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st: RE: FW: Xtivreg and Chi-Square


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: FW: Xtivreg and Chi-Square
Date   Thu, 3 Aug 2006 15:47:16 +0100

Sandra,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Mortal, Sandra C.
> Sent: 03 August 2006 15:26
> To: statalist@hsphsun2.harvard.edu
> Cc: Lipson, Marc
> Subject: st: FW: Xtivreg and Chi-Square
> 
> Hi, 
> 
> I am using the command xtivreg, I have an unbalanced panel 
> and am using fixed effects. My question is regarding the 
> overall goodness of fit of the regressors.  STATA reports a 
> Wald Chi Square statistic of 434634.68.
> However, when I use the test command to test the hypothesis 
> that all of the coefficients (except the firm dummies) are 
> equal to zero I get a much more reasonable statistic.  I get 
> a value of 7236.41.  Also, I've been able to replicate this 
> number, while I am completely unable to replicate the number 
> reported right after the iv regression command. I wonder if 
> anyone could tell me the reason for this discrepancy.

I just checked this out, and I think it's a bug in -xtivreg-.  If you
add the constant to the variables you check after the estimation, I'll
bet you get the same chi-sq statistic that -xtivreg- reports for the
overall significance of the regression.  It's a bug because if this were
by design, the degrees of freedom in your example would be 12, not 11.

BTW, you're using fixed effects, so -xtivreg2- could be a useful
alternative.

Cheers,
Mark

> I have 
> included the respective outputs below.
> 
> Thank you in advance for your help,
> Sandra 
> 
>  
> 
> . xtivreg leveragemvf1 (turnover=turnoveri) drating mb  eta 
> depa irdd randda logsizebd ret pgy2d  cpspread , fe i(permno);
> 
> Fixed-effects (within) IV regression         Number of obs      =
> 45945 
> Group variable: permno                       Number of groups   =
> 8026 
> 
> R-sq:  within  = 0.1595                      Obs per group: min =
> 1 
>        between = 0.1716                                     avg =
> 5.7 
>        overall = 0.1762                                     max =
> 19 
> 
>                                              Wald chi2(11)      =
> 434634.68 
> corr(u_i, Xb)  = -0.1251                     Prob > chi2        =
> 0.0000 
> 
> --------------------------------------------------------------
> ----------
> ------ 
> leveragemvf1 |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
> Interval] 
> -------------+------------------------------------------------
> ----------
> ------ 
>     turnover |  -2.320024   .2632847    -8.81   0.000    -2.836052
> -1.803995 
>      drating |   2.152626   .2693379     7.99   0.000     1.624733
> 2.680519 
>           mb |  -2.011589   .1087904   -18.49   0.000    -2.224814
> -1.798363 
>          eta |  -3.368408   .1067333   -31.56   0.000    -3.577602
> -3.159215 
>         depa |   .6071639   .1246147     4.87   0.000     .3629235
> .8514043 
>         irdd |  -.8173588   .4365988    -1.87   0.061    -1.673077
> .0383591 
>       randda |  -.8690489    .149891    -5.80   0.000     -1.16283
> -.575268 
>    logsizebd |   10.25134   .2971439    34.50   0.000     9.668953
> 10.83374 
>          ret |  -.3286456   .0161068   -20.40   0.000    -.3602144
> -.2970768 
>        pgy2d |  -4.800349   .2518534   -19.06   0.000    -5.293973
> -4.306726 
>     cpspread |    7.88824   .2836412    27.81   0.000     7.332313
> 8.444166 
>        _cons |   32.36606    .278241   116.32   0.000     31.82072
> 32.91141 
> -------------+------------------------------------------------
> ----------
> ------ 
>      sigma_u |  20.522888 
>      sigma_e |   11.67359 
>          rho |  .75554783   (fraction of variance due to u_i) 
> --------------------------------------------------------------
> ----------
> ------ 
> F  test that all u_i=0:     F(8025,37908) =    10.23      
> Prob > F    =
> 0.0000
> --------------------------------------------------------------
> ----------
> ------  
> 
> . test turnover drating mb  eta depa irdd randda logsizebd 
> ret pgy2d cpspread;
> 
>  ( 1)  turnover = 0
>  ( 2)  drating = 0
>  ( 3)  mb = 0
>  ( 4)  eta = 0
>  ( 5)  depa = 0
>  ( 6)  irdd = 0
>  ( 7)  randda = 0
>  ( 8)  logsizebd = 0
>  ( 9)  ret = 0
>  (10)  pgy2d = 0
>  (11)  cpspread = 0
> 
>            chi2( 11) = 7236.41
>          Prob > chi2 =    0.0000
> 
> 
> 
>  
> 
> 
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