Re: st: RE: ivreg2 post-estimation tests

[Abekah Nkrumah <ankrumah@gmail.com>]

Dear Mark,

Thank you very much for the reply. I should have included in my mail
that am using the cluster robust covariance matrix as well due to
intra-cluster correlations. I had earlier tried the option you have
suggested but the response from stata was that overid is not valid
when using a cluster robust covariance matrix. Thus the decision to
consider the ivreg2 since I have read lots of it literature and know
that the post-estimation and first-stage statistics are valid even in
the presence of a cluster robust covariance matrix.

So am some how at a stand still. Thanks very much and will wait for
your feedback


Gordon



On Fri, May 25, 2012 at 4:40 PM, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> wrote:
> Gordon,
>
>> -----Original Message-----
>> From: owner-statalist@hsphsun2.harvard.edu
>> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of
>> Abekah Nkrumah
>> Sent: 25 May 2012 14:22
>> To: statalist@hsphsun2.harvard.edu
>> Subject: st: ivreg2 post-estimation tests
>>
>> Dear All,
>>
>> I am running ivprobit with factor variables (eg. i.var_name).
>> However, since the post estimation overid command does not
>> support factor variables, it means I will not be able to
>> conduct my overidentification test.
>
> Why don't you create your factor variables by hand and then use
> -ivprobit-?  That is, first generate the factor variables so that they
> are standard Stata variables, and then run your IV probit.  Then you can
> use the overidentification test for IV probit provided by -overid-.
>
> --Mark
>
>> Thinking through this, I
>> have decided to run a linear probability model using ivreg2
>> since that support factor variables and therefore will be
>> able to have the test results for overidentification test.
>>
>> Now considering that the linear probability model is not that
>> different from the probit model, will the test results for
>> (i) overidentification, (ii) underidentification (iii) F test
>> for the joint significance of the instruments (iv) Stock Yogo
>> calculations, be valid for my ivprobit estimation?
>>
>> I will appreciate some help on this. Thank you very much
>>
>> Regards
>>
>> Gordon
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>
>
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