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st: RE: XTIVREG first-stage F-statistic
From
"Schaffer, Mark E" <[email protected]>
To
<[email protected]>
Subject
st: RE: XTIVREG first-stage F-statistic
Date
Fri, 22 Oct 2010 11:14:22 +0100
Nicole,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Nicole Au
> Sent: 22 October 2010 01:26
> To: [email protected]
> Subject: st: XTIVREG first-stage F-statistic
>
> Dear all
>
> I am using XTIVREG to estimate an instrumental variables
> random effects model with 3 waves of panel data.
> Does anyone know how I can obtain the F-statistic of the
> instruments in the first-stage regression?
xtivreg has a -first- option. If you've got a single endogenous
regressor, you can take the t or z stat (I think it's a z stat) from the
first stage regression and manipulate it to get a first-stage F stat.
If that doesn't work ... I have an undocumented but mostly working
version of xtivreg2 that does random effects estimation. If you contact
me off-list, I can send it to you.
Best wishes,
Mark
>
> I understand xtivreg2 displays the F-stat for fixed-effects
> or first-differences IV models, however there is no random
> effects option for xtivreg2.
>
> Thanks,
>
> Nicole
>
>
>
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