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


From   Marie-Hélène Felt <marie-helene.felt.1@ulaval.ca>
To   statalist@hsphsun2.harvard.edu
Subject   RE: st: RE: ivreg2 2sls, gmm2s and autocorrelation test
Date   Wed, 22 Oct 2008 09:34:41 -0400

Hello,
so, to finish with this question, and because nobody seems to have any idea
about why I have such results with abar after 2SLS robust or GMM2S robust, I
have a few very simple questions:

1). to estimate a regression with one endogenous regressor AND PROBABLY H , what
is best: 2SLS H robust or GMM2S H robust? what would you do?
2). to test for AC after that, what would you use: ivactest or abar?
3). to estimate a regression with one endogenous regressor AND PROBABLY H AND
AC, what is best: 2SLS HAC robust or GMM2S HAC robust? what would you do?

thanks a lot,

Marie Helene

Selon "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>, 21.10.2008:

> Marie-Helen,
>
> > -----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 6:34 PM
> > To: statalist@hsphsun2.harvard.edu
> > Subject: Re: st: RE: ivreg2 2sls, gmm2s and autocorrelation test
> >
> > I'm sorry I didn't mention it:
> > I have:
> > c:\ado\plus\i\ivreg2.ado
> > *! ivreg2 2.2.08  15oct2007
> > *! authors cfb & mes
> > *! see end of file for version comments
> >
> > c:\ado\plus\a\abar.ado
> > *! abar 1.1.0 9 Nov 2007
> > *! David Roodman, Center for Global Development, Washington,
> > DC, www.cgdev.org
> >
> > would a question of version explain these results?
>
> Possibly.  Updating is a good idea anyway, so you should probably update and
> see if the problem goes away.
>
> --Mark
>
> > Selon "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>, 21.10.2008:
> >
> > > 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
> > > >
> > > > *
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> > > >
> > >
> > >
> > > --
> > > 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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