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RE: st: xtivreg2 Random Effects and Durbin Wu Hausman


From   "Schaffer, Mark E" <[email protected]>
To   <[email protected]>
Subject   RE: st: xtivreg2 Random Effects and Durbin Wu Hausman
Date   Wed, 26 Aug 2009 23:23:06 +0100

Steve,

> -----Original Message-----
> From: [email protected] 
> [mailto:[email protected]] On Behalf Of 
> Steven Archambault
> Sent: 26 August 2009 22:46
> To: [email protected]
> Subject: Re: st: xtivreg2 Random Effects and Durbin Wu Hausman
> 
> Okay, great. Its working. Thanks! I suppose there are other 
> bits of code I could add to get additional test results from 
> the -xtoverid - -robust noisily- options.

Yes, not hard to do.

> I am thinking the 
> endogeneity test for the FE regression. Also, I'd like to get 
> the weak and underidentification instrument tests for the FE 
> and RE robust. Those might take a bit more programming I 
> suppose. Actually, why isn't RE available for xtivreg2?

I started working on it, and then switched to a more general estimator that would allow the user complete control over the range of orthogonality conditions: Hausman-Taylor, RE, FE, FD, EC2SLS, G2SLS, etc. etc. would all be special cases using different combinations of regressors/instruments in mean-deviations/group means/GLS-transforms/levels/first-differences/etc. etc.  But after I got it mostly working I got distracted by other things.  Someday, I hope, I'll return to it and finish it off.

--Mark

> 
> Ciao,
> Steve
> 
> 
> 
> On Wed, Aug 26, 2009 at 2:18 PM, Schaffer, Mark 
> E<[email protected]> wrote:
> > Steve,
> >
> >> -----Original Message-----
> >> From: [email protected]
> >> [mailto:[email protected]] On Behalf Of Steven 
> >> Archambault
> >> Sent: 26 August 2009 21:05
> >> To: [email protected]
> >> Subject: Re: st: xtivreg2 Random Effects and Durbin Wu Hausman
> >>
> >> Hey Mark,
> >>
> >> Maybe I am missing something. But, I don't see a statistic that is 
> >> equivalent to a Durbin-Wu-Hausman value when I call 
> xtoverid. I have 
> >> added your suggested changes to the code.  I want to compare the 
> >> instrumentalized equation against the non-instrumentalized version.
> >> Back to my original post, I am asking if a simple F-test would 
> >> suffice for this. Maybe I am not quite clear on something here.
> >
> > The -endog- option of -ivreg2- and -xtivreg2-, which you 
> added to the 
> > internal call to -ivreg2-, reports a GMM-type 
> Durbin-Wu-Hausman test.  
> > It's reported in the footer of the -ivreg2- output, under 
> the heading
> >
> > -endog- option:
> > Endogeneity test of endogenous regressors:
> >
> > This test is what you want.  In the special case of 
> conditional homoskedasticity, it's numerically equivalent to 
> a standard DWH test.  You're using -robust- so the test stat 
> being reported is correspondingly robust (unlike the 
> traditional DWH test).
> >
> > See the help file of -ivreg2- or the SJ papers by Kit Baum, 
> Steve Stillman and myself for details.
> >
> > Cheers,
> > Mark
> >
> >
> >>
> >> Thanks,
> >>
> >> Steve
> >>
> >> On Wed, Aug 26, 2009 at 7:16 AM, Schaffer, Mark 
> >> E<[email protected]> wrote:
> >> > Steve,
> >> >
> >> >> -----Original Message-----
> >> >> From: Steven Archambault [mailto:[email protected]]
> >> >> Sent: 26 August 2009 00:07
> >> >> To: [email protected]
> >> >> Subject: xtivreg2 Random Effects and Durbin Wu Hausman
> >> >>
> >> >> Hi all,
> >> >>
> >> >> I have been playing around with testing for endogeneity 
> in panel 
> >> >> regression models. Some of the methods discussed by Baum
> >> (Intro. to
> >> >> Econometrics Using Stata) to calculate DWH do not work 
> with panel 
> >> >> data, and more so with Random Effects models. So, would it
> >> make sense
> >> >> to use the following to calculate a DW F-statistic? What other 
> >> >> methods could be used?
> >> >>
> >> >>
> >> >> xtreg policy instrument1 instrument2 gdp trade year, re robust; 
> >> >> predict policy_res, e; xtreg invest policy trade gdp  year 
> >> >> policy_res, re robust; test policy_res;
> >> >
> >> > I'm pretty sure this doesn't work (or if it does, I 
> haven't seen it 
> >> > demonstrated).
> >> >
> >> > Am I right to think that your RE estimation is this?
> >> >
> >> > xtivreg invest gdp trade year (policy=instrument1 
> instrument2), re
> >> >
> >> > and that you want robust or cluster-robust test of the
> >> exogeneity of
> >> > policy?
> >> >
> >> > I think you can get -xtoverid- to do this for you, but 
> it requires 
> >> > hacking the code and using the -noisily- option.
> >> >
> >> > You might want to make a copy of xtoverid.ado and call it 
> >> > myxtoverid.ado.  Then make the following changes:
> >> >
> >> > 1.  In the "program define" line at the top, change 
> "program define 
> >> > xtoverid" to "program define myxtoverid".
> >> >
> >> > 2.  Look for the line that has
> >> >
> >> > if "`model'"=="g2sls" {
> >> >
> >> > Below that are three calls to -ivreg2-.
> >> >
> >> > 3.  At the end of the first two calls to -ivreg2-, after
> >> "noid", add
> >> > the following (as a continuation of the same line):
> >> >
> >> > endog(`instd_g')
> >> >
> >> > 4.  At the end of the third call to -ivreg2-, after "noid" add
> >> >
> >> > endog(`inexog_g' `instd_g')
> >> >
> >> > 5.  After estimation, call -myxtoverid- with the 
> -noisily- option.
> >> > The internal reestimation of the equation will be 
> displayed and an 
> >> > endogeneity test for all endogenous regressors will be included.
> >> >
> >> > Note that if you estimate using EC2SLS, unless the panel is
> >> balanced
> >> > the degrees of freedom of the test will be more than you 
> expect and 
> >> > the test statistic will probably be misleadingly low.  The
> >> explanation
> >> > has to do with (what seems to me, at any rate) the rather
> >> peculiar way
> >> > exogenous regressors are treated by Stata's -xtivreg- in an
> >> unbalanced
> >> > panel using EC2SLS.  There are more details in the last
> >> paragraph of
> >> > the -xtoverid- help file.
> >> >
> >> > Cheers,
> >> > Mark
> >> >
> >> >> Thanks,
> >> >> Steve
> >> >>
> >> >
> >> >
> >> > --
> >> > Heriot-Watt University is a Scottish charity registered
> >> under charity
> >> > number SC000278.
> >> >
> >> >
> >> > *
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> >
> >
> > --
> > Heriot-Watt University is a Scottish charity registered 
> under charity 
> > number SC000278.
> >
> >
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registered under charity number SC000278.


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