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st: RE: Re: xtivreg2
Joe,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Zou Hong
> Sent: 23 January 2007 10:08
> To: [email protected]
> Subject: st: Re: xtivreg2
>
> 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?
Yes, but your terminology isn't quite right. The C test (or GMM
distance test) is more general than the DWH test.
> Having run the models, I found:
>
> Warning - singleton groups detected. 214 observation(s) not used.
Regarding your question about singletons - these are groups which have
only one member. In a fixed effects estimation, they drop out
completely. Put another way, if you dropped these observations and
re-ran your fixed effects estimation, your estimates would be exactly
the same. It's easy to see why - the fixed effects estimator explains
the "within-group" variation, and when a group has 1 member, there is no
"within-group" variation to explain.
HTH,
Mark
>
> 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.
> ---------------------------------------------------------Hanse
n 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" <[email protected]>
> To: <[email protected]>
> 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
> >
> >
> > *
> > * 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/
> >
>
>
> *
> * 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/
>
*
* For searches and help try:
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* http://www.ats.ucla.edu/stat/stata/
