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Re: st: RE: Problem using -ivhettest-


From   "Joao Ricardo F. Lima" <jricardofl@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Problem using -ivhettest-
Date   Wed, 3 Feb 2010 20:12:48 -0300

Dear Mark,

Thanks for the explanation! With -ivreg2- it runs ok!

Best Regards,

Joao Lima

2010/2/3 Schaffer, Mark E <M.E.Schaffer@hw.ac.uk>:
> Joao Ricardo,
>
>> -----Original Message-----
>> From: owner-statalist@hsphsun2.harvard.edu
>> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of
>> Joao Ricardo F. Lima
>> Sent: 03 February 2010 21:11
>> To: statalist@hsphsun2.harvard.edu
>> Subject: st: Problem using -ivhettest-
>>
>> Hi Mark and Statalisters,
>>
>> I'm using Stata 10.1 and having problems with -ivhettest-
>> after -ivregress-.
>
> This one's easy to answer, but the answer is not entirely satisfactory:
> ivhettest supports ivreg, ivreg2 and regress but not ivregress (see the
> help file).
>
> Something for my (unfeasibly long) to-do list.
>
> In the meantime, you can use ivreg or ivreg2 to do the estimation.
>
> FYI, official ivreg is still available in Stata 10 and Stata 11: -help
> ivreg- brings up the message that it is an out-of-date command, but the
> command does still work.
>
> Cheers,
> Mark
>
>> 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
>> ----------------------------------------
>> *
>> *   For searches and help try:
>> *   http://www.stata.com/help.cgi?search
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>> *   http://www.ats.ucla.edu/stat/stata/
>>
>
>
> --
> Heriot-Watt University is a Scottish charity
> registered under charity number SC000278.
>
>
> *
> *   For searches and help try:
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>



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

*
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