Thank you very much Martin and Ben for your responses. I am sorry I
was away last week so couldn't check your responses.
I will try your suggestions.
My apologies for not having thought of sending the link of ivtest.
Best regards,
Nirina
On Tue, Feb 10, 2009 at 4:36 AM, Ben Jann <[email protected]> wrote:
> Martin wrote:
>> Look at the last page of
>> http://www.tulane.edu/~economic/RePEc/pdf/tul0901.pdf for the returned
>> results...
>
> Ok, -ivtest- seems to return the results as r() scalars and macros. To
> add, say, the CLR statistic and its p-value, type
>
> . use http://fmwww.bc.edu/ec-p/data/hayashi/griliches76.dta
> . eststo q1: ivreg2 lw s expr tenure rns smsa (iq=med kww age mrt), robust
> . ivtest, ci
> . estadd scalar r(clr_p)
> . estadd scalar r(clr_stat)
> . eststo q2: ivreg2 lw s expr tenure rns smsa age mrt (iq=med kww), robust
> . ivtest, ci
> . estadd scalar r(clr_p)
> . estadd scalar r(clr_stat)
> . estout q1 q2, cells(b(star fmt(3)) se(par) ) stats(r2_a N widstat jp
> clr_p clr_stat, fmt(3))
>
> The confidence sets seem to be returned as string macros. To display
> them in -estout- type, e.g.,
>
> .estadd local clr_cset = r(clr_cset)
>
> and then
>
> . estout q1 q2, ... stats(... clr_cset)
>
> ben
>
>> On Tue, Feb 10, 2009 at 12:25 AM, Nirina F <[email protected]> wrote:
>>> Hello,
>>> I am not very familiar with estout.
>>> My questions are:
>>> 1-how do I put the matrix results from my ivtest below after my
>> regressions?
>>> 2-When I use append, the second equation result is reported under the
>>> first equation. I saw that I could do estout eq1 eq2 but that means I
>>> have to also name the matrices from ivtest after eq2 differently to be
>>> put under eq2?
>>>
>>> . use http://fmwww.bc.edu/ec-p/data/hayashi/griliches76.dta
>>>
>>> . eststo q1: ivreg2 lw s expr tenure rns smsa (iq=med kww age mrt),
>> robust
>>>
>>> . ivtest, ci
>>>
>>> Weak instrument robust tests and confidence sets for linear IV
>>> H0: beta[lw:iq] = 0
>>>
>>>
>> ----------------------------------------------------------------------------
>> -----------------------------------------
>>> Test | Statistic p-value
>>> 95% Confidence Set
>>>
>> ------+---------------------------------------------------------------------
>> -----------------------------------------
>>> CLR | stat(.) = 57.03 Prob > stat = 0.0000
>>> [-.257136,-.039481]
>>> AR | chi2(4) = 91.35 Prob > chi2 = 0.0000
>>> null set
>>> LM | chi2(1) = 18.20 Prob > chi2 = 0.0000
>>> [-.4880471,-.0349708] U [ .0093415, .0202192]
>>> J | chi2(3) = 73.15 Prob > chi2 = 0.0000
>>> LM-J | H0 rejected at 5% level
>>>
>> ------+---------------------------------------------------------------------
>> -----------------------------------------
>>> Wald | chi2(1) = 4.90 Prob > chi2 = 0.0269
>>> [-.021772,-.001322]
>>>
>> ----------------------------------------------------------------------------
>> -----------------------------------------
>>> Note: Wald test not robust to weak instruments. LM-J confidence set
>>> not available with closed-form estimation (use
>>> usegrid option).
>>>
>>> estout using ivequ.xls, cells(b(star fmt(3)) se(par) ) stats(r2_a N
>>> widstat jp, fmt(3))
>>>
>>> eststo q2: ivreg2 lw s expr tenure rns smsa age mrt (iq=med kww), robust
>>>
>>> ivtest, ci
>>>
>>>
>>> Weak instrument robust tests and confidence sets for linear IV
>>> H0: beta[lw:iq] = 0
>>>
>>>
>> ----------------------------------------------------------------------------
>> -----------------------------------------
>>> Test | Statistic p-value
>>> 95% Confidence Set
>>>
>> ------+---------------------------------------------------------------------
>> -----------------------------------------
>>> CLR | stat(.) = 0.03 Prob > stat = 0.8628
>>> [-.009783, .010634]
>>> AR | chi2(2) = 2.62 Prob > chi2 = 0.2694
>>> [-.0089519, .0099214]
>>> LM | chi2(1) = 0.03 Prob > chi2 = 0.8673
>>> [-.0100928, .0108969] U [ .1412529, 1.348119]
>>> J | chi2(1) = 2.60 Prob > chi2 = 0.1072
>>> LM-J | H0 not rejected at 5% level
>>>
>> ------+---------------------------------------------------------------------
>> -----------------------------------------
>>> Wald | chi2(1) = 0.05 Prob > chi2 = 0.8205
>>> [-.008054, .010162]
>>>
>> ----------------------------------------------------------------------------
>> -----------------------------------------
>>> Note: Wald test not robust to weak instruments. LM-J confidence set
>>> not available with closed-form estimation (use
>>> usegrid option).
>>>
>>>
>>> estout using ivequ.xls, append cells(b(star fmt(3)) se(par) )
>>> stats(r2_a N widstat jp, fmt(3))
>>>
>>>
>>>
>>> Thank you,
>>> Nirina
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