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st: Re: 2sls with multiply-imputed data sets


From   "Viola Angelini" <viola.angelini@unipd.it>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: 2sls with multiply-imputed data sets
Date   Tue, 29 May 2007 09:57:15 +0200

Thanks Rodrigo!
As regards the Hausman test, the only solution I can think of is to use the regression-based form of the test where I combine the results of the regression only at the second stage.
Does it make any sense or would it be better to just have 5 different Hausman tests?
Suppose that the multiply-imputed dataset is stored in 5 separate files: mydata1.dta, mydata2.dta, mydata3.dta, mydata4.dta, mydata5.dta
The Stata code would be the following:

forvalues i=1(1)5 {
use mydata`i'.dta
regress y2 z1 z2 x1 x2
predict res if e(sample), resid
save, replace
}
clear
set memory 500m
mimstack, m(5) so("id") nomj0 istub(mydata)
mim: regress y1 y2 x1 x2 res, cluster(sampid2)

[y2 is the endogenous variable and z1, z2 are the excluded instruments]

Best

Viola






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