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st: Hansen J with orthog option


From   "Priydarshini Mahabir" <lexpam@nottingham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Hansen J with orthog option
Date   Fri, 03 Mar 2006 11:54:21 +0000

Thank you very much for your suggestion on first stage F and estout.

The following query might be very similar to one posted by a statalister recently. But I am still very confused and would like to ask following: 

I am running a regression (below), with the gmm robust cluster option to cater for any arbitrary heteroskedasticity and group correlation. Based on intuition, variable lchx is correlated with the error term. I want to formally test this. Since ivendog cannot be used with robust or cluster , I use the "orthog" option.

Regression:

ivreg2 limp lgdpm lcapm lgdpx lcapx  ldist lareap landl island border comlang comcol colony lchx (= lchgdp iecor), ffirst gmm robust cluster(pid) orthog(lchx)

----test reult----
------------------------------------------------------------------------------
Hansen J statistic (Lagrange multiplier test of excluded instruments):  90.466
                                                                             Chi-sq(2) P-val =    0.0000
-orthog- option:
Hansen J statistic (eqn. excluding suspect orthog. conditions):          0.022
                                                                              Chi-sq(1) P-val =    0.8829

C statistic (exogeneity/orthogonality of suspect instruments):          90.445
                                                                               Chi-sq(1) P-val =    0.0000
Instruments tested:   lchx
--------------------------------
Included instruments: lgdpm lcapm lgdpx lcapx ldist lareap landl island border
                      comlang comcol colony lchx
Excluded instruments: lchgdp iecor
--------------------------------------------------------------------------------------------
Questions:

1. The C stat confirms that lchx is in fact endogenous and IV technique is appropriate. Is this correct?

2. But which Hansen J stat would indicate whether instruments are valid or not? What is the difference between the two and why is there such a large disparity in magnitude?

Many thanks
Priya


Research Postgraduate
Leverhulme Centre for Research on Globalisation and Economic Policy
C42, School of Economics 
The University of Nottingham
University Park
Nottingham,
NG7 2RD
UK
Tel: + 44  (0)115 951 5870

>>> M.E.Schaffer@hw.ac.uk 03/02/06 4:58 pm >>>
Priya,

If you have one endogenous variable, and you want a robust first-stage
F-statistic, then you can extract it from the saved -e(first)- matrix.
Just do an -ivreg2- estimation, type -mat list e(first)-, and you'll see
where the F-stat is saved.

Cheers,
Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Priydarshini Mahabir
> Sent: 02 March 2006 16:23
> To: statalist@hsphsun2.harvard.edu 
> Subject: st: First stage F and estout
> 
> Hi,
> I am using the following command to estimate a gravity model 
> (panel data)
> 
> ivreg2 limp lgdpm lcapm lgdpx lcapx  ldist lareap landl 
> island border comlang comcol colony iicor iecor (lhkchx= 
> lhkchgdp ichcor ihkcor), first gmm robust cluster(pid)
> 
> I am tabulating the results using the estout command. 
>  estout *, cells(b(star fmt(%9.3f)) se(par)) style (fixed) 
> stats( r2 j jp idstat idp )
> 
> My question is how to get the first stage F statistic (test 
> for excluded instruments)  in the table as well? When I 
> include "F" within the stats( ), i only get the 2nd stage F stat. 
> 
> Is there any other command for tabulating regression results? 
> Many thanks
> 
> Priya
> 
> Research Postgraduate
> Leverhulme Centre for Research on Globalisation and Economic 
> Policy C42, School of Economics The University of Nottingham 
> University Park Nottingham,
> NG7 2RD
> UK
> Tel: + 44  (0)115 951 5870
> 
> 
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