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Re: st: re: Anderson-Rubin test in ivreg2


From   "Grant Peter Kabango" <g.kabango.1@research.gla.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: re: Anderson-Rubin test in ivreg2
Date   Sat, 21 Feb 2009 15:03:30 +0000

Thanks Kit.

Grant

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

<>
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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