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


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&#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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> > > 
> > >       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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> > 
> > 
> > --
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> under charity 
> > number SC000278.
> > 
> > 
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> 
> 
>       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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> 


-- 
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registered under charity number SC000278.


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