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From |
Rozilee Asid <[email protected]> |

To |
[email protected] |

Subject |
st: Ivreg2 |

Date |
Wed, 13 Oct 2004 00:39:36 +0800 |

Hi all I have around 50 cross countries sample with various level of datasets and trying to estimates one model using ivreg2 command. My model is something like this (all in log) and I put some restriction to capture only quality variable included ivreg2 lngdp (lnfdi=lnpat lnusdiff lnopenk lnsave) lnip lnrnd if iprs>2.3 & rnd>0.01,ffirst small orthog(lnip lnrnd) My main attention is to identified the quality impact of IP and rnd posses by certain countries (i.e based on restriction made in the equation). My question is by looking at the output that I have, is it valid to say that my model is sufficient and acceptable? I need comment on this matter. Thanks My output shown below: Sargan statistic (overidentification test of all instruments): 5.012 Chi-sq(3) P-val = 0.17095 And the tested instrument variable produced the output as below: Sargan statistic for unrestricted equation: 4.678 Chi-sq(1) P-val = 0.03055 C statistic (exogeneity/orthogonality of specified instruments):0.333 Chi-sq(2) P-val = 0.84645 By invoking all possible test for ivhettest, the output as below: . ivhettest,all IV heteroskedasticity test(s) using levels of IVs only Ho: Disturbance is homoskedastic Pagan-Hall general test statistic : 7.546 Chi-sq(6) P-value = 0.2733 Pagan-Hall test w/assumed normality : 8.008 Chi-sq(6) P-value = 0.2375 White/Koenker nR2 test statistic : 10.138 Chi-sq(6) P-value = 0.1190 Breusch-Pagan/Godfrey/Cook-Weisberg : 15.419 Chi-sq(6) P-value = 0.0172 And invoking for overid test; Tests of overidentifying restrictions: Sargan N*R-sq test 5.012 Chi-sq(3) P-value = 0.1709 Sargan (N-L)*R-sq test 4.510 Chi-sq(3) P-value = 0.2114 Basmann test 4.727 Chi-sq(3) P-value = 0.1929 Sargan pseudo-F test 1.503 F(3,36) P-value = 0.2301 Basmann pseudo-F test 1.576 F(3,33) P-value = 0.2138 Test for ivendog produced output as below: ivendog lnfdi Tests of endogeneity of: lnfdi H0: Regressor is exogenous Wu-Hausman F test: 9.22515 F(1,35) P-value = 0.00449 Durbin-Wu-Hausman chi-sq test:8.34380 Chi-sq(1) P-value = 0.00387 * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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