For the FE robust endogeneity test stat do as follows.
Under the section of code:
if "`model'" == "fe" {
Insert endog(`instd') after noid.
-Steve
On Thu, Aug 27, 2009 at 8:07 AM, Steven Archambault<[email protected]> wrote:
> I also had trouble with renaming the xtoverid file to myxtoverid, so I
> actually just worked directly with the original file. That seemed to
> work. I haven't been able to adjust the code so I get the endogeneity
> test stat for the FE version, but still trying.
>
> -Steve
>
>
>
>
>
> On Thu, Aug 27, 2009 at 3:53 AM, Ingham, Hilary<[email protected]> wrote:
>> Dear Martin
>>
>> Many thanks for your quick reply.
>>
>> Hilary
>>
>> -----Original Message-----
>> From: [email protected] [mailto:[email protected]] On Behalf Of Martin Weiss
>> Sent: 27 August 2009 10:35
>> To: [email protected]
>> Subject: AW: st: xtivreg2 Random Effects and Durbin Wu Hausman
>>
>>
>> <>
>>
>> Just
>>
>> ******
>> ssc install xtoverid
>> ******
>>
>> and then -which xtoverid- tells you the location of the ado. Nick`s -ssc d
>> fedit- is also great for there purposes...
>>
>> HTH
>> Martin
>>
>>
>> -----Ursprüngliche Nachricht-----
>> Von: [email protected]
>> [mailto:[email protected]] Im Auftrag von Ingham, Hilary
>> Gesendet: Donnerstag, 27. August 2009 11:29
>> An: [email protected]
>> Betreff: RE: st: xtivreg2 Random Effects and Durbin Wu Hausman
>>
>> Hi Mark/Steve
>>
>> I have been following this as I am also trying to generate the DWH
>> statistic. I have located xtoverid and found the lines where the additions
>> need to be made. However, how do I get this modified file into Stata? My
>> first attempt was to download xtroverid from RPEC but when I saved this it
>> was a .mht file despite the .ado at the end and I could not edit it anyway.
>> Then I just typed xtoverid directly into Stata and the whole programme just
>> printed out.
>>
>> I am sorry if this sounds a very elementary problem but I am new to
>> Statalist and this is my first attempt at anything 'non-standard'.
>>
>> Thanks
>>
>> Hilary Ingham
>>
>> -----Original Message-----
>> From: [email protected]
>> [mailto:[email protected]] On Behalf Of Schaffer, Mark E
>> Sent: 26 August 2009 23:23
>> To: [email protected]
>> Subject: RE: st: xtivreg2 Random Effects and Durbin Wu Hausman
>>
>> 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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>>> >> >
>>> >>
>>> >> *
>>> >> * For searches and help try:
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>>> >>
>>> >
>>> >
>>> > --
>>> > 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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>
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