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From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: RE: re: overidentification test and endogeneity test with -ivreg2- |

Date |
Tue, 3 Nov 2009 08:26:58 -0000 |

Kelvin, > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Kelvin Tan > Sent: 03 November 2009 02:20 > To: statalist@hsphsun2.harvard.edu > Subject: st: RE: re: overidentification test and endogeneity > test with -ivreg2- > > Thanks Kit for your helpful insight about the endog test. > > One more question, > > Kit said: "You get different results for the overid test and > endog test in (2) because you're using a different VCE. If > you use the same VCE they agree exactly." > > I am sorry for the typo. I meant to have clustered standard > errors "cl(idcode)" in both -ivregress- and -ivreg2- command > lines. I get different results for the overid test and endog > test when I used clustered standard errors in both > -ivregress- and -ivreg2-. Kit and I are looking at this now. We've worked out what's going on with the overid test. Curiously, -estat- after -ivregress- seems to report a standard (heteroskedasticity)-robust overid test even when the equation is estimated as cluster-robust. Compare the following: ************************************************************ webuse nlswork, clear qui ivregress 2sls wks_ue ( tenure = hours c_city union) grade, robust estat overid qui ivregress 2sls wks_ue ( tenure = hours c_city union) grade, robust cl(idcode) estat overid qui ivreg2 wks_ue ( tenure = hours c_city union) grade, robust di e(j) qui ivreg2 wks_ue ( tenure = hours c_city union) grade, robust cl(idcode) di e(j) ************************************************************ You'll see that after -ivregress,robust-, -estat- reports the same overid stat whether or not cluster(idcode) is also specified (I checked Stata 10.1 and Stata 11.0). This is the same overid stat that -ivreg2- reports with robust. -ivreg2-, however, reports a cluster-robust overid stat that is (naturally) different from the robust-but-not-cluster-robust stat. Still looking at the endog option. --Mark > > ************************************************************** > ********** > ************* > webuse nlswork, clear > ivregress 2sls wks_ue ( tenure = hours c_city union) grade, > cl(idcode) estat overid estat endog > ivreg2 wks_ue ( tenure = hours c_city union) grade, endog(tenure) > cl(idcode) > ************************************************************** > ********** > ************** > > *************************************************************** > Results from -ivregress- > . estat overid > Test of overidentifying restrictions: > Score chi2(2) = 4.32413 (p = 0.1151) > > . estat endog > Tests of endogeneity > Ho: variables are exogenous > Robust regression F(1,4007) = .195661 (p = 0.6583) > (Adjusted for 4008 clusters in idcode) > **************************************************************** > > ************************************************************** > ********** > ***** > Results from -ivreg2- > -------------------------------------------------------------- > ---------- > ------ > Hansen J statistic (overidentification test of all instruments): > 3.519 > Chi-sq(2) P-val = > 0.1722 > -endog- option: > Endogeneity test of endogenous regressors: > 0.567 > Chi-sq(1) P-val = > 0.4513 > Regressors tested: tenure > -------------------------------------------------------------- > ---------- > ------ > ************************************************************** > ********** > ****** > > Thanks > > Regards, > Kelvin > > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Kit Baum > Sent: Tuesday, 3 November 2009 11:58 AM > To: statalist@hsphsun2.harvard.edu > Subject: st: re: overidentification test and endogeneity test with > -ivreg2- > > <> > > You get different results for the overid test and endog test > in (2) because you're using a different VCE. If you use the > same VCE they agree exactly. > > webuse nlswork, clear > ivregress 2sls wks_ue ( tenure = hours c_city union) grade > estat overid estat endog > ivreg2 wks_ue ( tenure = hours c_city union) grade, endog(tenure) > > Re (1), ivreg2 without the gmm2s option (that is, 2SLS) bases > its overid test on the Hansen J statistic from the two-step > GMM VCE. The endog test is the difference between two Hansen > J statistics. Thus it does not matter, for the overid test > and the endog test, whether you estimate the equation with > 2SLS or GMM. The coefficient vector and its VCE change, of > course, but the tests are based on the optimal two-step VCE > in either case. > > Kit Baum | Boston College Economics & DIW Berlin | > http://ideas.repec.org/e/pba1.html > An Introduction to Stata Programming > | http://www.stata-press.com/books/isp.html > An Introduction to Modern Econometrics Using Stata | > http://www.stata-press.com/books/imeus.html > > * > * 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/

**Follow-Ups**:**Re: st: RE: RE: re: overidentification test and endogeneity test with -ivreg2-***From:*"Brian P. Poi" <bpoi@stata.com>

**References**:**st: re: overidentification test and endogeneity test with -ivreg2-***From:*Kit Baum <baum@bc.edu>

**st: RE: re: overidentification test and endogeneity test with -ivreg2-***From:*"Kelvin Tan" <j.tan@business.uq.edu.au>

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