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Re: st: FW: Xtivreg and Chi-Square


From   "David M. Drukker" <ddrukker@stata.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: FW: Xtivreg and Chi-Square
Date   Thu, 3 Aug 2006 16:49:13 -0500 (CDT)

Sandra C. Mortal <mortals@missouri.edu> reported that -xtivreg, fe- is
including the constant in the model-Wald test.

This problem will be fixed in an upcoming ado update.

The example below shows that specifying the -small- option removes the
problem.  -test- can can also be used.

        -- David
           ddrukker@stata.com


. use abdata

. xtivreg n w k (l.n = l2.n) , fe small

Fixed-effects (within) IV regression         Number of obs      =          751
Group variable: id                           Number of groups   =          140

R-sq:  within  = 0.7281                      Obs per group: min =            5
       between = 0.9305                                     avg =          5.4
       overall = 0.9218                                     max =            7

                                                F(143,608)      =      483.00
corr(u_i, Xb)  = 0.3780                         Prob > F        =       0.0000

------------------------------------------------------------------------------
           n |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
           n |
         L1. |   .2877755   .0585089     4.92   0.000     .1728715    .4026795
           w |   -.529404    .056022    -9.45   0.000    -.6394241   -.4193838
           k |   .5075971   .0358554    14.16   0.000     .4371816    .5780126
       _cons |   2.605774   .2071001    12.58   0.000     2.199056    3.012493
-------------+----------------------------------------------------------------
     sigma_u |  .38694604
     sigma_e |  .10764416
         rho |  .92816972   (fraction of variance due to u_i)
------------------------------------------------------------------------------
F  test that all u_i=0:     F(139,608) =     3.12         Prob > F    = 0.0000
------------------------------------------------------------------------------
Instrumented:   L.n
Instruments:    w k L2.n

. test L.n w k

 ( 1)  L.n = 0
 ( 2)  w = 0
 ( 3)  k = 0

       F(  3,   608) =  483.00
            Prob > F =    0.0000

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