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From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: conditional likelihood ratio test when the cluster option is used in ivreg (weak instrument). |

Date |
Thu, 28 Feb 2008 18:54:44 -0000 |

Danny, > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Danny Cohen-Zada > Sent: Thursday, February 28, 2008 4:54 PM > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: conditional likelihood ratio test when the > cluster option is used in ivreg (weak instrument). > > Professor Austin, > > Your advise helped me very much. I performed the AR test with > the cluster option and obtained very good result. I only want > to be sure that I did everything ok. > > Our basic model was > > ivreg2 y1 x1 x2 (y2 = z1 ), ffirst robust cluster (x3) (by > the way the clustered t -statistic in this estimation was -2.08) > > Since my instrument was potentially weak I wanted a correct > p-value (or t -statistic) for the test that the coefficient > of y2 is different from zero (in this case y1-y2b0 =y1). > > Thus, i regress the following regression: > > regress y1 z1 x1 x2, robust cluster (x3) > > the t-statisic for the coefficient of z1 is the correct > t-statistic for the test that the coefficient of y2 is equal > to zero (am i correct?). This test is in the ivreg2 ffirst output, so you needn't do it by hand (except to double check). Also see the discussion in Baum-Schaffer-Stillman, The Stata Journal, Vol. 7, No. 4, 2007. 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 > > I obtained even stronger results. The t-statistic is -2.43. > > Am i correct that now i can claim that y2 as a significnat > negative effect on y1 based on the -2.43. > > Thanks, > > Danny > > > ----- Original Message ----- > From: "Austin Nichols" <austinnichols@gmail.com> > To: <statalist@hsphsun2.harvard.edu> > Sent: Thursday, February 28, 2008 4:00 PM > Subject: Re: st: conditional likelihood ratio test when the > cluster option is used in ivreg (weak instrument). > > > > Danny-- > > The answer is no, you cannot "trust this result" from a > command that > > does not allow cluster-robust estimation when you must use > clustered > > standard errors in the IV (ivreg2) estimation. If clustering is > > important, and you have said that it is, and you have a weak > > instruments problem, you must either improve the quality of your > > instruments by adding/finding more excluded instruments, in > which case > > you probably want the LIML/CUE options on -ivreg2- (and > overID tests), > > or you can use a method of inference robust to the presence of weak > > instruments that allows clustering, namely Anderson-Rubin > tests/conf > > regions. I discussed this in some detail at NASUG5, and > some of the > > material appears in the slides at > > http://www.stata.com/meeting/5nasug/wiv.pdf and some in > Stata Journal > > 7(4). On Anderson-Rubin tests/conf regions, see the Dufour and > > Taamouti ref linked from http://www.stata.com/meeting/5nasug/wiv.pdf > > (though I prefer constructing the confidence region rather than the > > projection onto individual axes that they advocate--the > latter can be > > deceptive if, say, there are two variables measuring a similar > > quantity and you can reject that both coefs are simultaneously zero > > because the conf ellipse does not include the origin, but the > > projections might both overlap zero). Tests are easier than > > confidence regions for this approach, obviously. > > > > On Thu, Feb 28, 2008 at 8:09 AM, Danny Cohen-Zada > <danoran@bgu.ac.il> > > wrote: > >> I will try to edit my question to be clearer. > >> > >> > >> Suppose that i estimate the following iv model with the > cluster option. > >> > >> ivreg2 y1 x1 x2 (y2 = z1 ), ffirst cluster (x3) > >> > >> > >> I tested that my instrument is weak (using the clustered > >> f-statistic) and found that my instrument is weak. > >> > >> Then i run the conditional likelihood ratio test > >> > >> condivreg y1 x1 x2 (y2= z1) > >> > >> This command does not have the cluster option. > >> > >> Supose that i find that the p-value of this test is 0.000 . Can i > >> trust this result even when i use clustered standard errors in my > >> ivreg estimation. > >> > >> Thanks > >> > >> Danny > > * > > * 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/

**Follow-Ups**:**Re: st: conditional likelihood ratio test when the cluster option is used in ivreg (weak instrument).***From:*"Danny Cohen-Zada" <danoran@bgu.ac.il>

**Re: st: conditional likelihood ratio test when the cluster option is used in ivreg (weak instrument).***From:*"Danny Cohen-Zada" <danoran@bgu.ac.il>

**References**:**Re: st: conditional likelihood ratio test when the cluster option is used in ivreg (weak instrument).***From:*"Danny Cohen-Zada" <danoran@bgu.ac.il>

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