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st: re: Anderson-Rubin test in ivreg2


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: Anderson-Rubin test in ivreg2
Date   Sat, 21 Feb 2009 09:34:29 -0500

<>
Grant wrote

Using IVREG2 for estimation, one of the tests is the "Anderson-Rubin Test" of joint significance of endogenous regressors in main equation, which gives p-values for both F-stat as well as Chi-sq. My question whether it matters which one is picked.


Grant should heed the Statalist FAQ and use informative words in his subject line.

It is up to you whether you want to report an F-statistic or a Chi- squared statistic for this test. The latter is the numerator of the former. Just as one can choose between small-sample t stats (with the 'small' option) and large-sample z stats, and in using -test- can get an F-statistic after -regress- but a Chi-squared statistic after - logit-, you can report either form of the A-R statistic. They will have similar p-values.

Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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