Jian Zhang,
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Jian Zhang
> Sent: Monday, August 21, 2006 8:12 AM
> To: statalist@hsphsun2.harvard.edu
> 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.
Cheers,
Mark
Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University
Edinburgh EH14 4AS UK
44-131-451-3494 direct
44-131-451-3296 fax
http://www.sml.hw.ac.uk/cert
> 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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