Vincenzo,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Vincenzo Lombardo
> Sent: Sunday, July 23, 2006 10:22 AM
> To: [email protected]
> Subject: ivhettest: heteroskedastic IV in panel estimation
>
> dear all,
> i am using this commands (ivreg2, gmm) for my panel
> estimation; my issue is this one: i have to assess if using
> IV estimation, that is I have basically to perform a test of
> endogeneity. Now, in my panel there is presence of
> heteroskedasticity and serial correlation (within cluster and
> over time); then I tried two basic way to deal with this:
> 1) estimating the classical iv panel model re (xtivreg, re),
> estimating the model not instrumented (xtreg, re) and then
> performing the hausman-type test on the two models; results
> not need to instrument!!!
But if there is heteroskedasticity and autocorrelation, then xtreg,re is
not efficient, so the Hausman test is invalid. Or am I missing
something?
> 2)then, taking into account the fact the the above
> estimations do not consider the presence of
> heteroskedasticity and correlation (xtivreg and xtreg are not
> allowed for this), i am using ivreg2, gmm (because it has
> been showed that in this cases GMM is more efficient than IV)
> with robust-cluster option.
Shouldn't you use xtivreg2 instead of ivreg2? The former is a wrapper
for the latter but gets things like degrees-of-freedom adjustments
right. Or you can use ivreg2 but with explicit fixed effects dummies.
> 3) QUESTION: can I use after step 2, above, the command
> ivhettest to demostrate the presence of heteroskedasticity in
> the second model, even if my dataset is panel?
Actually, this is a reason to use ivreg2 with explicit dummies.
ivhettest won't work after xtivreg2, but will work after ivreg2 with
dummies.
HTH.
--Mark
Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University
Edinburgh EH14 4AS UK
44-131-451-3494 direct
44-131-451-3296 fax
http://www.sml.hw.ac.uk/cert
> finally, do you think that the step 1 can give consistent
> result of the endogeneity test, that i did?
> thanks a lot for your attenction,
> warm regards, vincenzo.
>
>
> --
> Vincenzo Lombardo
> University of Sussex, Dept. of Economics University of Napoli
> Parthenope, DSE
> 12 Canfield Road
> BN2 4DN Brighton - UK
> tel. (UK):++44(0)7765991711
> tel. (ITALY):++393284164302
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