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st: RE: FW: Getting F stats for xtivreg


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: FW: Getting F stats for xtivreg
Date   Tue, 21 Nov 2006 22:12:06 -0000

Josh,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Freely, Joshua
> Sent: 21 November 2006 21:55
> To: statalist@hsphsun2.harvard.edu
> Subject: st: FW: Getting F stats for xtivreg
> 
> Hello StataList,
> I am running an xtivreg, re and I am trying to measure the 
> validity of my instruments.  Does anyone know of a way for me 
> to obtain an F-statistic for my first stage equation?   I 
> know xtivreg2 does it for FE but not RE models.  Anyone have 
> any ideas for me?

I'm working on a new version of xtivreg2 that will do random effects models and other things as well, but in the meantime there's an alternative, namely the new command -xtoverid- (available from ssc-ideas in the usual way).

The way -xtoverid- works internally is by reestimating, via a call to -ivreg2-, whatever -xtivreg- or -xthausman- equation was just estimated.

The -xtoverid- command has an undocumented -noisily- (or just -noi-) option.  This tells -xtoverid- to display the internal -ivreg2- reestimation results.  For the purposes of the -noi- option, the call to -ivreg2- includes the -ffirst- option, so you will see the usual array of first-stage/weak/underidentification stats (but not the first stage regressions themselves).

There is a small problem, which is that the internal reestimation uses temporary variable names.  Thus the first-stage stats will be for variables with names like __00000P.  These map 1-for-1 to the original variables, however, and there's a good chance you should be able to work out what they are.

So... after your -xtivreg- estimation,

xtoverid, noi

should tell you what you want to know.

Hope this helps.

Cheers,
Mark

> Thank you.
> 
> 
> Joshua L. Freely
> Research Associate
> Public/Private Ventures
> 2000 Market Street, Ste. 600
> Philadelphia, PA 19103
> 215.557.4425 (office)
> 215.557.4469 (fax)
> 

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