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Re: st: RE: testing for endogeneity with cluster()


From   "ritashree chakrabarti" <hirup01@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: testing for endogeneity with cluster()
Date   Thu, 2 Oct 2008 12:05:36 -0400

Hi,
What is the difference between the standard Hausman test and the test
of endogeneity reported by "ivreg2"?

Thanks.

Rita.

On Thu, Sep 25, 2008 at 1:02 PM, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> wrote:
> Rita,
>
>> -----Original Message-----
>> From: owner-statalist@hsphsun2.harvard.edu
>> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of
>> ritashree chakrabarti
>> Sent: 25 September 2008 17:35
>> To: statalist@hsphsun2.harvard.edu
>> Subject: Re: st: RE: testing for endogeneity with cluster()
>>
>> Hi Mark,
>>
>> The example with the "ivreg2" help file shows that I have to use the
>> "ivendog" command after I run the IV regression. This was what I was
>> doing before and it gives the Durbin-Wu statistic. Is it the same as
>> the endog() option that you are talking about which gives consistent
>> even after clustering  the standard errors? I could not find the
>> endog() option in my version of the ivreg2 help file.
>
> Which version are you using?  From within Stata, use -which ivreg2-.
> Mine shows:
>
> . which ivreg2
> c:\ado10\plus\i\ivreg2.ado
> *! ivreg2 2.2.09  17jul2008
> *! authors cfb & mes
> *! see end of file for version comments
>
> and the clickable example in the help file is:
>
> . ivreg2 lwage exper expersq (educ=age kidslt6 kidsge6), endog(educ)
>
> --Mark
>
>> Thank you.
>>
>> Rita.
>>
>> On Thu, Sep 25, 2008 at 9:07 AM, ritashree chakrabarti
>> <hirup01@gmail.com> wrote:
>> > Hi Mark,
>> >
>> > Thanks for your help. So the latest version of "ivreg2" would take
>> > into consideration that there is correlation between the
>> groups right?
>> > I was thinking of testing for endogeneity by bootstrapping the
>> > differences between the OLS and IV coefficients, which is a more
>> > complicated process. The endog() would make things so much more
>> > simpler.
>> >
>> > Ritashree
>> >
>> > On Wed, Sep 24, 2008 at 6:48 PM, Schaffer, Mark E
>> <M.E.Schaffer@hw.ac.uk> wrote:
>> >> Ritashree,
>> >>
>> >>> ----d -Original Message-----
>> >>> From: owner-statalist@hsphsun2.harvard.edu
>> >>> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of
>> >>> ritashree chakrabarti
>> >>> Sent: 24 September 2008 17:14
>> >>> To: statalist@hsphsun2.harvard.edu
>> >>> Subject: st: testing for endogeneity with cluster()
>> >>>
>> >>> Hi,
>> >>>
>> >>> I am doing IV regressions and using the "ivreg2" command.
>> I want to
>> >>> test for endogeneity and therefore using the "ivendog" to get the
>> >>> Durbin-Wu-Hausman test statistic after conducting the IV
>> regressions.
>> >>> However, I want to report results with robust standard
>> errors obtained
>> >>> after clustering. Since this test is based on the
>> assumption that all
>> >>> the observations are independent; the assumption will no longer be
>> >>> valid when I pecify "cluster()" and, therefore, the test
>> produced by
>> >>> -ivendog- is not valid in those cases, right.
>> >>> My question is how to test for endogeneity when I am using the
>> >>> "cluster()" with ivreg2?
>> >>
>> >> If you are using the latest version of -ivreg2-, just use
>> the -endog()-
>> >> option.  There is a clickable example at the bottom of the
>> -ivreg2- help
>> >> file.
>> >>
>> >>> Also to test for the validity of instruments after
>> clustering I should
>> >>> be comparing the Hansen J-statistic reported
>> automatically when I run
>> >>> "ivreg2" with the cluster option.
>> >>
>> >> I think the short answer is "yes".
>> >>
>> >> Best wishes,
>> >> Mark
>> >>
>> >>> I am concerned whether I am taking
>> >>> the right steps and interpreting the results correctly.
>> >>>
>> >>> I would really appreciate your help.
>> >>>
>> >>> Thanks.
>> >>>
>> >>> Ritashree.
>> >>> *
>> >>> *   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.
>> >>
>> >>
>> >> *
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>> >>
>> >
>> *
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>
>
> --
> Heriot-Watt University is a Scottish charity
> registered under charity number SC000278.
>
>
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