Daniel,
> Hi Mark - thanks for the confirmation about the interpretation of the
> endogeneity test.
> When I run
> ivreg2 y (xstar=instrument1 instrument2) other variables, cluster(mag1)
>
> I get no error message.
>
> Here is the output from the two regressions. thanks for any help you or
> anyone else can offer.
My guess is that you are using an older version of ivreg2 that had a bug.
Update to the latest version (2.1.12) and the problem should disappear.
--Mark
>
> Daniel
>
> xi:ivreg2 lncirc currentsite (=pubcurrentrivsites1 pubcurrentsites2)
> pctcurrentrivsites, cluster(mag1)
>
> OLS regression with robust standard errors
> ------------------------------------------
>
> Number of clusters (mag1) = 537 Number of obs =
> 2377
> F( 2, 536) =
> 3.28
> Prob > F =
> 0.0384
> Total (centered) SS = 4643.655397 Centered R2 =
> 0.0052
> Total (uncentered) SS = 74845.78589 Uncentered R2 =
> 0.9383
> Residual SS = 4619.631906 Root MSE =
> 1.4
>
> ------------------------------------------------------------------------------
> | Robust
> lncirc | Coef. Std. Err. z P>|z| [95% Conf.
> Interval]
> -------------+----------------------------------------------------------------
> currentsite | .2428465 .1044253 2.33 0.020 .0381768
> .4475163
> pctcurre~tes | -.1362768 .1446973 -0.94 0.346 -.4198783
> .1473247
> _cons | 5.361131 .0762595 70.30 0.000 5.211666
> 5.510597
> ------------------------------------------------------------------------------
> Hansen J statistic (Lagrange multiplier test of excluded instruments):
> 78.584
> Chi-sq(2) P-val =
> 0.00000
> ------------------------------------------------------------------------------
> Instruments: pubcurrentrivsites1 pubcurrentsites2 currentsite
> pctcurrentrivsites
> ------------------------------------------------------------------------------
>
> . xi:ivreg2 lncirc (currentsite=pubcurrentrivsites1 pubcurrentsites2)
> pctcurrentrivsites, cluster(mag1)
>
> IV (2SLS) regression with robust standard errors
> ------------------------------------------------
>
> Number of clusters (mag1) = 537 Number of obs =
> 2377
> F( 2, 536) =
> 0.25
> Prob > F =
> 0.7780
> Total (centered) SS = 4643.655397 Centered R2 =
> 0.0051
> Total (uncentered) SS = 74845.78589 Uncentered R2 =
> 0.9383
> Residual SS = 4619.91795 Root MSE =
> 1.4
>
> ------------------------------------------------------------------------------
> | Robust
> lncirc | Coef. Std. Err. z P>|z| [95% Conf.
> Interval]
> -------------+----------------------------------------------------------------
> currentsite | .2160351 .5182878 0.42 0.677 -.7997903
> 1.23186
> pctcurre~tes | -.1154665 .4289222 -0.27 0.788 -.9561385
> .7252056
> _cons | 5.365396 .1079534 49.70 0.000 5.153812
> 5.576981
> ------------------------------------------------------------------------------
> Hansen J statistic (overidentification test of all instruments):
> 77.261
> Chi-sq(1) P-val =
> 0.00000
> ------------------------------------------------------------------------------
> Instrumented: currentsite
> Instruments: pubcurrentrivsites1 pubcurrentsites2 pctcurrentrivsites
> ------------------------------------------------------------------------------
>
>
>
>> Daniel,
>>
>>> Hi - I have a couple of questions about ivreg2 and associated
>>> endogeneity/exogeneity tests.
>>>
>>> 1. I want to assess whether a particular variable, xstar, is
>>> endogenous,
>>> so I run:
>>> ivreg2 y xstar (=instrument1 instrument2) other variables,
>>> orthog(xstar).
>>> the C-statistic allows me to assess endogeity of xstar. Is that
>>> correct?
>>> This should give me the equivalent results as doing
>>> ivreg y (xstar=instrument1 instrument2) other variables, followed by
>>> ivendog star.
>>> is that correct?
>>
>> Yes (though I think you mean -ivendog xstar-).
>>
>>>
>>> 2. If so, then I am not sure why I am having the following problem.
>>>
>>> I run
>>> ivreg2 y xstar (=instrument1 instrument2) other variables,
>>> orthog(xstar)
>>> cluster(id).
>>>
>>> In other words, I have simply added the cluster option. When I do so,
>>> stata
>>> tells me:
>>> Collinearity/identification problems in restricted equation: C
>>> statistic
>>> not calculated for orthog option.
>>>
>>> I only have this problem when I include the cluster option on ivreg2.
>>
>> The C-stat works here by comparing two estimations, one with xstar
>> exogenous and one with it endogenous:
>>
>> ivreg2 y xstar (=instrument1 instrument2) other variables
>>
>> ivreg2 y (xstar=instrument1 instrument2) other variables
>>
>> Something is going wrong with the latter estimation. Try estimating it
>> explicitly with the cluster option and see what the error message is.
>>
>> Hope this helps.
>>
>> --Mark
>>
>>> what am I doing wrong? thanks. Daniel
>>>
>>>
>>>
>>>
>>> Daniel Simon
>>> Assistant Professor
>>> Department of Applied Economics and Management
>>> Cornell University
>>> (607) 255-1626
>>>
>>> *
>>> * 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/
>>>
>>
>>
>> Prof. Mark Schaffer
>> Director, CERT
>> Department of Economics
>> School of Management & Languages
>> Heriot-Watt University, Edinburgh EH14 4AS
>> tel +44-131-451-3494 / fax +44-131-451-3294
>> email: [email protected]
>> web: http://www.sml.hw.ac.uk/ecomes
>>
>>
>>
>> __________________________________________________________________
>>
>> DISCLAIMER:
>>
>> This e-mail message is subject to http://www.hw.ac.uk/disclaim.htm
>> __________________________________________________________________
>>
>> *
>> * 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/
>>
>
>
>
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3294
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
__________________________________________________________________
DISCLAIMER:
This e-mail message is subject to http://www.hw.ac.uk/disclaim.htm
__________________________________________________________________
*
* 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/
