Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: RE: AR test


From   Dan Bergov <danbergov@yahoo.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: RE: AR test
Date   Sat, 7 May 2011 07:58:41 -0700 (PDT)

Thank you very much.

----- Original Message -----
From: Austin Nichols <austinnichols@gmail.com>
To: statalist@hsphsun2.harvard.edu
Cc: 
Sent: Friday, May 6, 2011 6:42 PM
Subject: Re: st: RE: AR test

Dan Bergov <danbergov@yahoo.com>:
The AR test is easy, but confidence regions, not so much; see
http://www.stata.com/meeting/5nasug/wiv.pdf
and also read the recent paper:
http://www.econ.queensu.ca/working_papers/papers/qed_wp_1257.pdf

On Wed, May 4, 2011 at 5:01 AM, Dan Bergov <danbergov@yahoo.com> wrote:
> Eric, thanks a lot. It just I do not get a thing. I read in  Mr. Baum's book that the first stage regression is to test the relevance of the instruments. The AR test I am talking about  (Anderson and Rubin 1949) tests the whether we have a confidence region for the estimated parameter even if the presence of weak instruments. Am I correct?
> So I am wondering: I estimate with generalised method of moments, I assume that I have one endogenous regressor and after that test if the parameter I estimated for the endogenous regressor has a confidence region in the case that some of my instruments are not relevant? If someone can tell me if I am wrong or right I would deeply appreciate it. Thnks. Dan.
>
> ----- Original Message -----
> From: DE SOUZA Eric <eric.de_souza@coleurope.eu>
> To: "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
> Cc:
> Sent: Tuesday, May 3, 2011 7:18 PM
> Subject: Re: st: RE: AR test
>
> add the option -first- to your -ivreg2- command.
> Have a look at the help file for ivreg2: -help ivreg2- for more details.
>
>
> Eric de Souza
> College of Europe
> Brugge (Bruges), Belgium
> http://www.coleurope.eu
>
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Dan Bergov
> Sent: 03 May 2011 17:57
> To: statalist@hsphsun2.harvard.edu
> Subject: st: AR test
>
> Hi! I am somehow new to this forum, and stata:). I was wondering if someone could tell what package is needed to perform Anderson Rubin test for weak instruments, I mean the one that is robust to weak instruments not the one reported bi ivreg2 for overidentyfing conditions. I downloaded condivreg package but I have more than one endogenous regressors so I don't need CLR test, but AR test. Thanks! Hope to get a reply!
> Dan

*
*  For searches and help try:
*  http://www.stata.com/help.cgi?searchhttp://www.stata.com/support/statalist/faqhttp://www.ats.ucla.edu/stat/stata/


*
*   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/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index