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From | Jorge Eduardo Pérez Pérez <jorge_perez@brown.edu> |
To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
Subject | Re: st: Check heteroskedasticity after ivregress gmm |
Date | Mon, 24 Feb 2014 15:44:30 -0500 |
Why do you want to test for heteroskedasticity after using a robust variance estimator? If you implement a estimator that isn't robust to heteroskedasticity, then it is a good idea to test for heteroskedasticity afterwards to check whether your absence of heteroskedasticity assumption is supported by the data. But since you implemented a robust estimator, you are acknowledging that there is heteroskedasticity. No point in performing a test of the null of homoskedasticity against the alternative of heteroskedasticity if you assumed heteroskedasticity in the beginning. In other words, your workflow should be * Estimate under homoskedasticity ivreg2 y (endo = iv) X * Test for heteroskedasticity ivhettest * If evidence of heteroskedasticity, then use robust estimator, with either ivreg2 y (endo = iv) X, gmm robust * Or ivregress gmm y (endo = iv) X ,vce(hac nw opt) Also notice that if you use the gmm option in -ivregress- the resulting standard errors are robust by default. -------------------------------------------- Jorge Eduardo Pérez Pérez Graduate Student Department of Economics Brown University On Fri, Feb 21, 2014 at 11:56 PM, Aksorn Lueanyod <mraon@hotmail.com> wrote: > Dear all, > > I am doing the estimation by using GMM with the robust Newey-West HAC variance > > Does anyone know the command to check heteroskedasticity after the command (STATA 12) > ivregress gmm y (endo = iv) X ,vce(hac nw opt) ....(1) > > I know that the command "ivhettest" is work after ivreg2 > So, I try to replicate (1) by using > ivreg2 y (endo = iv) X ,gmm robust bw(#) ... (2) > > "ivhettest" is work but I have to put # as a number that received from automatic lag choosing by Bartlett kernel from (1) > (I tried bw(#) as bw(auto), it didn't work) > > Please suggest the command to check heteroskedasticity for (1) or the command that (2) can choose automatic lag. > Thank you in advance > > Best regards, > Aksorn > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/faqs/resources/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/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/