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Re: st: conditional likelihood ratio test when the cluster option is used in ivreg (weak instrument).
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From |
"Danny Cohen-Zada" <[email protected]> |
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To |
<[email protected]> |
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Subject |
Re: st: conditional likelihood ratio test when the cluster option is used in ivreg (weak instrument). |
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Date |
Thu, 28 Feb 2008 21:40:51 +0200 |
Igonore my last mail. It was sent before i got your answer.
Danny
----- Original Message -----
From: "Schaffer, Mark E" <[email protected]>
To: <[email protected]>
Sent: Thursday, February 28, 2008 8:54 PM
Subject: RE: st: conditional likelihood ratio test when the cluster option
is used in ivreg (weak instrument).
Danny,
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of
Danny Cohen-Zada
Sent: Thursday, February 28, 2008 4:54 PM
To: [email protected]
Subject: Re: st: conditional likelihood ratio test when the
cluster option is used in ivreg (weak instrument).
Professor Austin,
Your advise helped me very much. I performed the AR test with
the cluster option and obtained very good result. I only want
to be sure that I did everything ok.
Our basic model was
ivreg2 y1 x1 x2 (y2 = z1 ), ffirst robust cluster (x3) (by
the way the clustered t -statistic in this estimation was -2.08)
Since my instrument was potentially weak I wanted a correct
p-value (or t -statistic) for the test that the coefficient
of y2 is different from zero (in this case y1-y2b0 =y1).
Thus, i regress the following regression:
regress y1 z1 x1 x2, robust cluster (x3)
the t-statisic for the coefficient of z1 is the correct
t-statistic for the test that the coefficient of y2 is equal
to zero (am i correct?).
This test is in the ivreg2 ffirst output, so you needn't do it by hand
(except to double check). Also see the discussion in
Baum-Schaffer-Stillman, The Stata Journal, Vol. 7, No. 4, 2007.
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
I obtained even stronger results. The t-statistic is -2.43.
Am i correct that now i can claim that y2 as a significnat
negative effect on y1 based on the -2.43.
Thanks,
Danny
----- Original Message -----
From: "Austin Nichols" <[email protected]>
To: <[email protected]>
Sent: Thursday, February 28, 2008 4:00 PM
Subject: Re: st: conditional likelihood ratio test when the
cluster option is used in ivreg (weak instrument).
> Danny--
> The answer is no, you cannot "trust this result" from a
command that
> does not allow cluster-robust estimation when you must use
clustered
> standard errors in the IV (ivreg2) estimation. If clustering is
> important, and you have said that it is, and you have a weak
> instruments problem, you must either improve the quality of your
> instruments by adding/finding more excluded instruments, in
which case
> you probably want the LIML/CUE options on -ivreg2- (and
overID tests),
> or you can use a method of inference robust to the presence of weak
> instruments that allows clustering, namely Anderson-Rubin
tests/conf
> regions. I discussed this in some detail at NASUG5, and
some of the
> material appears in the slides at
> http://www.stata.com/meeting/5nasug/wiv.pdf and some in
Stata Journal
> 7(4). On Anderson-Rubin tests/conf regions, see the Dufour and
> Taamouti ref linked from http://www.stata.com/meeting/5nasug/wiv.pdf
> (though I prefer constructing the confidence region rather than the
> projection onto individual axes that they advocate--the
latter can be
> deceptive if, say, there are two variables measuring a similar
> quantity and you can reject that both coefs are simultaneously zero
> because the conf ellipse does not include the origin, but the
> projections might both overlap zero). Tests are easier than
> confidence regions for this approach, obviously.
>
> On Thu, Feb 28, 2008 at 8:09 AM, Danny Cohen-Zada
<[email protected]>
> wrote:
>> I will try to edit my question to be clearer.
>>
>>
>> Suppose that i estimate the following iv model with the
cluster option.
>>
>> ivreg2 y1 x1 x2 (y2 = z1 ), ffirst cluster (x3)
>>
>>
>> I tested that my instrument is weak (using the clustered
>> f-statistic) and found that my instrument is weak.
>>
>> Then i run the conditional likelihood ratio test
>>
>> condivreg y1 x1 x2 (y2= z1)
>>
>> This command does not have the cluster option.
>>
>> Supose that i find that the p-value of this test is 0.000 . Can i
>> trust this result even when i use clustered standard errors in my
>> ivreg estimation.
>>
>> Thanks
>>
>> Danny
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