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From |
sara borelli <saraborelli77@yahoo.it> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
RE: st: RE: cragg-donal test for weak instruments with heteroskedasticity |

Date |
Fri, 25 Jul 2008 17:33:52 +0000 (GMT) |

I am trying to install ivreg2 and ranktest in stata10, but I have some difficulties after typing ssc install ivreg2 ssc install ranktest I get the following message: file c:\ado\plus\next.trk already exists and I am not able to install them (even using the repalce option)...It seems that ivreg2 is already installed but when I try to use it stata10 does not recognize it...any suggestions? thanks a lot Sara --- Ven 25/7/08, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> ha scritto: > Da: Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> > Oggetto: RE: st: RE: cragg-donal test for weak instruments with heteroskedasticity > A: statalist@hsphsun2.harvard.edu > Data: Venerd́ 25 luglio 2008, 18:31 > Sara, > > > -----Original Message----- > > From: owner-statalist@hsphsun2.harvard.edu > > [mailto:owner-statalist@hsphsun2.harvard.edu] On > Behalf Of > > sara borelli > > Sent: Friday, July 25, 2008 4:58 PM > > To: statalist@hsphsun2.harvard.edu > > Subject: R: st: RE: cragg-donal test for weak > instruments > > with heteroskedasticity > > > > Dear Professor Shaffer, > > > > I am sorry to ask you further,and such a long > question, but I > > want to be sure that I understand correctly. Thus, > from my > > understanding, I have two options: > > > > Either I run ivreg2 and get the The K-P statitsics, > and then > > compare it to the tabulated values of Staiger and > > Stock(2002), Or I explicitly estimate the reduced > forms for > > the two endogenous variables, compute the F-tests for > the > > excluded instruments in each reduced form and compare > those > > to 10. Is this correct? > > Not quite. Either you compare the K-P statistic (which is > heteroskedasticity robust) to the Stock-Yogo (not > Staiger-Stock) tabulated values for the C-D statistic, as > you suggest, or you compare K-P to the the Staiger-Stock > value of 10. > > Separate first-stage regressions do not provide an adequate > test of identification - see Baum et al (2003) for an > explanation (full reference details in -ivreg2- help). > > A third possibility is to test for heteroskedasticity (see > -ivhettest-) and hope you don't have it. If you > don't, then you can use the C-D stat with S-Y critical > values. > > > Since both options are not going to give me the > "perfect" > > answer, I wanted to do it in both ways, and see what > happens, > > but after installing ivreg2 and ranktest, I am not > able to > > get the first stage K-P statistics or the cragg donald > > > statistics. After running > > ivreg2 y x (y1 y2=z1 z2), ffirst robust > > Stata reports only the first stage F (which is not > even > > robust) and the shea statistics, nothing more. > > Is it possible that this happens because I do not have > the > > appropriate stata version to obtain K-P or Cragg > Donald? I am > > currently using Stata 8. I have also access to Stata > 10, but > > there ivreg2 does not work, and it seems that K-P is a > > > special feature of ivreg2 and not of ivregress. Is > this what > > is going on? > > Not quite. -ivreg2- certainly runs under Stata 10, but you > need to make sure you install the latest version, and also > -ranktest- (which is the command that calculates the K-P > statistic). You are right that the K-P statistic is not > supported by official Stata -ivregress-. > > -ranktest- requires Stata 9 or better, which is why your > Stata 8 version won't report the K-P statistic. > > Cheers, > Mark > > > Thank you very much for your help > > Sara > > > > --- Ven 25/7/08, Schaffer, Mark E > <M.E.Schaffer@hw.ac.uk> ha scritto: > > > > > Da: Schaffer, Mark E > <M.E.Schaffer@hw.ac.uk> > > > Oggetto: st: RE: cragg-donal test for weak > instruments with > > > heteroskedasticity > > > A: statalist@hsphsun2.harvard.edu > > > Data: Venerd́ 25 luglio 2008, 15:28 > > > Sara, > > > > > > > -----Original Message----- > > > > From: owner-statalist@hsphsun2.harvard.edu > > > > > [mailto:owner-statalist@hsphsun2.harvard.edu] On > > > Behalf Of > > > > sara borelli > > > > Sent: Friday, July 25, 2008 1:57 