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st: RE: New versions of/extensions to ivreg2, xtivreg2, ranktest, xtoverid, ivreg29


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: New versions of/extensions to ivreg2, xtivreg2, ranktest, xtoverid, ivreg29
Date   Sun, 7 Feb 2010 18:20:30 -0000

Hi all.  Just want to correct a typo in the announcement about the
features in ivreg2 et al.  The examples of 2-way clustering should read:

	ivreg2 y x1 x2, cluster(id year)

	ivreg2 y (x = z1 z2), gmm2s cluster(id year) 

Cheers,
Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Schaffer, Mark E
> Sent: 06 February 2010 11:17
> To: statalist@hsphsun2.harvard.edu
> Subject: st: New versions of/extensions to ivreg2, xtivreg2, 
> ranktest, xtoverid, ivreg29
> 
> Dear Statalisters:
> 
> New versions of and extensions to the Baum-Schaffer-Stillman 
> packages ivreg2, xtivreg2, ranktest and xtoverid, and a new 
> program, ivreg29, are now available from ssc.
> 
> The main extensions and upgrades are:
> 
> 1.  2-way clustering.
> 
> 2-way clustering, introduced by Cameron, Gelbach and Miller 
> (2006) and Thompson (2009), is now supported.  2-way clustering, e.g.,
> 
> 	ivreg2 y x1 x2, cluster(id year)
> 
> or
> 	ivreg2 y (x = z1 z2), gmm2s (cluster id year)
> 
> allows for arbitrary within-cluster correlation in two 
> cluster dimensions.  In the examples above, standard errors 
> and statistics are robust to disturbances that are 
> autocorrelated (correlated within panels, clustering on id) 
> and common (correlated across panels, clustering on year).  
> In the second example, estimates also are efficient in the 
> presence of arbitrary within-panel and within-year 
> clustering.  As with 1-way clustering, the numbers of 
> clusters in both dimensions should be large.
> 
> 2.  Angrist-Pischke first-stage F statistics
> 
> ivreg2 and xtivreg2 now provide Angrist-Pischke first-stage F 
> statistics.  Angrist and Pischke (2009, pp. 217-18) 
> introduced first-stage F statistics for tests of under- and 
> weak identification when there is more than one endogenous 
> regressor.  In contrast to the Cragg-Donald and 
> Kleibergen-Paap statistics, which test the identification of 
> the equation as a whole, the AP first-stage F statistics are 
> tests of whether one of the endogenous regressors is
> under- or weakly identified.
> 
> 3.  SEs that are robust to autocorrelated across-panel disturbances
> 
> Following Thompson (2009), cluster-robust and kernel-robust 
> SEs can be combined and applied to panel data to produce SEs 
> that are robust to arbitary common autocorrelated 
> disturbances.  This can also be combined with 2-way 
> clustering to provide SEs and statistics that are robust to 
> autocorrelated within-panel disturbances (clustering on panel 
> id) and to autocorrelated across-panel disturbances 
> (clustering on time combined with kernel-based HAC).
> 
> 4.  ivreg2 has been Mata-ized
> 
> ... and is noticably faster, in particular with time series 
> and the CUE
> (continuously-updated) GMM estimator.
> 
> 5.  ivreg29 for users who don't yet have Stata 10 or 11
> 
> ivreg2 requires Stata 10 or later.  For those who have only 
> Stata 9, we have provided a new program, ivreg29.  ivreg29 is 
> basically the previous version of ivreg2 plus support for AP 
> F-statistics and some minor bug fixes.  ivreg29 does not 
> support the other features described above.
> 
> For full details and examples, see the new help files 
> accompanying the programs.
> 
> --Kit, Mark and Steve
> 
> 
> References
> 
> Angrist, J.D. and Pischke, J.-S. 2009. Mostly Harmless 
> Econometrics: An Empiricist's Companion.  Princeton: 
> Princeton University Press.
> 
> Cameron, A.C., Gelbach, J.B. and Miller, D.L.  2006.  Robust 
> Inference with Multi-Way Clustering.  NBER Technical Working 
> paper 327.
> http://www.nber.org/papers/t0327.
> 
> Thompson, S.B.  2009.  Simple Formulas for Standard Errors 
> that Cluster by Both Firm and Time.  http://ssrn.com/abstract=914002.
> 
> 
> Prof. Mark Schaffer FRSE
> Department of Economics
> School of Management & Languages
> Heriot-Watt University, Edinburgh EH14 4AS tel 
> +44-131-451-3494 / fax +44-131-451-3296 
> http://ideas.repec.org/e/psc51.html
>  
> 
> 
> --
> Heriot-Watt University is a Scottish charity registered under 
> charity number SC000278.
> 
> 
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-- 
Heriot-Watt University is a Scottish charity
registered under charity number SC000278.


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