Joe,
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Zou Hong
Sent: 23 January 2007 10:08
To: [email protected]
Subject: st: Re: xtivreg2
Dear Kit,
Many thanks for your kind suggestion.
I have installed xtivreg2 and run the test as follows.
ttset code year
xtivreg2 y1 x1 x2 x3 (y2 = x4 x5), fe robust endog(y2)
I am suspicious that y2 is endogenous to y1 and want to test
this using a fixed-effect estimation with robust standard
errors. Is the above setup correct?
Can I claim that the above conducted the DWH test using a
fixed-effect estimation with roubt standard errors?
Yes, but your terminology isn't quite right. The C test (or GMM
distance test) is more general than the DWH test.
Having run the models, I found:
Warning - singleton groups detected. 214 observation(s) not used.
Regarding your question about singletons - these are groups which have
only one member. In a fixed effects estimation, they drop out
completely. Put another way, if you dropped these observations and
re-ran your fixed effects estimation, your estimates would be exactly
the same. It's easy to see why - the fixed effects estimator explains
the "within-group" variation, and when a group has 1 member, there is no
"within-group" variation to explain.
HTH,
Mark
FIXED EFFECTS ESTIMATION
------------------------
Number of groups = 492 Obs per group: min =
2
avg =
3.7
max =
7
(regression output here)
Test statistic(s) not robust
--------------------------------------------------------------
----------------
Cragg-Donald F statistic (weak identification test):
1.907
Stock-Yogo weak ID test critical values: 5% maximal IV relative bias
13.91
10% maximal IV relative bias 9.08
20% maximal IV relative bias 6.46
30% maximal IV relative bias 5.39
10% maximal IV size 22.30
15% maximal IV size 12.83
20% maximal IV size 9.54
25% maximal IV size 7.80
Test statistic(s) not robust
Source: Stock-Yogo (2005). Reproduced by permission.
---------------------------------------------------------Hanse
n J statistic
(overidentification test of all instruments): 3.738
Chi-sq(2) P-val = 0.1543
-endog- option:
Endogeneity test of endogenous regressors:
0.308
Chi-sq(1) P-val = 0.5786
Regressors tested: y2
what is the meaning of "singleton groups" and how to deal with it?
Thanks a lot
Joe
----- Original Message -----
From: "Kit Baum" <[email protected]>
To: <[email protected]>
Sent: Tuesday, January 23, 2007 11:17 AM
Subject: st: re: ivreg2 update and fixed-effect estimator
> Joe said
>
> 1. where to get the latest version of ivreg2? I always
found it difficult
> to identify the version of an ado file from the internet.
The one I found
> from the net is version 02.1.14. But searched from the web,
the latest
version seems to be 2.1.18. How to update the files if
ivreg2 is always
installed
>
> 2. Under ivreg2, how to test the exogeneity of a regressor under a
> fixed-effect (or random-effects) estimator?
>
> 3. how to request a DWH test using a robust standard error?
>
>
>
> 1. The latest version of ivreg2 (or of just about any user-authored
> software) is available using the ssc or adoupdate commands.
It is always
> straightforward to check the version number: ssc type
ivreg2.ado will
> display it, as will "which ivreg2" after installation.
>
> 2. You need to use xtivreg2 (a 'wrapper' for ivreg2, also
available from
> ssc) and the orthog() or endog() option. The help file
explains them.
>
> 3. The last paragraph of Section 5 of Baum, Schaffer,
Stillman, SJ 3 (1)
> [also available in preprint form as BC WP 545] speaks to
this point. A
> robust DWH test is available with orthog() or the newer
option endog().
> endog() is not described in that paper, but is described
in the help
> file. A followup paper describing these additional features is in
> preparation.
>
> Kit
>
> Kit Baum, Boston College Economics
> http://ideas.repec.org/e/pba1.html
> An Introduction to Modern Econometrics Using Stata:
> http://www.stata-press.com/books/imeus.html
>
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
