Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

RE: st: xtivreg2 Random Effects and Durbin Wu Hausman


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   Thu, 27 Aug 2009 20:18:48 +0100

http://lmgtfy.com/?q=statalist%20unsubscribe

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> David Cancel
> Sent: 27 August 2009 20:08
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: xtivreg2 Random Effects and Durbin Wu Hausman
> 
> 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/
> 


-- 
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/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index