Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: RE: ivreg2 2sls, gmm2s and autocorrelation test


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: ivreg2 2sls, gmm2s and autocorrelation test
Date   Tue, 21 Oct 2008 18:09:05 +0100

Marie-Helene,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Marie-Hélène Felt
> Sent: Tuesday, October 21, 2008 5:14 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: ivreg2 2sls, gmm2s and autocorrelation test
> 
> hello,
> 
> I'm using IVREG2 to estimate a regression with one endogenous 
> regressor.
> I noticed that the results of -abar- (test for AC) are really 
> different after a
> 2SLS H robust estimation and a GMM2S H robust estimation. 
> After 2SLS it seems
> that I have AC, but not after GMM2S...but it's the same equation I'm
> estimating!!

The first step in these things is always to check that you have the latest versions installed (and also to tell us which version of Stata you're using).

I have

. which ivreg2
c:\ado10\plus\i\ivreg2.ado
*! ivreg2 2.2.09  17jul2008
*! authors cfb & mes
*! see end of file for version comments

. which abar
c:\ado10\plus\a\abar.ado
*! abar 1.1.0 9 Nov 2007
*! David Roodman, Center for Global Development, Washington, DC, www.cgdev.org

What about you?

--Mark
 
> I'm working with time series, and not with cross sectional 
> time series, so I'm
> wondering if I'm allowed to use -abar- after both ivreg2 
> estimations (2sls and
> gmm2s).
> If indeed I'm allowed to use it, how should I understand 
> these results?
> Would you suggest to use -ivactest- rather than -abar-??
> 
> I report hereafter my results.
> 
> Thank you for your help,
> 
> Marie Helene
> 
> . ivreg2 lnpda lntxus lnpvus lntxca lnpvca lnipja 
> (lnqda=lntxda lnpvda), robust
> 
> IV (2SLS) estimation
> --------------------
> 
> Estimates efficient for homoskedasticity only
> Statistics robust to heteroskedasticity
> 
>                                                       Number 
> of obs =      148
>                                                       F(  6,  
>  141) =     4.96
>                                                       Prob > 
> F      =   0.0001
> Total (centered) SS     =  1.439041186                
> Centered R2   =  -0.0540
> Total (uncentered) SS   =  26084.88825                
> Uncentered R2 =   0.9999
> Residual SS             =  1.516815821                Root 
> MSE      =    .1012
> 
> --------------------------------------------------------------
> ----------------
>              |               Robust
>        lnpda |      Coef.   Std. Err.      z    P>|z|     
> [95% Conf. Interval]
> -------------+------------------------------------------------
> ----------------
>        lnqda |  -.0943358   .0205959    -4.58   0.000    
> -.1347031   -.0539685
>       lntxus |   .3162592   .3225253     0.98   0.327    
> -.3158787    .9483971
>       lnpvus |   .1865913   .2975095     0.63   0.531    
> -.3965166    .7696993
>       lntxca |  -.2562668   .3309884    -0.77   0.439    
> -.9049921    .3924585
>       lnpvca |  -.1924842   .3003962    -0.64   0.522    
> -.7812501    .3962816
>       lnipja |   .2326394   .2220086     1.05   0.295    
> -.2024894    .6677681
>        _cons |    12.7047   1.322835     9.60   0.000     
> 10.11199    15.29741
> --------------------------------------------------------------
> ----------------
> Underidentification test (Kleibergen-Paap rk LM statistic):   
>           13.650
>                                                    Chi-sq(2) 
> P-val =    0.0011
> --------------------------------------------------------------
> ----------------
> Weak identification test (Kleibergen-Paap rk Wald F 
> statistic):          8.977
> Stock-Yogo weak ID test critical values: 10% maximal IV size  
>            19.93
>                                          15% maximal IV size  
>            11.59
>                                          20% maximal IV size  
>             8.75
>                                          25% maximal IV size  
>             7.25
> Source: Stock-Yogo (2005).  Reproduced by permission.
> NB: Critical values are for Cragg-Donald F statistic and 
> i.i.d. errors.
> --------------------------------------------------------------
> ----------------
> Hansen J statistic (overidentification test of all 
> instruments):         0.533
>                                                    Chi-sq(1) 
> P-val =    0.4653
