I am trying to install ivreg2 and ranktest in stata10, but I have some difficulties
after typing
ssc install ivreg2
ssc install ranktest
I get the following message:
file c:\ado\plus\next.trk already exists
and I am not able to install them (even using the repalce option)...It seems that ivreg2 is already installed but when I try to use it stata10 does not recognize it...any suggestions?
thanks a lot
Sara
--- Ven 25/7/08, Schaffer, Mark E <[email protected]> ha scritto:
> Da: Schaffer, Mark E <[email protected]>
> Oggetto: RE: st: RE: cragg-donal test for weak instruments with heteroskedasticity
> A: [email protected]
> Data: Venerd� 25 luglio 2008, 18:31
> Sara,
>
> > -----Original Message-----
> > From: [email protected]
> > [mailto:[email protected]] On
> Behalf Of
> > sara borelli
> > Sent: Friday, July 25, 2008 4:58 PM
> > To: [email protected]
> > Subject: R: st: RE: cragg-donal test for weak
> instruments
> > with heteroskedasticity
> >
> > Dear Professor Shaffer,
> >
> > I am sorry to ask you further,and such a long
> question, but I
> > want to be sure that I understand correctly. Thus,
> from my
> > understanding, I have two options:
> >
> > Either I run ivreg2 and get the The K-P statitsics,
> and then
> > compare it to the tabulated values of Staiger and
> > Stock(2002), Or I explicitly estimate the reduced
> forms for
> > the two endogenous variables, compute the F-tests for
> the
> > excluded instruments in each reduced form and compare
> those
> > to 10. Is this correct?
>
> Not quite. Either you compare the K-P statistic (which is
> heteroskedasticity robust) to the Stock-Yogo (not
> Staiger-Stock) tabulated values for the C-D statistic, as
> you suggest, or you compare K-P to the the Staiger-Stock
> value of 10.
>
> Separate first-stage regressions do not provide an adequate
> test of identification - see Baum et al (2003) for an
> explanation (full reference details in -ivreg2- help).
>
> A third possibility is to test for heteroskedasticity (see
> -ivhettest-) and hope you don't have it. If you
> don't, then you can use the C-D stat with S-Y critical
> values.
>
> > Since both options are not going to give me the
> "perfect"
> > answer, I wanted to do it in both ways, and see what
> happens,
> > but after installing ivreg2 and ranktest, I am not
> able to
> > get the first stage K-P statistics or the cragg donald
>
> > statistics. After running
> > ivreg2 y x (y1 y2=z1 z2), ffirst robust
> > Stata reports only the first stage F (which is not
> even
> > robust) and the shea statistics, nothing more.
> > Is it possible that this happens because I do not have
> the
> > appropriate stata version to obtain K-P or Cragg
> Donald? I am
> > currently using Stata 8. I have also access to Stata
> 10, but
> > there ivreg2 does not work, and it seems that K-P is a
>
> > special feature of ivreg2 and not of ivregress. Is
> this what
> > is going on?
>
> Not quite. -ivreg2- certainly runs under Stata 10, but you
> need to make sure you install the latest version, and also
> -ranktest- (which is the command that calculates the K-P
> statistic). You are right that the K-P statistic is not
> supported by official Stata -ivregress-.
>
> -ranktest- requires Stata 9 or better, which is why your
> Stata 8 version won't report the K-P statistic.
>
> Cheers,
> Mark
>
> > Thank you very much for your help
> > Sara
> >
> > --- Ven 25/7/08, Schaffer, Mark E
> <[email protected]> ha scritto:
> >
> > > Da: Schaffer, Mark E
> <[email protected]>
> > > Oggetto: st: RE: cragg-donal test for weak
> instruments with
> > > heteroskedasticity
> > > A: [email protected]
> > > Data: Venerd� 25 luglio 2008, 15:28
> > > Sara,
> > >
> > > > -----Original Message-----
> > > > From: [email protected]
> > > >
> [mailto:[email protected]] On
> > > Behalf Of
> > > > sara borelli
> > > > Sent: Friday, July 25, 2008 1:57 PM
> > > > To: [email protected]
> > > > Subject: st: cragg-donal test for weak
> instruments
> > > with
> > > > heteroskedasticity
> > > >
> > > > Dear All,
> > > >
> > > > I a estimating the following model:
> > > >
> > > > Y= aX + bY1 + cY2 + u
> > > > I am using standard errors robust and
> clustered at the
> > >
> > > > neighborhood level;
> > > >
> > > > X = vector of eogenous regressors
> > > > Y1, Y2 are endogenous
> > > > Z1 Z2 excluded instruments
> > > >
> > > > I want to test weather my IVs are non-weak.
