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st: RE: which F-test do I report from xtivreg first stage
From
"Schaffer, Mark E" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: RE: which F-test do I report from xtivreg first stage
Date
Fri, 6 Dec 2013 23:21:17 +0000
David,
> -----Original Message-----
> From: [email protected] [mailto:owner-
> [email protected]] On Behalf Of David Torres
> Sent: 06 December 2013 21:32
> To: [email protected]
> Subject: st: which F-test do I report from xtivreg first stage
>
> Hello again, Statalisters,
>
> I am utilizing the xtivreg's postestimation command, xtoverid (with the noisily
> option), to get first stage estimates along with the F-test.
>
> I am unsure which of the F-tests I'm supposed to report. At the top of the OLS
> regression of the first stage there is the F for the model.
That's not the right one - it tests the joint significance of all the regressors, whereas you want the F that is a test of just the excluded instruments.
> Below the first stage
> model, though, is the F-test of excluded instruments, also called the Angrist-
> Pischke multivariate F test of excluded instruments.
These are two different Fs unless you have a single endogenous regressor, in which case they coincide. Sounds like they coincide in your case.
> I'm thinking it's the latter
> that I should be reporting. Am I right?
Yes, that's the one.
--Mark
> Diego
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