could use the GMM
> and bw() options to allow for serial correlation and
> homoskedasticity, does it imply serial correlation only within each
> cluster or does it allow for correlation between cluster i's
> contemporaneous errors and cluster j's past errors?

The former; clusters are assumed to be independent.

BTW, if you set your email so that your message are pure text (no html, no
win.dat attachments, etc.), you may be able to post messages to Statalist.

--Mark

> Thank you once
> more, Fabia
> 
> 	-----Original Message----- 
> 	From: Mark Schaffer [mailto:M.E.Schaffer@hw.ac.uk] 
> 	Sent: Fri 2/25/2005 1:17 PM 
> 	To: Fabia Aparecida de Carvalho 
> 	Cc: Statalist 
> 	Subject: st: RE: RE: ivreg2
> 	
> 	
> 
> 	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
> 	>
> 	> 
> -------------------------------------------------------------------
> 	>  DISCLAIMER
> 	>
> 	>  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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> 	
> 
> 



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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