> I know
> > > that in
> > > > the case of a single endogenous variable I
> should use
> > > the
> > > > "rule of thumb" that the first
> stage
> > > F-statistic >10 (Steiger
> > > > and Stock 1997).
> > > > But Stock and Yogo (2002) say to use the
> Cragg -Donald
> > >
> > > > Statistics in presence of multiple
> endogenous
> > > regressors. I
> > > > know this statistics is not valid under
> > > heteroskedasticity. I
> > > > would like to know if there is a way to
> compute a
> > > robust
> > > > analog of the Cragg-Donal statistics in
> Stata
> > >
> > > The Cragg-Donald statistic is a test statistic
> for the rank of a
> > > matrix.
> > > Anderson (1951) derived an earlier and similar
> test based
> > on canonical
> > > correlations.
> > >
> > > -ivreg2-, downloadable from ssc-ideas in the
> usual way, reports a
> > > generalization of these to the case of
> heteroskedastic and/or
> > > autocorrelated errors, due to Kleibergen and
> Paap. The K-P stat
> > > reduces to C-D and Anderson tests in the iid
> case.
> > >
> > > The K-P stat is implemented in Stata by
> -ranktest-, so
> > you'll need to
> > > install this as well.
> > >
> > > > and in case if
> > > > it would still be valid to compare it to the
> tabulated
> > > values
> > > > of Stock and Yogo(2002). Alternatively,
> would be wrong
> > > to
> > > > simply refer to the old "rule of
> tumb" that
> > > the F-statistics
> > > > should be at least 10, even in presence of
> multiple endogenous
> > > > variables?
> > >
> > > As far as I know, critical values have not been
> tabulated
> > for non-iid
> > > case (and it would be hard to, since the form of
> > > heteroskedasticity/autocorrelation will make a
> difference
> > to how they
> > > perform).
> > >
> > > Either of your suggestions seems sensible to me.
> > >
> > > Cheers,
> > > Mark (coauthor of -ivreg2- and -ranktest-)
> > >
> > > Prof. Mark E. Schaffer
> > > 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://ideas.repec.org/e/psc51.html
> > >
> > >
> > > >
> > > > Thank you for any help
> > > > Sara Borelli
> > > >
> > > >
> > > >
> > > >
> > > >
> > > >
> > > > Posta, news, sport, oroscopo: tutto in
> una sola
> > > pagina.
> > > > Crea l'home page che piace a te!
> > > > www.yahoo.it/latuapagina
> > > >
> > > > *
> > > > * For searches and help try:
> > > > * http://www.stata.com/help.cgi?search
> > > > *
> http://www.stata.com/support/statalist/faq
> > > > * http://www.ats.ucla.edu/stat/stata/
> > > >
> > >
> > >
> > > --
> > > Heriot-Watt University is a Scottish charity
> registered
> > under charity
> > > number SC000278.
> > >
> > >
> > > *
> > > * For searches and help try:
> > > * http://www.stata.com/help.cgi?search
> > > * http://www.stata.com/support/statalist/faq
> > > * http://www.ats.ucla.edu/stat/stata/
> >
> >
> > Posta, news, sport, oroscopo: tutto in una sola
> pagina.
> > Crea l'home page che piace a te!
> > www.yahoo.it/latuapagina
> >
> > *
> > * For searches and help try:
> > * http://www.stata.com/help.cgi?search
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
> >
>
>
> --
> Heriot-Watt University is a Scottish charity
> registered under charity number SC000278.
>
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
Posta, news, sport, oroscopo: tutto in una sola pagina.
Crea l'home page che piace a te!
www.yahoo.it/latuapagina
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
