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Re: st: RE: which F-test do I report from xtivreg first stage


From   David Torres <writeon4truth2@msn.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: RE: which F-test do I report from xtivreg first stage
Date   Fri, 6 Dec 2013 17:32:23 -0600

Thanks, Mark.
Cheers

Sent from my iPhone

> On Dec 6, 2013, at 5:22 PM, "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> wrote:
> 
> David,
> 
>> -----Original Message-----
>> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
>> statalist@hsphsun2.harvard.edu] On Behalf Of David Torres
>> Sent: 06 December 2013 21:32
>> To: statalist@hsphsun2.harvard.edu
>> Subject: st: which F-test do I report from xtivreg first stage
>> 
>> Hello again, Statalisters,
>> 
>> I am utilizing the xtivreg's postestimation command, xtoverid (with the noisily
>> option), to get first stage estimates along with the F-test.
>> 
>> I am unsure which of the F-tests I'm supposed to report.  At the top of the OLS
>> regression of the first stage there is the F for the model.
> 
> That's not the right one - it tests the joint significance of all the regressors, whereas you want the F that is a test of just the excluded instruments.
> 
>>  Below the first stage
>> model, though, is the F-test of excluded instruments, also called the Angrist-
>> Pischke multivariate F test of excluded instruments.
> 
> These are two different Fs unless you have a single endogenous regressor, in which case they coincide.  Sounds like they coincide in your case. 
> 
>>  I'm thinking it's the latter
>> that I should be reporting.  Am I right?
> 
> Yes, that's the one.
> 
> --Mark
> 
>> Diego
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