st: Re: xtivreg2

["Zou Hong" <hzou@ln.edu.hk>]

Dear Kit,

Many thanks for your kind suggestion.
I have installed xtivreg2 and run the test as follows.

ttset code year
xtivreg2 y1 x1 x2 x3 (y2 = x4 x5), fe robust endog(y2)

I am suspicious that y2 is endogenous to y1 and want to test this using a 
fixed-effect estimation with robust standard errors. Is the above setup 
correct?

Can I claim that the above conducted the DWH test using a fixed-effect 
estimation with roubt standard errors?

Having run the models, I found:

Warning - singleton groups detected.  214 observation(s) not used.

FIXED EFFECTS ESTIMATION
------------------------
Number of groups =       492                    Obs per group: min = 
2
                                                              avg = 
3.7
                                                              max = 
7

(regression output here)
Test statistic(s) not robust
------------------------------------------------------------------------------
Cragg-Donald F statistic (weak identification test): 
1.907
Stock-Yogo weak ID test critical values:  5% maximal IV relative bias 
13.91
                           10% maximal IV relative bias     9.08
                           20% maximal IV relative bias     6.46
                           30% maximal IV relative bias     5.39
                           10% maximal IV size             22.30
                           15% maximal IV size             12.83
                           20% maximal IV size              9.54
                           25% maximal IV size              7.80
Test statistic(s) not robust
Source: Stock-Yogo (2005).  Reproduced by permission.
---------------------------------------------------------Hansen J statistic 
(overidentification test of all instruments):         3.738
        Chi-sq(2) P-val =    0.1543
-endog- option:

Endogeneity test of endogenous regressors: 
0.308
                Chi-sq(1) P-val =    0.5786
Regressors tested:    y2

what is the meaning of "singleton groups" and how to deal with it?

Thanks a lot
Joe

----- Original Message ----- 
From: "Kit Baum" <baum@bc.edu>
To: <statalist@hsphsun2.harvard.edu>
Sent: Tuesday, January 23, 2007 11:17 AM
Subject: st: re: ivreg2 update and fixed-effect estimator



> Joe said
>
> 1. where to get the latest version of ivreg2? I always found it  difficult 
> to identify the version of an ado file from the internet. The one I  found 
> from the net is version 02.1.14. But searched from the web, the latest
version seems to be 2.1.18. How to update the files if ivreg2 is always 
installed

> 2. Under ivreg2, how to test the exogeneity of a regressor under a 
> fixed-effect (or random-effects) estimator?
>
> 3. how to request a DWH test using a robust standard error?
>
>
>
> 1. The latest version of ivreg2 (or of just about any user-authored 
> software) is available using the ssc or adoupdate commands. It is  always 
> straightforward to check the version number: ssc type  ivreg2.ado will 
> display it, as will "which ivreg2" after installation.
>
> 2. You need to use xtivreg2 (a 'wrapper' for ivreg2, also available  from 
> ssc) and the orthog() or endog() option. The help file explains  them.
>
> 3. The last paragraph of Section 5 of Baum, Schaffer, Stillman, SJ 3 (1) 
> [also available in preprint form as BC WP 545] speaks to this  point. A 
> robust DWH test is available with orthog() or the newer  option endog(). 
> endog() is not described in that paper, but is  described in the help 
> file. A followup paper describing these  additional features is in 
> preparation.
>
> Kit
>
> Kit Baum, Boston College Economics
> http://ideas.repec.org/e/pba1.html
> An Introduction to Modern Econometrics Using Stata:
> http://www.stata-press.com/books/imeus.html
>
>
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