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From |
John Antonakis <john.antonakis@unil.ch> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Re: instrumental variables estimation problems |

Date |
Mon, 14 Dec 2009 14:30:59 +0100 |

Hi:

1. one dimension of clustering, with the normal -reg- , cluster(id) command 2. two dimensions of clustering, with the cgmreg, cluster(id1 id2) command Regards, John. ____________________________________________________

Department of Organizational Behavior University of Lausanne Internef #618 CH-1015 Lausanne-Dorigny Switzerland Tel ++41 (0)21 692-3438 Fax ++41 (0)21 692-3305 Faculty page: http://www.hec.unil.ch/people/jantonakis Personal page: http://www.hec.unil.ch/jantonakis ____________________________________________________ On 08.12.2009 12:49, Kit Baum wrote:

<> ------- sysuse auto,clear ivregress 2sls price (mpg = weight length)// these are the proper 2SLS resids: y - orig X * 2SLS betapredict double eps, resestat overid // Sargan stat by hand reg eps weight length // compute the uncentered r^2 from this regression predict double yhat, xb gen double syhat2 = sum(yhat^2) gen double seps2 = sum(eps^2) scalar ur2 = syhat2[_N]/seps2[_N] // Sargan: N * uncentered r^2 di e(N)*ur2 ---------- On Dec 8, 2009, at 2:33 AM, Tunga wrote:* Regarding Question 1: In fact, my question is slightly wrong but I still think that it has nothing to do with the ivreg or ivreg2 command. Let mestate my question again.The model is the following. depend = b1 + b2 endo + u. I have two instruments for endo and I want to test if they are exogenous. The idea of the test is that you regress the residuals from this model (using iv estimates of b1 and b2) on the instruments to see if the instruments have explanatory power. Hence the steps are as follows: Step 1. Obtain the IV estimates of b1 and b2. Here I use ivregress 2sls depend (endo = instone insttwo). Step 2. Obtain the residuals. Here the point is that I wish to get the residuals using these two iv estimates and the variable 'endo' and NOT the 'predicted endo' from the first stage of the 2SLS. Is it ok if I just use the command "predict resid, residuals"? Or is this command producing residuals using the IV estimates of b1 and b2 and the variable 'predicted endo'? This question is not about the updated ivreg command. It is about getting the correct residuals. (Note: there can be a direct, ready-made test for instrument exogeneity but I don't want to follow them. The test I am following here is intuitive and therefore I wish to follow the steps I lay down here.)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/

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**References**:**st: Re: instrumental variables estimation problems***From:*Kit Baum <baum@bc.edu>

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