> --------------------------------------------------------------
> ----------------
> Instrumented:         lnqda
> Included instruments: lntxus lnpvus lntxca lnpvca lnipja
> Excluded instruments: lntxda lnpvda
> --------------------------------------------------------------
> ----------------
> 
> . abar, lags(6)
> Warning: The Arellano-Bond test is only valid for time series 
> only if they are
> ergodic.
> Arellano-Bond test for AR(1): z =   5.77  Pr > z = 0.0000
> Arellano-Bond test for AR(2): z =   4.34  Pr > z = 0.0000
> Arellano-Bond test for AR(3): z =   3.48  Pr > z = 0.0005
> Arellano-Bond test for AR(4): z =   2.02  Pr > z = 0.0437
> Arellano-Bond test for AR(5): z =   0.47  Pr > z = 0.6380
> Arellano-Bond test for AR(6): z =   0.96  Pr > z = 0.3350
> 
> . ivreg2 lnpda lntxus lnpvus lntxca lnpvca lnipja 
> (lnqda=lntxda lnpvda), gmm2s
> robust
> 
> 2-Step GMM estimation
> ---------------------
> 
> Estimates efficient for arbitrary heteroskedasticity
> Statistics robust to heteroskedasticity
> 
>                                                       Number 
> of obs =      148
>                                                       F(  6,  
>  141) =     4.89
>                                                       Prob > 
> F      =   0.0001
> Total (centered) SS     =  1.439041186                
> Centered R2   =  -0.0525
> Total (uncentered) SS   =  26084.88825                
> Uncentered R2 =   0.9999
> Residual SS             =  1.514566079                Root 
> MSE      =    .1012
> 
> --------------------------------------------------------------
> ----------------
>              |               Robust
>        lnpda |      Coef.   Std. Err.      z    P>|z|     
> [95% Conf. Interval]
> -------------+------------------------------------------------
> ----------------
>        lnqda |  -.0941792   .0205948    -4.57   0.000    
> -.1345443   -.0538141
>       lntxus |   .3132924   .3224997     0.97   0.331    
> -.3187954    .9453801
>       lnpvus |   .1590178   .2951029     0.54   0.590    
> -.4193732    .7374088
>       lntxca |  -.2397403   .3302135    -0.73   0.468    
> -.8869469    .4074662
>       lnpvca |   -.163539   .2977688    -0.55   0.583    
> -.7471551    .4200772
>       lnipja |   .2394675   .2218115     1.08   0.280    
> -.1952751    .6742101
>        _cons |   12.61117   1.316618     9.58   0.000     
> 10.03065    15.19169
> --------------------------------------------------------------
> ----------------
> Underidentification test (Kleibergen-Paap rk LM statistic):   
>           13.650
>                                                    Chi-sq(2) 
> P-val =    0.0011
> --------------------------------------------------------------
> ----------------
> Weak identification test (Kleibergen-Paap rk Wald F 
> statistic):          8.977
> Stock-Yogo weak ID test critical values: 10% maximal IV size  
>            19.93
>                                          15% maximal IV size  
>            11.59
>                                          20% maximal IV size  
>             8.75
>                                          25% maximal IV size  
>             7.25
> Source: Stock-Yogo (2005).  Reproduced by permission.
> NB: Critical values are for Cragg-Donald F statistic and 
> i.i.d. errors.
> --------------------------------------------------------------
> ----------------
> Hansen J statistic (overidentification test of all 
> instruments):         0.533
>                                                    Chi-sq(1) 
> P-val =    0.4653
> --------------------------------------------------------------
> ----------------
> Instrumented:         lnqda
> Included instruments: lntxus lnpvus lntxca lnpvca lnipja
> Excluded instruments: lntxda lnpvda
> --------------------------------------------------------------
> ----------------
> 
> . abar, lags(6)
> Warning: The Arellano-Bond test is only valid for time series 
> only if they are
> ergodic.
> Arellano-Bond test for AR(1): z =   0.99  Pr > z = 0.3202
> Arellano-Bond test for AR(2): z =   0.99  Pr > z = 0.3203
> Arellano-Bond test for AR(3): z =   0.99  Pr > z = 0.3232
> Arellano-Bond test for AR(4): z =   0.99  Pr > z = 0.3233
> Arellano-Bond test for AR(5): z =   0.83  Pr > z = 0.4050
> Arellano-Bond test for AR(6): z =   0.85  Pr > z = 0.3944
> 
> *
> *   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/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index