Joe,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Zou Hong
> Sent: 24 January 2007 02:06
> To: [email protected]
> Subject: st: Re: RE: Re: xtivreg2
>
> sorry, one typo in my previous message.
>
> Dear Mark,
>
>
> Many thanks for the reply.
>
> I wonder why when I used STATA run a FE model, these
> "singletons" are were NOT droped out, the total number of
> observations reported by STATA includes those 214 "singletons".
They are dropped - it just doesn't tell you. Try dropping them by hand,
as I suggested, and using official xtivreg,fe, and you'll see you get
the same results.
BTW, it's "Stata", not "STATA".
Cheers,
Mark
>
> Cheers
> Joe
>
>
> ----- Original Message -----
> From: "Schaffer, Mark E" <[email protected]>
> To: <[email protected]>
> Sent: Wednesday, January 24, 2007 9:20 AM
> Subject: st: RE: Re: xtivreg2
>
>
> > 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/
>
>
> *
> * For searches and help try:
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> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
* For searches and help try:
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* http://www.ats.ucla.edu/stat/stata/
