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From |
"Schaffer, Mark E" <[email protected]> |

To |
<[email protected]> |

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

Date |
Sun, 10 Jan 2010 22:37:41 -0000 |

Ekrem, This is a bug I accidentally introduced into a recent update of ivhettest, and which I subsequently corrected shortly thereafter. You must be one of the few who downloaded the buggy version. If you reinstall ivhettest, the new version should work. That said, the Stock-Watson point still stands - unless your data are large-T-large-N (i.e., you have a reasonable number of observations in the time series dimension as well as the cross-section dimension), the test provided by ivhettest won't be consistent with the fixed effects estimator. Best wishes, Mark > -----Original Message----- > From: [email protected] > [mailto:[email protected]] On Behalf Of > Ekrem Kalkan > Sent: 10 January 2010 22:21 > To: [email protected] > Subject: Re: st: RE: RE: ivhettest > > 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/ > -- 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/

**Follow-Ups**:**Re: st: RE: RE: ivhettest***From:*Ekrem Kalkan <[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]>

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

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