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Re: st: RE: ivreg2 post-estimation tests


From   Abekah Nkrumah <ankrumah@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: ivreg2 post-estimation tests
Date   Sun, 27 May 2012 16:04:22 +0100

Dear Mark,

Thank you very much for your suggestion. I am very grateful for the
help. O do know how to use GMM manually so will try that out so that I
can calculate the overidentification test. Once again I will want to
express my deepest appreciation for the terrific and incredible help
you give us on this platform. Thank you very much.

God Bless

Gordon

On Sat, May 26, 2012 at 11:07 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 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
>> >> *
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>> >>
>> >
>> >
>> > --
>> > 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.
>> >
>> >
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>
>
> --
> 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.
>
>
> *
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