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RE: st: RE: ivreg2 post-estimation tests
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
RE: st: RE: ivreg2 post-estimation tests
Sat, 26 May 2012 23:07:24 +0100
> -----Original Message-----
> From: firstname.lastname@example.org
> [mailto:email@example.com] On Behalf Of
> Abekah Nkrumah
> Sent: 25 May 2012 20:36
> To: firstname.lastname@example.org
> 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
> On Fri, May 25, 2012 at 4:40 PM, Schaffer, Mark E
> <M.E.Schaffer@hw.ac.uk> wrote:
> > Gordon,
> >> -----Original Message-----
> >> From: email@example.com
> >> [mailto:firstname.lastname@example.org] On Behalf Of Abekah
> >> Nkrumah
> >> Sent: 25 May 2012 14:22
> >> To: email@example.com
> >> 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.
> >> I will appreciate some help on this. Thank you very much
> >> Regards
> >> Gordon
> >> *
> >> * For searches and help try:
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> >> * 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: