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


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&#39;home page che piace a te!
> > > > www.yahoo.it/latuapagina
> > > > 
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> > > > 
> > > 
> > > 
> > > --
> > > Heriot-Watt University is a Scottish charity
> registered 
> > under charity 
> > > number SC000278.
> > > 
> > > 
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> > 
> 
> 
> -- 
> Heriot-Watt University is a Scottish charity
> registered under charity number SC000278.
> 
> 
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