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Re: st: ivreg2


From   "Daniel H. Simon" <dhs29@cornell.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: ivreg2
Date   Tue, 15 Nov 2005 22:02:39 -0500 (EST)

Hi Mark - thanks for the confirmation about the interpretation of the
endogeneity test.
When I run
ivreg2 y (xstar=instrument1 instrument2) other variables, cluster(mag1)

I get no error message.

Here is the output from the two regressions. thanks for any help you or
anyone else can offer.

Daniel

 xi:ivreg2  lncirc  currentsite (=pubcurrentrivsites1 pubcurrentsites2)
pctcurrentrivsites,  cluster(mag1)

OLS regression with robust standard errors
------------------------------------------

Number of clusters (mag1) = 537                       Number of obs =    
2377
                                                      F(  2,   536) =    
3.28
                                                      Prob > F      =  
0.0384
Total (centered) SS     =  4643.655397                Centered R2   =  
0.0052
Total (uncentered) SS   =  74845.78589                Uncentered R2 =  
0.9383
Residual SS             =  4619.631906                Root MSE      =     
1.4

------------------------------------------------------------------------------
             |               Robust
      lncirc |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval]
-------------+----------------------------------------------------------------
 currentsite |   .2428465   .1044253     2.33   0.020     .0381768   
.4475163
pctcurre~tes |  -.1362768   .1446973    -0.94   0.346    -.4198783   
.1473247
       _cons |   5.361131   .0762595    70.30   0.000     5.211666   
5.510597
------------------------------------------------------------------------------
Hansen J statistic (Lagrange multiplier test of excluded instruments): 
78.584
                                                   Chi-sq(2) P-val =  
0.00000
------------------------------------------------------------------------------
Instruments:   pubcurrentrivsites1 pubcurrentsites2 currentsite
               pctcurrentrivsites
------------------------------------------------------------------------------

. xi:ivreg2  lncirc   (currentsite=pubcurrentrivsites1 pubcurrentsites2)
pctcurrentrivsites,  cluster(mag1)

IV (2SLS) regression with robust standard errors
------------------------------------------------

Number of clusters (mag1) = 537                       Number of obs =    
2377
                                                      F(  2,   536) =    
0.25
                                                      Prob > F      =  
0.7780
Total (centered) SS     =  4643.655397                Centered R2   =  
0.0051
Total (uncentered) SS   =  74845.78589                Uncentered R2 =  
0.9383
Residual SS             =   4619.91795                Root MSE      =     
1.4

------------------------------------------------------------------------------
             |               Robust
      lncirc |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval]
-------------+----------------------------------------------------------------
 currentsite |   .2160351   .5182878     0.42   0.677    -.7997903    
1.23186
pctcurre~tes |  -.1154665   .4289222    -0.27   0.788    -.9561385   
.7252056
       _cons |   5.365396   .1079534    49.70   0.000     5.153812   
5.576981
------------------------------------------------------------------------------
Hansen J statistic (overidentification test of all instruments):       
77.261
                                                   Chi-sq(1) P-val =  
0.00000
------------------------------------------------------------------------------
Instrumented:  currentsite
Instruments:   pubcurrentrivsites1 pubcurrentsites2 pctcurrentrivsites
------------------------------------------------------------------------------



> Daniel,
>
>> Hi - I have a couple of questions about ivreg2 and associated
>> endogeneity/exogeneity tests.
>>
>> 1. I want to assess whether a particular variable, xstar, is endogenous,
>> so I run:
>> ivreg2 y xstar (=instrument1 instrument2) other variables,
>> orthog(xstar).
>> the C-statistic allows me to assess endogeity of xstar. Is that correct?
>> This should give me the equivalent results as doing
>> ivreg y (xstar=instrument1 instrument2) other variables,  followed by
>> ivendog star.
>> is that correct?
>
> Yes (though I think you mean -ivendog xstar-).
>
>>
>> 2. If so, then I am not sure why I am having the following problem.
>>
>> I run
>> ivreg2 y xstar (=instrument1 instrument2) other variables, orthog(xstar)
>> cluster(id).
>>
>> In other words, I have simply added the cluster option. When I do so,
>> stata
>> tells me:
>> Collinearity/identification problems in restricted equation: C statistic
>> not calculated for orthog option.
>>
>> I only have this problem when I include the cluster option on ivreg2.
>
> The C-stat works here by comparing two estimations, one with xstar
> exogenous and one with it endogenous:
>
> ivreg2 y xstar (=instrument1 instrument2) other variables
>
> ivreg2 y (xstar=instrument1 instrument2) other variables
>
> Something is going wrong with the latter estimation.  Try estimating it
> explicitly with the cluster option and see what the error message is.
>
> Hope this helps.
>
> --Mark
>
>> what am I doing wrong? thanks. Daniel
>>
>>
>>
>>
>> Daniel Simon
>> Assistant Professor
>> Department of Applied Economics and Management
>> Cornell University
>> (607) 255-1626
>>
>> *
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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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>
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