<>
" There is not the "partial" command."
-partial- would be an option to -ivreg2-, not a command. It is probably best
if you just show the sequence of commands as typed in the command line, and
as the FAQ request. In the absence of this information, the problem is
difficult to diagnose. Also -set trace on- and report the lines around the
error.
HTH
Martin
-----Ursprüngliche Nachricht-----
Von: [email protected]
[mailto:[email protected]] Im Auftrag von Ekrem Kalkan
Gesendet: Sonntag, 10. Januar 2010 22:53
An: [email protected]
Betreff: Re: st: RE: RE: ivhettest
Hello,
My observations are in 3-dimensional space: Product x City x Time.
I have 93 products as cross-sectional units. Instead of using
commands like xtivreg or xtivreg2, I use dummy variables for each
cross-sectional units and run the model with command "ivreg2". There
is not the "partial" command.
My equation is below:
ivreg2 y (x1 x2 = z1 z2 z3 ) productdummies citydummies monthdummies
othervariables
Then I implement "ivhettest" and get the error I had wrote previously.
Thanks.
Ekrem.
2010/1/10 Schaffer, Mark E <[email protected]>:
> 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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>> * http://www.stata.com/support/statalist/faq
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>>
>> *
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>>
>
>
> --
> Heriot-Watt University is a Scottish charity
> registered under charity number SC000278.
>
>
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