Re: st: RE: F test, consitency and ivreg

["Nirina F" <fstata@gmail.com>]

Thank you very much.
Best,
Nirina

On 6/20/07, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> wrote:
> Nirina,
>
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu
> > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Nirina F
> > Sent: Wednesday, June 20, 2007 10:08 AM
> > To: statalist@hsphsun2.harvard.edu
> > Subject: st: F test, consitency and ivreg
> >
> > Hello everyone,
> >
> > I would graeatly appreciate if you could answer my  3 simple questions
> >
> > 1-If i have the following regression
> > y=ax1+ bx2+cx3+dx4+e
> >
> > How do I get the F test of joint significance of x2, x3, and
> > x4 (I then exclude x1)
>
> Estimate using -regress- and then
>
> testparm x2 x3 x4
>
> > 2- Lookking at my equation above, I think x1 is endogenous
> > and would need to instrument.
> > Do I need to have a valid IV (which would be difficult) to
> > test whether x1 is endogenous or not?
>
> Roughly speaking, yes.  Otherwise you are comparing a possibly
> inconsistent coefficient estimate from OLS with a possibly inconsistent
> coefficient estimate from IV.  Since the endogeneity test is based on
> the contrast between the OLS coefficient on x1 when you treat it as
> exogenous, and the IV coefficient when you treat x1 as endogenous,
> comparing two possibly inconsistent coefficient estimates could give you
> misleading results.  If the two coefficient estimates are similar, it
> could be because x1 is exogenous and both estimates are consistent, or
> it could be because x1 is endogenous and both estimates are
> inconsistent.
>
> > or is there any other
> > way for me to test that my coef on x1 are not consistent
> > because it is endogenous without using iV?
> >
> > 3- What are the advantage of using ivreg2 compared to ivreg ?
>
> Should be pretty clear from the -ivreg2- help file!
>
> Cheers,
> 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
>
>
> >
> >
> > Thanks a lot in advance
> > Nirin
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