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st: Problem using -ivhettest-


From   "Joao Ricardo F. Lima" <jricardofl@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Problem using -ivhettest-
Date   Wed, 3 Feb 2010 18:10:38 -0300

Hi Mark and Statalisters,

I'm using Stata 10.1 and having problems with -ivhettest- after -ivregress-.

Example:

*******
webuse hsng2, clear

ivregress 2sls rent pcturban (hsngval = faminc reg2-reg4)
ivhettest
*******

. ivregress 2sls rent pcturban (hsngval = faminc reg2-reg4)

Instrumental variables (2SLS) regression               Number of obs =      50
                                                       Wald chi2(2)  =   90.76
                                                       Prob > chi2   =  0.0000
                                                       R-squared     =  0.5989
                                                       Root MSE      =  22.166

------------------------------------------------------------------------------
        rent |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
     hsngval |   .0022398   .0003284     6.82   0.000     .0015961    .0028836
    pcturban |    .081516   .2987652     0.27   0.785     -.504053     .667085
       _cons |   120.7065   15.22839     7.93   0.000     90.85942    150.5536
------------------------------------------------------------------------------
Instrumented:  hsngval
Instruments:   pcturban faminc reg2 reg3 reg4

. ivhettest
last estimates not found


The -ivhettest- is updated as you can see

. which ivhettest
c:\ado\plus\i\ivhettest.ado
*! ivhettest 1.1.8  4Jan2010
*! author mes

Am I doing something wrong?

Thanks a lot

Joao Ricardo


. ssc des ivhettest

--------------------------------------------------------------------------------------------------------------------------------
package ivhettest from http://fmwww.bc.edu/repec/bocode/i
--------------------------------------------------------------------------------------------------------------------------------

TITLE
      'IVHETTEST': module to perform Pagan-Hall and related
heteroskedasticity tests after IV

DESCRIPTION/AUTHOR(S)

      ivhettest performs various flavors of Pagan and Hall's (1983)
      tests of heteroskedasticity for instrumental variables (IV)
      estimation.  It will also perform the related standard
      heteroskedasticity tests of  Breusch-Pagan, Godfrey,
      Cook-Weisberg, White and Koenker  after estimation by OLS or IV.
      These are tests of whether there is heteroskedasticity  in the
      estimated regression that  is related to one or more indicator
      variables.  The test flavors vary  according to the choice of
      indicator variables and the choice of test statistics.  Under
      the null of no heteroskedasticity,  the test statistic is
      distributed as chi-sq with degrees of freedom =  number of
      indicator variables. This is version 1.1.7 of ivhettest,
      updated from that published in Stata Journal, 3(1).

      KW: instrumental variables
      KW: heteroskedasticity

      Requires: Stata version 7.0


      Author: Mark E Schaffer, Heriot-Watt University
      Support: email  m.e.schaffer@hw.ac.uk




-- 
----------------------------------------
Joao Ricardo Lima, D.Sc.
Professor
UFPB-CCA-DCFS
Fone: +5538387264913
Skype: joao_ricardo_lima
----------------------------------------
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