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

To |
<[email protected]> |

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

Date |
Sun, 10 Jan 2010 23:57:09 -0000 |

Ekrem, > -----Original Message----- > From: [email protected] > [mailto:[email protected]] On Behalf Of > Ekrem Kalkan > Sent: 10 January 2010 23:21 > To: [email protected] > Subject: Re: st: RE: RE: ivhettest > > Mark, > In this case, would you suggest any other test of > heteroscedasticity for an IV regression with panel data? It's possible that some of the other heteroskedasticity tests out there work with the fixed effects estimator, but I don't know which ones (if any) these would be. > A similar question is for a test of autocorrelation. I use "abar" > (Arellano-Bond test of autocorrelation) do you think it is > suitable for the IV panel regression ? It's suitable for IV panel regression, but not fixed effects with dynamic models - see the abar help file for more detail on all this. Cheers, Mark > Thanks a lot. > > Ekrem. > > > 2010/1/11 Schaffer, Mark E <[email protected]>: > > Ekrem, > > > > The problem is a fundamental econometric problem, and it > doesn't matter whether you use xtivreg2,fe or ivreg2 with > dummies - it's the same problem. > > > > If you check out their paper, you'll see that the bias in > the usual Eicker-Huber-White-sandwich-robust VCE is > proportional to 1/(T-1). If T is large enough for you to > conclude the bias is small, you should be OK. But if T is > small, then any tests that use this VCE won't be consistent. > > > > Cheers, > > Mark > > > >> -----Original Message----- > >> From: [email protected] > >> [mailto:[email protected]] On Behalf Of Ekrem > >> Kalkan > >> Sent: 10 January 2010 22:56 > >> To: [email protected] > >> Subject: Re: st: RE: RE: ivhettest > >> > >> Thank you Mark , it now works. > >> > >> Regarding the problem with fixed-effects, do you think > that I can use > >> ivhettest after the command ivreg2 by adding panelid dummies as > >> regressors instead of a regression with xtivreg2. > >> > >> Ekrem. > >> > >> 2010/1/11 Schaffer, Mark E <[email protected]>: > >> > 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/ > >> > > >> > >> * > >> * 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/ > -- 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]>

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

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

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