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Re: st: estout a matrix


From   Ben Jann <ben.jann@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: estout a matrix
Date   Tue, 10 Feb 2009 10:36:22 +0100

Martin wrote:
> Look at the last page of
> http://www.tulane.edu/~economic/RePEc/pdf/tul0901.pdf for the returned
> results...

Ok, -ivtest- seems to return the results as r() scalars and macros. To
add, say, the CLR statistic and its p-value, type

. use http://fmwww.bc.edu/ec-p/data/hayashi/griliches76.dta
. eststo q1:  ivreg2 lw s expr tenure rns smsa  (iq=med kww age mrt), robust
. ivtest, ci
. estadd scalar r(clr_p)
. estadd scalar r(clr_stat)
. eststo q2:  ivreg2 lw s expr tenure rns smsa  age mrt (iq=med kww), robust
. ivtest, ci
. estadd scalar r(clr_p)
. estadd scalar r(clr_stat)
. estout q1 q2, cells(b(star fmt(3)) se(par) ) stats(r2_a N widstat jp
clr_p clr_stat, fmt(3))

The confidence sets seem to be returned as string macros. To display
them in -estout- type, e.g.,

.estadd local clr_cset = r(clr_cset)

and then

. estout q1 q2,  ... stats(... clr_cset)

ben

> On Tue, Feb 10, 2009 at 12:25 AM, Nirina F <fstata@gmail.com> wrote:
>> Hello,
>> I am not very familiar with estout.
>> My questions are:
>> 1-how do I put the matrix results from my ivtest below after my
> regressions?
>> 2-When I use append, the second equation result is reported under the
>> first equation. I saw that I could do estout eq1 eq2 but that means I
>> have to also name the matrices from ivtest after eq2 differently to be
>> put under eq2?
>>
>> . use http://fmwww.bc.edu/ec-p/data/hayashi/griliches76.dta
>>
>> . eststo q1:  ivreg2 lw s expr tenure rns smsa  (iq=med kww age mrt),
> robust
>>
>> . ivtest, ci
>>
>> Weak instrument robust tests and confidence sets for linear IV
>> H0: beta[lw:iq] = 0
>>
>>
> ----------------------------------------------------------------------------
> -----------------------------------------
>>  Test |      Statistic               p-value
>>     95% Confidence Set
>>
> ------+---------------------------------------------------------------------
> -----------------------------------------
>>  CLR | stat(.)  =    57.03   Prob > stat =   0.0000
>>    [-.257136,-.039481]
>>   AR | chi2(4)  =    91.35   Prob > chi2 =   0.0000
>>         null set
>>   LM | chi2(1)  =    18.20   Prob > chi2 =   0.0000
>> [-.4880471,-.0349708] U [ .0093415, .0202192]
>>    J | chi2(3)  =    73.15   Prob > chi2 =   0.0000
>>  LM-J |           H0 rejected at 5% level
>>
> ------+---------------------------------------------------------------------
> -----------------------------------------
>>  Wald | chi2(1)  =     4.90   Prob > chi2 =   0.0269
>>    [-.021772,-.001322]
>>
> ----------------------------------------------------------------------------
> -----------------------------------------
>> Note: Wald test not robust to weak instruments. LM-J confidence set
>> not available with closed-form estimation (use
>> usegrid option).
>>
>> estout using ivequ.xls,  cells(b(star fmt(3)) se(par) )  stats(r2_a N
>> widstat jp, fmt(3))
>>
>> eststo q2:  ivreg2 lw s expr tenure rns smsa  age mrt (iq=med kww), robust
>>
>> ivtest, ci
>>
>>
>> Weak instrument robust tests and confidence sets for linear IV
>> H0: beta[lw:iq] = 0
>>
>>
> ----------------------------------------------------------------------------
> -----------------------------------------
>>  Test |      Statistic               p-value
>>     95% Confidence Set
>>
> ------+---------------------------------------------------------------------
> -----------------------------------------
>>  CLR | stat(.)  =     0.03   Prob > stat =   0.8628
>>    [-.009783, .010634]
>>   AR | chi2(2)  =     2.62   Prob > chi2 =   0.2694
>>   [-.0089519, .0099214]
>>   LM | chi2(1)  =     0.03   Prob > chi2 =   0.8673
>> [-.0100928, .0108969] U [ .1412529, 1.348119]
>>    J | chi2(1)  =     2.60   Prob > chi2 =   0.1072
>>  LM-J |         H0 not rejected at 5% level
>>
> ------+---------------------------------------------------------------------
> -----------------------------------------
>>  Wald | chi2(1)  =     0.05   Prob > chi2 =   0.8205
>>    [-.008054, .010162]
>>
> ----------------------------------------------------------------------------
> -----------------------------------------
>> Note: Wald test not robust to weak instruments. LM-J confidence set
>> not available with closed-form estimation (use
>> usegrid option).
>>
>>
>> estout using ivequ.xls, append cells(b(star fmt(3)) se(par) )
>> stats(r2_a N widstat jp, fmt(3))
>>
>>
>>
>> Thank  you,
>> Nirina
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