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From |
"David Cancel" <dacancel@ucsd.edu> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Thu, 27 Aug 2009 12:08:05 -0700 (PDT) |

How do I undo the registration for this site.. thanks > 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. >>> >> > >>> >> > >>> >> > * >>> >> > * 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/ >>> >> >> >> -- >> 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/ >> >> >> * >> * 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/ >> > > * > * 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>

**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>

**RE: st: xtivreg2 Random Effects and Durbin Wu Hausman***From:*"Ingham, Hilary" <h.ingham@lancaster.ac.uk>

**RE: st: xtivreg2 Random Effects and Durbin Wu Hausman***From:*"Ingham, Hilary" <h.ingham@lancaster.ac.uk>

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

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