Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

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


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 22:15:18 +0200

Thank you very much. I found it in the ivreg2 output (ffirst) and i did it ok.

I am grateful to you for your kind guidance

Danny

Dr. Danny Cohen-Zada
Department of Economics
Ben-Gurion University of the Negev
P.O.Box 653
Beer-Sheva 84105
Israel

Tel: +972-8-6472301
Fax: +972-8-6472941

http://www.econ.bgu.ac.il/facultym/danoran/main.htm
----- 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/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/

*
*   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/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index