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st: RE: Finite sample problem while using -Hausman-, and *suest- not working with *ivreg-
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From |
"Schaffer, Mark E" <[email protected]> |
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To |
<[email protected]> |
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Subject |
st: RE: Finite sample problem while using -Hausman-, and *suest- not working with *ivreg- |
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Date |
Thu, 3 Aug 2006 17:04:52 +0100 |
Sophie,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Sophie AUDOUSSET
> Sent: 03 August 2006 16:55
> To: [email protected]
> Subject: st: Finite sample problem while using -Hausman-, and
> *suest- not working with *ivreg-
>
> .
> Dear statalist,
> I'm currently trying to compare the estimates obtained via
> two models (first model is IVREG and second model is OLS
> regression) because one of my independant variable proved to
> suffer from endogeneity (I've tested the endogeneity by
> showing that this variable is correlated with the residual).
> So I run my *ivreg- model (, robust) (and store IVREG
> estimates), then I run my OLS model (-regress- *, robust) and
> store OLS estimates.
> I finally run Hausman command :
> . hausman IVREG OLS, constant sigmamore
> and I end up with a positive Chi� stat of 53.95 (prob.
> 0.000), which means that I have to reject the null hypothesis
> and consider the IVREG model to be better than the OLS. My
> problem is that I have the message "V_b-V_B is not positive
> definite", which indicates that I'm certainly facing a finite
> (small) sample problem (n=144*). As suggested in the help
> file (hausman), I've tried to use the command *suest- instead
> of *hausman-, but it seems that *suest- is not suitable for
> IVREG models.
> My question is: is there another command that I can use to
> solve my problem and manage to compare the estimates of the
> IVREG and the OLS model, in my case of a small sample ?
-ivreg2- will do this. From within Stata,
findit ivreg2
then follow the links to install, and use the -endog- option in your IV estimation as explained in the help file.
Cheers,
Mark
>
> (Hereunder are the relevant stata outputs)
>
> Thank you very much for your help
> Best Regards
> Sophie Audousset
> PhD student. HEC Paris, School of Management
>
> ----------------------------------------------
> . hausman IVREG ORDINARY , constant sigmamore
>
> ---- Coefficients ----
> | (b) (B) (b-B)
> sqrt(diag(V_b-V_B))
> | IVREG ORDINARY Difference S.E.
> -------------+------------------------------------------------
> ----------
> -------------+------
> logNAF | .2767367 .0486494 .2280873
> .0367947
> size | .3372361 .4842723 -.1470362
> .0272735
> receiv | .1583165 .5930488 -.4347323
> .1748345
> sqsubsint | .0274407 .0416121 -.0141714
> .
> diversif | .0851476 .0807569 .0043907
> .0113417
> crosslis | .3002547 .4174471 -.1171924
> .
> block | .2212551 -.3124698 .5337249
> .0796082
> indep | .7656288 .4138254 .3518033
> .0802583
> onebig4 | .527467 .4738404 .0536266
> .
> twobig4 | .5217803 .5443661 -.0225859
> .
> mand12_2 | .4531177 .3186652 .1344524
> .0543505
> _cons | -3.246519 -4.606056 1.359537
> .2265545
> --------------------------------------------------------------
> ----------------
> b = consistent under Ho and Ha;
> obtained from ivreg
> B = inconsistent under Ha, efficient under Ho;
> obtained from regress
>
> Test: Ho: difference in coefficients not systematic
>
> chi2(12) = (b-B)'[(V_b-V_B)^(-1)](b-B)
> = 53.95
> Prob>chi2 = 0.0000
> (V_b-V_B is not positive definite)
>
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
>
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
