Works fine here:
. xtivreg price mpg (weight turn=length displ
gear_ratio trunk), fe i(rep78)
<ouput omitted>
. dmexogxt
Davidson-MacKinnon test of exogeneity: 2.869836 F( 2,59) P-value =
.0647
. dmexogxt weight
Davidson-MacKinnon test of exogeneity: 0.409 Chi-sqr( 1) P-value =
.5222
Is your version of Stata up-to-date? (check with -query born-)
Willard
-----Oorspronkelijk bericht-----
Van: Ara Stepanian [mailto:[email protected]]
Verzonden: vrijdag 2 augustus 2002 3:35
Aan: [email protected]
Onderwerp: st: dmexogxt problem
Hi,
i just tried to use the dmexogxt program on the auto
example, and there seem to be a problem. I couldn't
figure out where it is from a look at the code.
I would appreciate any suggestions.
Here's how the output looks like:
use auto, clear
(1978 Automobile Data)
. xtivreg price mpg (weight turn=length displ
gear_ratio trunk), fe i(rep78)
Fixed-effects (within) IV regression Number of
obs = 69
Group variable: rep78 Number of
groups = 5
R-sq: within = . Obs per
group: min = 2
between = 0.1619
avg = 13.8
overall = 0.2079
max = 30
Wald
chi2(3) = 157.55
corr(u_i, Xb) = -0.2670 Prob >
chi2 = 0.0000
------------------------------------------------------------------------
------
price | Coef. Std. Err. z P>|z|
[95% Conf. Interval]
-------------+----------------------------------------------------------
------
weight | 10.385 6.42565 1.62 0.106
-2.209046 22.97904
turn | -1925.613 1406.054 -1.37 0.171
-4681.429 830.2023
mpg | -152.0257 163.7232 -0.93 0.353
-472.9172 168.8658
_cons | 54528.87 38204.49 1.43 0.153
-20350.55 129408.3
-------------+----------------------------------------------------------
------
sigma_u | 1526.3689
sigma_e | 4229.6552
rho | .11522388 (fraction of variance due
to u_i)
------------------------------------------------------------------------
------
F test that all u_i=0: F(4,61) = 0.41
Prob > F = 0.7983
------------------------------------------------------------------------
------
Instrumented: weight turn
Instruments: mpg length displacement gear_ratio
trunk
. dmexogxt
invalid syntax
r(197);
. dmexogxt weight
invalid syntax
r(197);
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