Re: st: RE: F test of joint significance versus Angrist-Pischke F

[David Torres <writeon4truth2@msn.com>]

Thanks, Mark. I'll start a new thread with all the pertinents when I'm at a computer.

Apologies to the list. 

Cheers,
Diego

Sent from my iPhone

> On Jan 21, 2014, at 4:55 AM, "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> wrote:
> 
> Diego,
> 
>> -----Original Message-----
>> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
>> statalist@hsphsun2.harvard.edu] On Behalf Of David Torres
>> Sent: 20 January 2014 22:57
>> To: statalist@hsphsun2.harvard.edu
>> 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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