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From |
Steven Archambault <archstevej@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Wed, 26 Aug 2009 15:45:57 -0600 |

Okay, great. Its working. Thanks! I suppose there are other bits of code I could add to get additional test results from the -xtoverid - -robust noisily- options.. I am thinking the endogeneity test for the FE regression. Also, I'd like to get the weak and underidentification instrument tests for the FE and RE robust. Those might take a bit more programming I suppose. Actually, why isn't RE available for xtivreg2? Ciao, Steve On Wed, Aug 26, 2009 at 2:18 PM, Schaffer, Mark E<M.E.Schaffer@hw.ac.uk> wrote: > 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/ > * * 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:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**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>

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

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