Hello,
My observations are in 3-dimensional space: Product x City x Time.
I have 93 products as cross-sectional units. Instead of using
commands like xtivreg or xtivreg2, I use dummy variables for each
cross-sectional units and run the model with command "ivreg2". There
is not the "partial" command.
My equation is below:
ivreg2 y (x1 x2 = z1 z2 z3 ) productdummies citydummies monthdummies
othervariables
Then I implement "ivhettest" and get the error I had wrote previously.
Thanks.
Ekrem.
2010/1/10 Schaffer, Mark E <[email protected]>:
> Ekrenm,
>
> In addition to what Eric and Martin have said, I should note that the
> test employed by -ivhettest- (as well as Stata's -estat hettest- and
> others, I suspect) isn't valid after panel data estimation with fixed
> effects.
>
> The reason is that the test based on the contrast between the classical
> non-robust VCV and the heteroskedastic-robust VCV, as per White
> (Econometrica 1980). However, as Stock and Watson (Econometrica 2008)
> have shown, the standard Eicker-Huber-White-robust-sandwich VCV isn't
> consistent for the standard fixed effects estimator. Thus the test
> isn't valid, because in the presence of heteroskedasticity it's
> contrasting two different inconsistent VCVs.
>
> --Mark
>
>> -----Original Message-----
>> From: [email protected]
>> [mailto:[email protected]] On Behalf Of DE
>> SOUZA Eric
>> Sent: 10 January 2010 20:56
>> To: '[email protected]'
>> Subject: st: RE: ivhettest
>>
>> It says what is says. You used the "partial" option with
>> ivreg2. This partials out the effects of certain variables.
>> When you use this option, you cannot use ivhettest after it.
>>
>> If you did not use the "partial" option with the command
>> -ivreg2-, please indicate exactly what you did.
>>
>>
>> Eric de Souza
>> College of Europe
>> BE-8000 Brugge (Bruges)
>> Belgium
>>
>> -----Original Message-----
>> From: [email protected]
>> [mailto:[email protected]] On Behalf Of
>> Ekrem Kalkan
>> Sent: 10 January 2010 21:50
>> To: [email protected]
>> Subject: st: ivhettest
>>
>> Dear Stata users,
>>
>> After running a regression with "ivreg2" command, I run "ivhettest"
>> command for testing for heteroscedasticity. But, I receive the error
>> below:
>>
>> . ivhettest, bpg
>> ivhettest not allowed after ivreg2 with partial (previously
>> fwl) option
>>
>> Could you tell me what does this mean and how can I test
>> heteroscedasticiy after an IV regression with panel data.
>>
>> Thank you.
>>
>> Ekrem Kalkan
>> Turkish Competition Authority.
>> *
>> * For searches and help try:
>> * http://www.stata.com/help.cgi?search
>> * http://www.stata.com/support/statalist/faq
>> * http://www.ats.ucla.edu/stat/stata/
>>
>> *
>> * For searches and help try:
>> * http://www.stata.com/help.cgi?search
>> * http://www.stata.com/support/statalist/faq
>> * http://www.ats.ucla.edu/stat/stata/
>>
>
>
> --
> Heriot-Watt University is a Scottish charity
> registered under charity number SC000278.
>
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
