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RE: st: Check heteroskedasticity after ivregress gmm


From   Aksorn Lueanyod <[email protected]>
To   "[email protected]" <[email protected]>
Subject   RE: st: Check heteroskedasticity after ivregress gmm
Date   Tue, 25 Feb 2014 09:51:34 +0700

Dear Jorge Eduardo Pérez Pérez,

Thank you so much for your explanation. 
It make me get some points I used to misunderstand.

Best wishes,
Aksorn

----------------------------------------
> From: [email protected]
> Date: Mon, 24 Feb 2014 15:44:30 -0500
> Subject: Re: st: Check heteroskedasticity after ivregress gmm
> To: [email protected]
>
> 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 <[email protected]> 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
>>
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>
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