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st: RE: RE: ivhettest


From   "Schaffer, Mark E" <[email protected]>
To   <[email protected]>
Subject   st: RE: RE: ivhettest
Date   Sun, 10 Jan 2010 21:26:42 -0000

Ekrenm,

In addition to what Eric and Martin have said, I should note that the
test employed by -ivhettest- (as well as Stata's -estat hettest- and
others, I suspect) isn't valid after panel data estimation with fixed
effects.

The reason is that the test based on the contrast between the classical
non-robust VCV and the heteroskedastic-robust VCV, as per White
(Econometrica 1980).  However, as Stock and Watson (Econometrica 2008)
have shown, the standard Eicker-Huber-White-robust-sandwich VCV isn't
consistent for the standard fixed effects estimator.  Thus the test
isn't valid, because in the presence of heteroskedasticity it's
contrasting two different inconsistent VCVs.

--Mark

> -----Original Message-----
> From: [email protected] 
> [mailto:[email protected]] On Behalf Of DE 
> SOUZA Eric
> Sent: 10 January 2010 20:56
> To: '[email protected]'
> Subject: st: RE: ivhettest
> 
> It says what is says. You used the "partial" option with 
> ivreg2. This partials out the effects of certain variables. 
> When you use this option,  you cannot use ivhettest after it.
> 
> If you did not use the "partial" option with the command 
> -ivreg2-, please indicate exactly what you did. 
> 
> 
> Eric de Souza
> College of Europe
> BE-8000 Brugge (Bruges)
> Belgium
> 
> -----Original Message-----
> From: [email protected] 
> [mailto:[email protected]] On Behalf Of 
> Ekrem Kalkan
> Sent: 10 January 2010 21:50
> To: [email protected]
> Subject: st: ivhettest
> 
> Dear Stata users,
> 
> After running a regression with "ivreg2" command, I run "ivhettest"
> command for testing for heteroscedasticity. But, I receive the error
> below:
> 
> . ivhettest, bpg
> ivhettest not allowed after ivreg2 with partial (previously 
> fwl) option
> 
> Could you tell me what does this mean and how can I test 
> heteroscedasticiy after an IV regression with panel data.
> 
> Thank you.
> 
> Ekrem Kalkan
> Turkish Competition Authority.
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