PM > > > > To: statalist@hsphsun2.harvard.edu > > > > Subject: st: cragg-donal test for weak > instruments > > > with > > > > heteroskedasticity > > > > > > > > Dear All, > > > > > > > > I a estimating the following model: > > > > > > > > Y= aX + bY1 + cY2 + u > > > > I am using standard errors robust and > clustered at the > > > > > > > neighborhood level; > > > > > > > > X = vector of eogenous regressors > > > > Y1, Y2 are endogenous > > > > Z1 Z2 excluded instruments > > > > > > > > I want to test weather my IVs are non-weak. > I know > > > that in > > > > the case of a single endogenous variable I > should use > > > the > > > > "rule of thumb" that the first > stage > > > F-statistic >10 (Steiger > > > > and Stock 1997). > > > > But Stock and Yogo (2002) say to use the > Cragg -Donald > > > > > > > Statistics in presence of multiple > endogenous > > > regressors. I > > > > know this statistics is not valid under > > > heteroskedasticity. I > > > > would like to know if there is a way to > compute a > > > robust > > > > analog of the Cragg-Donal statistics in > Stata > > > > > > The Cragg-Donald statistic is a test statistic > for the rank of a > > > matrix. > > > Anderson (1951) derived an earlier and similar > test based > > on canonical > > > correlations. > > > > > > -ivreg2-, downloadable from ssc-ideas in the > usual way, reports a > > > generalization of these to the case of > heteroskedastic and/or > > > autocorrelated errors, due to Kleibergen and > Paap. The K-P stat > > > reduces to C-D and Anderson tests in the iid > case. > > > > > > The K-P stat is implemented in Stata by > -ranktest-, so > > you'll need to > > > install this as well. > > > > > > > and in case if > > > > it would still be valid to compare it to the > tabulated > > > values > > > > of Stock and Yogo(2002). Alternatively, > would be wrong > > > to > > > > simply refer to the old "rule of > tumb" that > > > the F-statistics > > > > should be at least 10, even in presence of > multiple endogenous > > > > variables? > > > > > > As far as I know, critical values have not been > tabulated > > for non-iid > > > case (and it would be hard to, since the form of > > > heteroskedasticity/autocorrelation will make a > difference > > to how they > > > perform). > > > > > > Either of your suggestions seems sensible to me. > > > > > > Cheers, > > > Mark (coauthor of -ivreg2- and -ranktest-) > > > > > > Prof. Mark E. Schaffer > > > 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://ideas.repec.org/e/psc51.html > > > > > > > > > > > > > > Thank you for any help > > > > Sara Borelli > > > > > > > > > > > > > > > > > > > > > > > > > > > > Posta, news, sport, oroscopo: tutto in > una sola > > > pagina. > > > > Crea l'home page che piace a te! > > > > www.yahoo.it/latuapagina > > > > > > > > * > > > > * For searches and help try: > > > > * http://www.stata.com/help.cgi?search > > > > * > http://www.stata.com/support/statalist/faq > > > > * http://www.ats.ucla.edu/stat/stata/ > > > > > > > > > > > > > -- > > > Heriot-Watt University is a Scottish charity > registered > > under charity > > > number SC000278. > > > > > > > > > * > > > * For searches and help try: > > > * http://www.stata.com/help.cgi?search > > > * http://www.stata.com/support/statalist/faq > > > * http://www.ats.ucla.edu/stat/stata/ > > > > > > Posta, news, sport, oroscopo: tutto in una sola > pagina. > > Crea l'home page che piace a te! > > www.yahoo.it/latuapagina > > > > * > > * For searches and help try: > > * http://www.stata.com/help.cgi?search > > * http://www.stata.com/support/statalist/faq > > * http://www.ats.ucla.edu/stat/stata/ > > > > > -- > Heriot-Watt University is a Scottish charity > registered under charity number SC000278. > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ Posta, news, sport, oroscopo: tutto in una sola pagina. Crea l'home page che piace a te! www.yahoo.it/latuapagina * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**RE: st: RE: cragg-donal test for weak instruments with heteroskedasticity***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**References**:**RE: st: RE: cragg-donal test for weak instruments with heteroskedasticity***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

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