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re: st: IV test for nondynamic panel data estimation


From   Hewan Belay <hewan_belay@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   re: st: IV test for nondynamic panel data estimation
Date   Tue, 15 Feb 2011 07:23:11 -0800 (PST)

Thank you Kit. I was wondering whether there was an official stata command, but given there seems not to be, I'll work wtih xtivreg2.
Thanks,
Hewan

--- On Mon, 2/14/11, Christopher F Baum <baum@bc.edu> wrote:

> From: Christopher F Baum <baum@bc.edu>
> Subject: re: st: IV test for nondynamic panel data estimation
> To: statalist@hsphsun2.harvard.edu
> Date: Monday, February 14, 2011, 10:01 PM
> <>
> My question concerns instrument-validity tests in (a) panel
> data estimations which (b) don’t have a dynamic
> element. For *dynamic* panel data models, there is extensive
> discussion on how to implement Hansen and Sargan tests of
> the instruments’ strength and relevance, i.e. for
> commands xtabond, xtdpd, and xtdpdsys. I don’t see
> similar discussion for any of the other xt commands. There
> is some discussion in association with the –gmm-
> command, but this appears to be again related to dynamic
> models. The –hausman- test is only discussed (in the
> case of panel data estimations) in the context of the
> possible correlation of RHS variables with individual
> effects, e.g. application of hausman to see whether random
> effects estimation will yield consistent estimates or
> whether fixed effects estimation will have to be used.
> However, I am interested in tests of instruments, which are
> intended to address endogeneity in the sense of RHS
> variable(s) being
>  correlated with the error term, not with the individual
> effects. This is provided in the stata manual for
> non-panel-data contexts (e.g. –ivregress-, e.g.
> through the postest command -estat overid-) but not for
> panel data contexts (e.g. –xtivreg-).
> 
> So in sum, my question is, where do I find the commands
> which can be used to test IVs’ strength and relevance
> in nondynamic panel data models.
> 
> 
> ssc desc xtivreg2
> ssc desc  ivreg2
> ssc desc ranktest
> 
> KIt
> 
> Kit Baum   |   Boston College
> Economics and DIW
> Berlin   |   http://ideas.repec.org/e/pba1.html
> An Introduction to Stata
> Programming   |   http://www.stata-press.com/books/isp.html
> An Introduction to Modern Econometrics Using
> Stata   |   http://www.stata-press.com/books/imeus.html
> 
> 
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