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From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: xtivreg2 Random Effects and Durbin Wu Hausman |

Date |
Wed, 26 Aug 2009 21:18:05 +0100 |

Steve, > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Steven Archambault > Sent: 26 August 2009 21:05 > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: xtivreg2 Random Effects and Durbin Wu Hausman > > Hey Mark, > > Maybe I am missing something. But, I don't see a statistic > that is equivalent to a Durbin-Wu-Hausman value when I call > xtoverid. I have added your suggested changes to the code. I > want to compare the instrumentalized equation against the > non-instrumentalized version. > Back to my original post, I am asking if a simple F-test > would suffice for this. Maybe I am not quite clear on something here. The -endog- option of -ivreg2- and -xtivreg2-, which you added to the internal call to -ivreg2-, reports a GMM-type Durbin-Wu-Hausman test. It's reported in the footer of the -ivreg2- output, under the heading -endog- option: Endogeneity test of endogenous regressors: This test is what you want. In the special case of conditional homoskedasticity, it's numerically equivalent to a standard DWH test. You're using -robust- so the test stat being reported is correspondingly robust (unlike the traditional DWH test). See the help file of -ivreg2- or the SJ papers by Kit Baum, Steve Stillman and myself for details. Cheers, Mark > > Thanks, > > Steve > > On Wed, Aug 26, 2009 at 7:16 AM, Schaffer, Mark > E<M.E.Schaffer@hw.ac.uk> wrote: > > Steve, > > > >> -----Original Message----- > >> From: Steven Archambault [mailto:archstevej@gmail.com] > >> Sent: 26 August 2009 00:07 > >> To: statalist@hsphsun2.harvard.edu > >> Subject: xtivreg2 Random Effects and Durbin Wu Hausman > >> > >> Hi all, > >> > >> I have been playing around with testing for endogeneity in panel > >> regression models. Some of the methods discussed by Baum > (Intro. to > >> Econometrics Using Stata) to calculate DWH do not work with panel > >> data, and more so with Random Effects models. So, would it > make sense > >> to use the following to calculate a DW F-statistic? What other > >> methods could be used? > >> > >> > >> xtreg policy instrument1 instrument2 gdp trade year, re robust; > >> predict policy_res, e; xtreg invest policy trade gdp year > >> policy_res, re robust; test policy_res; > > > > I'm pretty sure this doesn't work (or if it does, I haven't seen it > > demonstrated). > > > > Am I right to think that your RE estimation is this? > > > > xtivreg invest gdp trade year (policy=instrument1 instrument2), re > > > > and that you want robust or cluster-robust test of the > exogeneity of > > policy? > > > > I think you can get -xtoverid- to do this for you, but it requires > > hacking the code and using the -noisily- option. > > > > You might want to make a copy of xtoverid.ado and call it > > myxtoverid.ado. Then make the following changes: > > > > 1. In the "program define" line at the top, change "program define > > xtoverid" to "program define myxtoverid". > > > > 2. Look for the line that has > > > > if "`model'"=="g2sls" { > > > > Below that are three calls to -ivreg2-. > > > > 3. At the end of the first two calls to -ivreg2-, after > "noid", add > > the following (as a continuation of the same line): > > > > endog(`instd_g') > > > > 4. At the end of the third call to -ivreg2-, after "noid" add > > > > endog(`inexog_g' `instd_g') > > > > 5. After estimation, call -myxtoverid- with the -noisily- option. > > The internal reestimation of the equation will be displayed and an > > endogeneity test for all endogenous regressors will be included. > > > > Note that if you estimate using EC2SLS, unless the panel is > balanced > > the degrees of freedom of the test will be more than you expect and > > the test statistic will probably be misleadingly low. The > explanation > > has to do with (what seems to me, at any rate) the rather > peculiar way > > exogenous regressors are treated by Stata's -xtivreg- in an > unbalanced > > panel using EC2SLS. There are more details in the last > paragraph of > > the -xtoverid- help file. > > > > Cheers, > > Mark > > > >> Thanks, > >> Steve > >> > > > > > > -- > > 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/ > > > > * > * 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/

**Follow-Ups**:**Re: st: xtivreg2 Random Effects and Durbin Wu Hausman***From:*Steven Archambault <archstevej@gmail.com>

**References**:**st: xtivreg2 Random Effects and Durbin Wu Hausman***From:*Steven Archambault <archstevej@gmail.com>

**RE: st: xtivreg2 Random Effects and Durbin Wu Hausman***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**Re: st: xtivreg2 Random Effects and Durbin Wu Hausman***From:*Steven Archambault <archstevej@gmail.com>

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