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From |
"Danny Cohen-Zada" <danoran@bgu.ac.il> |

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 21:40:51 +0200 |

Igonore my last mail. It was sent before i got your answer.

Danny

----- Original Message ----- From: "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

To: <statalist@hsphsun2.harvard.edu>

Sent: Thursday, February 28, 2008 8:54 PM

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

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/certI 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/

* * 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/

**References**:**RE: st: conditional likelihood ratio test when the cluster option is used in ivreg (weak instrument).***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

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