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st: RE: why F statistics are different forAnderson-Rubin test of joint significance of endogenous regressors?
> -----Original Message-----
> From: firstname.lastname@example.org
> [mailto:email@example.com] On Behalf Of Jian Zhang
> Sent: Monday, August 21, 2006 8:12 AM
> To: firstname.lastname@example.org
> Subject: st: why F statistics are different forAnderson-Rubin
> test of joint significance of endogenous regressors?
> Dear Statalisters,
> I have been playing the examples provided at the end of the
> documentation for ivreg2 using the Griliches data ( can be
> obtained at the end of the help file of command ivreg2). I
> found there is a discrepancy of the two F statistics under
> the Anderson-Rubin test of joint signficance of endogenous
> regressors for the non-robust case and the robust case. For
> example, when I run
> ivreg2 lw s expr tenure rns smsa _I* (iq=med kww age mrt),
> ffirst , the outputs show that Anderson-Rubin test of joint
> significance of endogenous regressors B1 in main equation, Ho:B1=0
> F-statistic=24.33 and Chi_square=98.99.
> For the robust case (i.e runing regression:ivreg2 lw s expr
> tenure rns smsa _I* (iq=med kww age mrt), ffirst robust),
> F_statistic=25.77 Chi_squre==105.31.
> Under the two cases, F statistics are different. It seems to
> me that they are supposed be same.
This question is easy to answer. They are different because one is
heteroskedasticity-robust, and one is not.
Prof. Mark E. Schaffer
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Edinburgh EH14 4AS UK
> F-statistic is a function of sum of squared
> residuals(Unrestricted) and sum of squred residuals
> (resitricted). since the estimates of the coefficients under
> both robust and non-robust cases are same, the sum of squared
> residuals for both unrestricted and restricted have to be same too.
> Thus the F_statistics for both robust and non-robust cases
> are supposed to be same. But Why does STATA report different
> F_statistics for Anderson-Rubin test of Joint significance? Is there
> anyone understanding what is going on? Thank you very much!
> Best regards,
> Jian Zhang
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