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st: Singletons dropped out in FE model
Dear Mark, it is indeed working as you suggested. "Singletons" have been
dropped out.
Joe
----- Original Message -----
From: "Schaffer, Mark E" <[email protected]>
To: <[email protected]>
Sent: Wednesday, January 24, 2007 4:07 PM
Subject: st: RE: Re: RE: Re: xtivreg2
Joe,
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Zou Hong
Sent: 24 January 2007 02:06
To: [email protected]
Subject: st: Re: RE: Re: xtivreg2
sorry, one typo in my previous message.
Dear Mark,
Many thanks for the reply.
I wonder why when I used STATA run a FE model, these
"singletons" are were NOT droped out, the total number of
observations reported by STATA includes those 214 "singletons".
They are dropped - it just doesn't tell you. Try dropping them by hand,
as I suggested, and using official xtivreg,fe, and you'll see you get
the same results.
BTW, it's "Stata", not "STATA".
Cheers,
Mark
Cheers
Joe
----- Original Message -----
From: "Schaffer, Mark E" <[email protected]>
To: <[email protected]>
Sent: Wednesday, January 24, 2007 9:20 AM
Subject: 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:
> * 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:
* 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/
