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

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

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

Date |
Fri, 25 Jul 2008 18:45:39 +0100 |

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 6:34 PM > To: statalist@hsphsun2.harvard.edu > Subject: RE: st: RE: cragg-donal test for weak instruments > with heteroskedasticity > > 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? How about using the -replace- option? ssc install ivreg2, replace ssc install ranktest, replace And maybe you have multiple versions installed? Try which ivreg2, all --Mark > > 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/ > -- 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/

**Follow-Ups**:**RE: st: RE: cragg-donal test for weak instruments with heteroskedasticity***From:*sara borelli <saraborelli77@yahoo.it>

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

**RE: st: RE: cragg-donal test for weak instruments with heteroskedasticity***From:*sara borelli <saraborelli77@yahoo.it>

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