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st: RE: tests to check robustness of intruments in xtivreg

From   "Schaffer, Mark E" <>
To   <>
Subject   st: RE: tests to check robustness of intruments in xtivreg
Date   Tue, 25 Nov 2008 15:27:22 -0000


> -----Original Message-----
> From: 
> [] On Behalf Of 
> Dinusha Dharmaratna
> Sent: 24 November 2008 22:17
> To:
> Subject: st: tests to check robustness of intruments in xtivreg
> Hi all, 
> I have done 2SLS estimates using different instrumental variables and 
> now need to do robsutness checks. Do you have any idea about 
> the tests 
> that I can conduct? 

You might want to have a look at -xtivreg2-, which has a number of built
in diagnostics and specification tests.  The tests are discussed in the
help file, and also in the two Stata Journal papers by Kit Baum, Steve
Stillman and myself.

-xtivreg2- is downloadable from ssc-archives in the usual way: use the
-findit- command, or just -ssc install xtivreg2-.

You'll also need to install -ivreg2- and -ranktest-.

Hope this helps.

Mark (disclaimer: coauthor of the above)

Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University
Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296

> Also, with XTGLS, how do we select which is the appropriate 
> estimation 
> (i.e. out of independent, correlated, heteroskdastic, ar1, psar1 etc)?
> Thank you very much for all of your kind attention.
> Cheers
> Dinusha
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