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st: RE: XTIVREG first-stage F-statistic


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: XTIVREG first-stage F-statistic
Date   Fri, 22 Oct 2010 11:14:22 +0100

Nicole,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Nicole Au
> Sent: 22 October 2010 01:26
> To: statalist@hsphsun2.harvard.edu
> Subject: st: XTIVREG first-stage F-statistic
> 
> Dear all
> 
> I am using XTIVREG to estimate an instrumental variables 
> random effects model with 3 waves of panel data.
> Does anyone know how I can obtain the F-statistic of the 
> instruments in the first-stage regression?

xtivreg has a -first- option.  If you've got a single endogenous
regressor, you can take the t or z stat (I think it's a z stat) from the
first stage regression and manipulate it to get a first-stage F stat.

If that doesn't work ... I have an undocumented but mostly working
version of xtivreg2 that does random effects estimation.  If you contact
me off-list, I can send it to you.

Best wishes,
Mark

> 
> I understand xtivreg2 displays the F-stat for fixed-effects 
> or first-differences IV models, however there is no random 
> effects option for xtivreg2.
> 
> Thanks,
> 
> Nicole
> 
> 
> 
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