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From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: RE: ivreg2 post-estimation tests |

Date |
Sat, 26 May 2012 23:07:24 +0100 |

Gordon, > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Abekah Nkrumah > Sent: 25 May 2012 20:36 > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: RE: ivreg2 post-estimation tests > > Dear Mark, > > Thank you very much for the reply. I should have included in > my mail that am using the cluster robust covariance matrix as > well due to intra-cluster correlations. I had earlier tried > the option you have suggested but the response from stata was > that overid is not valid when using a cluster robust > covariance matrix. Thus the decision to consider the ivreg2 > since I have read lots of it literature and know that the > post-estimation and first-stage statistics are valid even in > the presence of a cluster robust covariance matrix. > > So am some how at a stand still. Thanks very much and will > wait for your feedback > > > Gordon > > > > On Fri, May 25, 2012 at 4:40 PM, Schaffer, Mark E > <M.E.Schaffer@hw.ac.uk> wrote: > > Gordon, > > > >> -----Original Message----- > >> From: owner-statalist@hsphsun2.harvard.edu > >> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Abekah > >> Nkrumah > >> Sent: 25 May 2012 14:22 > >> To: statalist@hsphsun2.harvard.edu > >> Subject: st: ivreg2 post-estimation tests > >> > >> Dear All, > >> > >> I am running ivprobit with factor variables (eg. i.var_name). > >> However, since the post estimation overid command does not support > >> factor variables, it means I will not be able to conduct my > >> overidentification test. > > > > Why don't you create your factor variables by hand and then use > > -ivprobit-? That is, first generate the factor variables > so that they > > are standard Stata variables, and then run your IV probit. > Then you > > can use the overidentification test for IV probit provided > by -overid-. > > > > --Mark > > > >> Thinking through this, I > >> have decided to run a linear probability model using ivreg2 since > >> that support factor variables and therefore will be able > to have the > >> test results for overidentification test. > >> > >> Now considering that the linear probability model is not that > >> different from the probit model, will the test results for > >> (i) overidentification, (ii) underidentification (iii) F test for the > >> joint significance of the instruments (iv) Stock Yogo calculations, > >> be valid for my ivprobit estimation? I think the answer is to (i) is "sort of"; the answer to (ii) and (iii) (which are the same thing) is "not really but better than nothing"; and the answer to (iv) is "no". But maybe there is a simpler solution to your problem. You should be able to use -gmm- to estimate your IV probit, and allow for within-group correlation by using the cluster-robust VCE. -estat overid- after estimation with -gmm- would give you a cluster-robust overidentification test statistic. Estimating the first stage by hand using -regress- with a cluster-robust VCE should (I think) let you test for underidentification in the usual way (but not weak identification - AFAIK, that's not been worked out yet). And if you've not used -gmm- before, there is a probit example in the -gmm- help file to get you started. Cheers, Mark > >> > >> I will appreciate some help on this. Thank you very much > >> > >> Regards > >> > >> Gordon > >> * > >> * 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 the Sunday Times Scottish > University of the > > Year 2011-2012 > > > > 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 the Sunday Times Scottish University of the Year 2011-2012 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: ivreg2 post-estimation tests***From:*Abekah Nkrumah <ankrumah@gmail.com>

**References**:**st: ivreg2 post-estimation tests***From:*Abekah Nkrumah <ankrumah@gmail.com>

**st: RE: ivreg2 post-estimation tests***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**Re: st: RE: ivreg2 post-estimation tests***From:*Abekah Nkrumah <ankrumah@gmail.com>

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