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From |
Ekrem Kalkan <[email protected]> |

To |
[email protected] |

Subject |
Re: st: RE: RE: ivhettest |

Date |
Mon, 11 Jan 2010 00:21:28 +0200 |

First I set my panel units: "xtset productid marketid" "marketid" is created by egen marketid=group(city month). Then, I run the following: ivreg2 y (x1 x2 = z1 z2 z3 ) productdummies citydummies monthdummies othervariables Here is the trace of "ivhettest, bpg" after this regression: - version 7.0 - local version 1.1.7 - syntax [varlist(default=none)] [if] [in] [, ivlev ivsq ivcp fitlev fitsq ph phnorm phsym nr2 bpg all ] - if "`e(cmd)'" != "ivreg" & "`e(cmd)'" != "ivreg2" & "`e(cmd)'" != "ivgmm0" & "`e(cmd)'" != "regress" { = if "ivreg2" != "ivreg" & "ivreg2" != "ivreg2" & "ivreg2" != "ivgmm0" & "ivreg2" != "regress" { error 301 } - if "`e(fwlcons)'`e(partialcons)'" != "" { = if "0" != "" { - di in r "ivhettest not allowed after ivreg2 with partial (previously fwl) option" ivhettest not allowed after ivreg2 with partial (previously fwl) option - error 499 } I hope this helps. Thanks. Ekrem. 2010/1/10 Martin Weiss <[email protected]>: > > <> > > " There is not the "partial" command." > > > -partial- would be an option to -ivreg2-, not a command. It is probably best > if you just show the sequence of commands as typed in the command line, and > as the FAQ request. In the absence of this information, the problem is > difficult to diagnose. Also -set trace on- and report the lines around the > error. > > > HTH > Martin > > -----Ursprüngliche Nachricht----- > Von: [email protected] > [mailto:[email protected]] Im Auftrag von Ekrem Kalkan > Gesendet: Sonntag, 10. Januar 2010 22:53 > An: [email protected] > Betreff: Re: st: RE: RE: ivhettest > > 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/ > > > * > * 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/

**Follow-Ups**:**RE: st: RE: RE: ivhettest***From:*"Schaffer, Mark E" <[email protected]>

**References**:**st: ivhettest***From:*Ekrem Kalkan <[email protected]>

**st: RE: ivhettest***From:*DE SOUZA Eric <[email protected]>

**st: RE: RE: ivhettest***From:*"Schaffer, Mark E" <[email protected]>

**Re: st: RE: RE: ivhettest***From:*Ekrem Kalkan <[email protected]>

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