-findit ivreset- then -help ivreset- when installed has a excellent
exposition that begins:
As Pagan and Hall (1983) and Pesaran and Taylor (1999) point out, a
RESET test for an IV regression cannot use the standard IV predicted
values X*beta-hat, because X includes endogenous regressors that are
correlated with u.
Try this code instead:
use http://fmwww.bc.edu/ec-p/data/hayashi/griliches76.dta
qui ivreg2 lw s expr tenure rns smsa (iq=med kww)
predict ytilde
mat b=e(b)
mat li b
qui regress iq s expr tenure rns smsa med kww
qui predict double xh
gen yhat=ytil-b[1,1]*iq+b[1,1]*xh
sum yhat, meanonly
qui replace yhat = (yhat-r(min))/(r(max)-r(min))
qui gen double yhat2=yhat^2
qui ivreg2 lw s expr tenure rns smsa yhat2 (iq=med kww)
test yhat2
qui ivreg2 lw s expr tenure rns smsa (iq=med kww)
ivreset
Now, as to why
replace yhat = (yhat-r(min))/(r(max)-r(min))
I cannot tell you, but it's in ivreset.ado
On 16 Mar 2006 19:10:13 +0000, Arne Risa Hole wrote:
> I am using ivreset to do a Pesaran-Taylor Reset test after ivreg2. However,
> I am not able to replicate the result from ivreset manually. For example:
>
> use http://fmwww.bc.edu/ec-p/data/hayashi/griliches76.dta
*
* 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/
