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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   Thu, 27 Aug 2009 08:07:31 -0600

I also had trouble with renaming the xtoverid file to myxtoverid, so I
actually just worked directly with the original file. That seemed to
work. I haven't been able to adjust the code so I get the endogeneity
test stat for the FE version, but still trying.

-Steve





On Thu, Aug 27, 2009 at 3:53 AM, Ingham, Hilary<h.ingham@lancaster.ac.uk> wrote:
> Dear Martin
>
> Many thanks for your quick reply.
>
> Hilary
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Martin Weiss
> Sent: 27 August 2009 10:35
> To: statalist@hsphsun2.harvard.edu
> Subject: AW: st: xtivreg2 Random Effects and Durbin Wu Hausman
>
>
> <>
>
> Just
>
> ******
> ssc install xtoverid
> ******
>
> and then -which xtoverid- tells you the location of the ado. Nick`s -ssc d
> fedit- is also great for there purposes...
>
> HTH
> Martin
>
>
> -----Ursprüngliche Nachricht-----
> Von: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Ingham, Hilary
> Gesendet: Donnerstag, 27. August 2009 11:29
> An: statalist@hsphsun2.harvard.edu
> Betreff: RE: st: xtivreg2 Random Effects and Durbin Wu Hausman
>
> Hi Mark/Steve
>
> I have been following this as I am also trying to generate the DWH
> statistic. I have located xtoverid and found the lines where the additions
> need to be made. However, how do I get this modified file into Stata? My
> first attempt was to download xtroverid from RPEC but when I saved this it
> was a .mht file despite the .ado at the end and I could not edit it anyway.
> Then I just typed xtoverid directly into Stata and the whole programme just
> printed out.
>
> I am sorry if this sounds a very elementary problem but I am new to
> Statalist and this is my first attempt at anything 'non-standard'.
>
> Thanks
>
> Hilary Ingham
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Schaffer, Mark E
> Sent: 26 August 2009 23:23
> To: statalist@hsphsun2.harvard.edu
> Subject: RE: st: xtivreg2 Random Effects and Durbin Wu Hausman
>
> Steve,
>
>> -----Original Message-----
>> From: owner-statalist@hsphsun2.harvard.edu
>> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of
>> Steven Archambault
>> Sent: 26 August 2009 22:46
>> To: statalist@hsphsun2.harvard.edu
>> Subject: Re: st: xtivreg2 Random Effects and Durbin Wu Hausman
>>
>> 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.
>
> Yes, not hard to do.
>
>> 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?
>
> I started working on it, and then switched to a more general estimator that
> would allow the user complete control over the range of orthogonality
> conditions: Hausman-Taylor, RE, FE, FD, EC2SLS, G2SLS, etc. etc. would all
> be special cases using different combinations of regressors/instruments in
> mean-deviations/group means/GLS-transforms/levels/first-differences/etc.
> etc.  But after I got it mostly working I got distracted by other things.
> Someday, I hope, I'll return to it and finish it off.
>
> --Mark
>
>>
>> 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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>> >
>> > --
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>> under charity
>> > number SC000278.
>> >
>> >
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> registered under charity number SC000278.
>
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