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From |
Stas Kolenikov <skolenik@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: estat overid & sample weights |

Date |
Thu, 30 Dec 2010 11:00:37 -0600 |

On Thu, Dec 30, 2010 at 10:31 AM, C.J. Krizan <c_j_krizan@yahoo.com> wrote: > Can anyone tell me why the OVERID option on IVREGRESS needs the FORCEWEIGHTS option when using data with sample weights. Also, how do I determine if my results are valid afterwards? > > There is a blurb in the documentation that the reported critical values may be inappropriate with weighted data and I'm trying to determine if I can trust it in my case. To put in very bluntly, if a chi-square statistic is obtained as the value of the objective function at the minimum (or is a scaled version of that value) when the data are i.i.d., it will become a sum of weighted chi-squares with complex survey data. So likelihood ratios are affected, and the minima of GMM objective functions are affected. The chi-square test statistic resulting from parameter estimates, such as Wald tests, are OK, though. There's a long line of work in survey statistics literature on these issues starting from Rao & Scott (1984) paper (see full reference in -help svy: tabulate twoway-). The test statistic is unlikely to be valid, I am afraid. Generally, economists and econometricians does not give a damn about complex survey data features, and I have not yet come across a good reference discussing the properties of econometric estimators, even as common as IV, in complex survey data context. Using CAPITALS usually means you are SHOUTING. If you are used to Some Alternative Software where it was customary to shout at it to get any work done, then you probably have already figured out that Stata understands more moderate tone, and is case sensitive. So strictly speaking there are no such commands and options that you mentioned. -- Stas Kolenikov, also found at http://stas.kolenikov.name Small print: I use this email account for mailing lists only. * * 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/

**References**:**st: estat overid & sample weights***From:*"C.J. Krizan" <c_j_krizan@yahoo.com>

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