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Re: st: xtivreg2 Random Effects and Durbin Wu Hausman


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.
>> >
>> >
>> > *
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>
>
> --
> Heriot-Watt University is a Scottish charity
> registered under charity number SC000278.
>
>
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