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st: RE: F test of joint significance versus Angrist-Pischke F
From
"Schaffer, Mark E" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: RE: F test of joint significance versus Angrist-Pischke F
Date
Tue, 21 Jan 2014 10:53:47 +0000
Diego,
> -----Original Message-----
> From: [email protected] [mailto:owner-
> [email protected]] On Behalf Of David Torres
> Sent: 20 January 2014 22:57
> To: [email protected]
> Subject: st: F test of joint significance versus Angrist-Pischke F
>
> I am using xtivreg for a 2sls regression model and would like to know how to
> obtain the F test of joint significance of excluded regressors. I have one
> endogenous regressor in most models, but a final model includes an
> interaction of the endogenous regressor with dummies for race. Therefore,
> this F-test is preferred to the Angrist-Pischke F-stat that I get after using
> xtoverid with the noisily option.
You need to tell us more about your setup: which versions of Stata, xtivreg, xtoverid; the model you're estimating; what the estimation command is, including the options; that sort of thing. Have a look at the Statalist FAQ for guidelines: http://www.stata.com/support/faqs/resources/statalist-faq/#advice.
> By the way, can someone please explain to me the difference between
> these two F values?
Have you looked at the Angrist-Pischke book? That's where it comes from. There's also a few sentences about it in the -ivreg2- help file.
--Mark
> Thanks,
> Diego Torres
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