Anna,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> [email protected]
> Sent: 15 June 2007 20:03
> To: [email protected]
> Subject: st: Question on ivreg2
>
> Hi --
>
> I am wondering if there is a way to get a Wald chi-square
> statistic for IVREG2, GMM? My understanding is that this
> statistic just tells you if the coefficients are jointly
> significant. It is similar to the F statistic in IVREG. I
> have the latest IVREG2, but do not see this type of statistic
> when using the GMM option.
If you estimate using -ivreg2- with the -small- option, then using
-testparm- afterwards to test the joint significance of the regressors
gives you the same F stat that -ivreg2- (and -ivreg-) report in the
upper-right-hand corner of the output. If you don't use the -small-
option, then -testparm- will give you a "large-sample" chi-square
version of the same test. I think this is what you want (but I'm not
sure since you mention the -gmm- option, and whether or not you use this
option shouldn't matter for the above).
Cheers,
Mark
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
>
> Thank you,
> Anna
>
> University of Minnesota
> [email protected]
>
>
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