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RE: st: FW: Xtivreg and Chi-Square


From   "Mortal, Sandra C." <mortals@missouri.edu>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: FW: Xtivreg and Chi-Square
Date   Fri, 4 Aug 2006 10:14:37 -0500

Hi David,
 Thank you for your help.
 Sandra 


***********************************************
Sandra Mortal
Assistant Professor of Finance
516 Cornell Hall
University of Missouri
Columbia, MO 65211
Office: (573) 884-1684
Fax:    (573) 884-6296 
***********************************************



-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of David M.
Drukker
Sent: Thursday, August 03, 2006 4:49 PM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: FW: Xtivreg and Chi-Square

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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