st: ivreg2 C-statistic with liml & robust options

[Roger Harbord <roger.harbord@bristol.ac.uk>]

If I use -ivreg2- with both the -liml- and -robust- options i get LIML point 
estimates with heteroskedasticity-robust standard errors (very nice, my 
thanks to Baum, Schaffer & Stillman).

But if i use the -orthog()- option to test the endogeneity of a regressor, 
the resulting C-statistic doesn't appear to change depending on whether or 
not I use the -robust- option. However it does change with use of -robust- if 
i use 2SLS instead of LIML. (i have ivreg2 version 2.0.06 from SSC)

Does this mean that the C-statistic given by -orthog()- is ignoring the 
-robust- option  when I use LIML? If so is there an alternative? Baum, 
Schaffer & Stillman (2003) appear to question the use of -hausman- with 
robust standard errors (section 5.2 & footnote 21), and -ivendog- won't work 
either.

I'm new to IV so my apologies if i'm hopelessly confused..

Thanks,
Roger.

C. F. Baum, M. E. Schaffer, and S. Stillman. Instrumental variables and GMM: 
Estimation and testing. Stata Journal 3 (1):1-31, 2003.

--
Roger Harbord
Department of Social Medicine, University of Bristol
http://www.epi.bris.ac.uk

*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/