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Re: st: ivreg2


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   "Daniel H. Simon" <dhs29@cornell.edu>
Subject   Re: st: ivreg2
Date   Wed, 16 Nov 2005 09:00:29 -0000 (GMT)

Daniel,

> 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.

My guess is that you are using an older version of ivreg2 that had a bug. 
Update to the latest version (2.1.12) and the problem should disappear.

--Mark

>
> 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
>>>
>>> *
>>> *   For searches and help try:
>>> *   http://www.stata.com/support/faqs/res/findit.html
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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
>>
>>
>>
>> __________________________________________________________________
>>
>> DISCLAIMER:
>>
>> This e-mail message is subject to http://www.hw.ac.uk/disclaim.htm
>> __________________________________________________________________
>>
>> *
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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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