First I set my panel units: "xtset productid marketid"
"marketid" is created by egen marketid=group(city month).
Then, I run the following:
ivreg2 y (x1 x2 = z1 z2 z3 ) productdummies citydummies monthdummies
othervariables
Here is the trace of "ivhettest, bpg" after this regression:
- version 7.0
- local version 1.1.7
- syntax [varlist(default=none)] [if] [in] [, ivlev ivsq ivcp fitlev
fitsq ph phnorm phsym nr2 bpg all ]
- if "`e(cmd)'" != "ivreg" & "`e(cmd)'" != "ivreg2" & "`e(cmd)'" !=
"ivgmm0" & "`e(cmd)'" != "regress" {
= if "ivreg2" != "ivreg" & "ivreg2" != "ivreg2" & "ivreg2" != "ivgmm0"
& "ivreg2" != "regress" {
error 301
}
- if "`e(fwlcons)'`e(partialcons)'" != "" {
= if "0" != "" {
- di in r "ivhettest not allowed after ivreg2 with partial (previously
fwl) option"
ivhettest not allowed after ivreg2 with partial (previously fwl) option
- error 499
}
I hope this helps.
Thanks.
Ekrem.
2010/1/10 Martin Weiss <[email protected]>:
>
> <>
>
> " 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.
>>> *
>>> * For searches and help try:
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>>> * http://www.stata.com/support/statalist/faq
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>>>
>>> *
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>>> * 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/
>>
>
> *
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>
>
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>
*
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