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st: RE: ivreg2 2sls, gmm2s and autocorrelation test
Marie-Helene,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Marie-Hélène Felt
> Sent: Tuesday, October 21, 2008 5:14 PM
> To: [email protected]
> Subject: st: ivreg2 2sls, gmm2s and autocorrelation test
>
> hello,
>
> I'm using IVREG2 to estimate a regression with one endogenous
> regressor.
> I noticed that the results of -abar- (test for AC) are really
> different after a
> 2SLS H robust estimation and a GMM2S H robust estimation.
> After 2SLS it seems
> that I have AC, but not after GMM2S...but it's the same equation I'm
> estimating!!
The first step in these things is always to check that you have the latest versions installed (and also to tell us which version of Stata you're using).
I have
. which ivreg2
c:\ado10\plus\i\ivreg2.ado
*! ivreg2 2.2.09 17jul2008
*! authors cfb & mes
*! see end of file for version comments
. which abar
c:\ado10\plus\a\abar.ado
*! abar 1.1.0 9 Nov 2007
*! David Roodman, Center for Global Development, Washington, DC, www.cgdev.org
What about you?
--Mark
> I'm working with time series, and not with cross sectional
> time series, so I'm
> wondering if I'm allowed to use -abar- after both ivreg2
> estimations (2sls and
> gmm2s).
> If indeed I'm allowed to use it, how should I understand
> these results?
> Would you suggest to use -ivactest- rather than -abar-??
>
> I report hereafter my results.
>
> Thank you for your help,
>
> Marie Helene
>
> . ivreg2 lnpda lntxus lnpvus lntxca lnpvca lnipja
> (lnqda=lntxda lnpvda), robust
>
> IV (2SLS) estimation
> --------------------
>
> Estimates efficient for homoskedasticity only
> Statistics robust to heteroskedasticity
>
> Number
> of obs = 148
> F( 6,
> 141) = 4.96
> Prob >
> F = 0.0001
> Total (centered) SS = 1.439041186
> Centered R2 = -0.0540
> Total (uncentered) SS = 26084.88825
> Uncentered R2 = 0.9999
> Residual SS = 1.516815821 Root
> MSE = .1012
>
> --------------------------------------------------------------
> ----------------
> | Robust
> lnpda | Coef. Std. Err. z P>|z|
> [95% Conf. Interval]
> -------------+------------------------------------------------
> ----------------
> lnqda | -.0943358 .0205959 -4.58 0.000
> -.1347031 -.0539685
> lntxus | .3162592 .3225253 0.98 0.327
> -.3158787 .9483971
> lnpvus | .1865913 .2975095 0.63 0.531
> -.3965166 .7696993
> lntxca | -.2562668 .3309884 -0.77 0.439
> -.9049921 .3924585
> lnpvca | -.1924842 .3003962 -0.64 0.522
> -.7812501 .3962816
> lnipja | .2326394 .2220086 1.05 0.295
> -.2024894 .6677681
> _cons | 12.7047 1.322835 9.60 0.000
> 10.11199 15.29741
> --------------------------------------------------------------
> ----------------
> Underidentification test (Kleibergen-Paap rk LM statistic):
> 13.650
> Chi-sq(2)
> P-val = 0.0011
> --------------------------------------------------------------
> ----------------
> Weak identification test (Kleibergen-Paap rk Wald F
> statistic): 8.977
> Stock-Yogo weak ID test critical values: 10% maximal IV size
> 19.93
> 15% maximal IV size
> 11.59
> 20% maximal IV size
> 8.75
> 25% maximal IV size
> 7.25
> Source: Stock-Yogo (2005). Reproduced by permission.
> NB: Critical values are for Cragg-Donald F statistic and
> i.i.d. errors.
> --------------------------------------------------------------
> ----------------
> Hansen J statistic (overidentification test of all
> instruments): 0.533
> Chi-sq(1)
> P-val = 0.4653
> --------------------------------------------------------------
> ----------------
> Instrumented: lnqda
> Included instruments: lntxus lnpvus lntxca lnpvca lnipja
> Excluded instruments: lntxda lnpvda
> --------------------------------------------------------------
> ----------------
>
> . abar, lags(6)
> Warning: The Arellano-Bond test is only valid for time series
> only if they are
> ergodic.
> Arellano-Bond test for AR(1): z = 5.77 Pr > z = 0.0000
> Arellano-Bond test for AR(2): z = 4.34 Pr > z = 0.0000
> Arellano-Bond test for AR(3): z = 3.48 Pr > z = 0.0005
> Arellano-Bond test for AR(4): z = 2.02 Pr > z = 0.0437
> Arellano-Bond test for AR(5): z = 0.47 Pr > z = 0.6380
> Arellano-Bond test for AR(6): z = 0.96 Pr > z = 0.3350
>
> . ivreg2 lnpda lntxus lnpvus lntxca lnpvca lnipja
> (lnqda=lntxda lnpvda), gmm2s
> robust
>
> 2-Step GMM estimation
> ---------------------
>
> Estimates efficient for arbitrary heteroskedasticity
> Statistics robust to heteroskedasticity
>
> Number
> of obs = 148
> F( 6,
> 141) = 4.89
> Prob >
> F = 0.0001
> Total (centered) SS = 1.439041186
> Centered R2 = -0.0525
> Total (uncentered) SS = 26084.88825
> Uncentered R2 = 0.9999
> Residual SS = 1.514566079 Root
> MSE = .1012
>
> --------------------------------------------------------------
> ----------------
> | Robust
> lnpda | Coef. Std. Err. z P>|z|
> [95% Conf. Interval]
> -------------+------------------------------------------------
> ----------------
> lnqda | -.0941792 .0205948 -4.57 0.000
> -.1345443 -.0538141
> lntxus | .3132924 .3224997 0.97 0.331
> -.3187954 .9453801
> lnpvus | .1590178 .2951029 0.54 0.590
> -.4193732 .7374088
> lntxca | -.2397403 .3302135 -0.73 0.468
> -.8869469 .4074662
> lnpvca | -.163539 .2977688 -0.55 0.583
> -.7471551 .4200772
> lnipja | .2394675 .2218115 1.08 0.280
> -.1952751 .6742101
> _cons | 12.61117 1.316618 9.58 0.000
> 10.03065 15.19169
> --------------------------------------------------------------
> ----------------
> Underidentification test (Kleibergen-Paap rk LM statistic):
> 13.650
> Chi-sq(2)
> P-val = 0.0011
> --------------------------------------------------------------
> ----------------
> Weak identification test (Kleibergen-Paap rk Wald F
> statistic): 8.977
> Stock-Yogo weak ID test critical values: 10% maximal IV size
> 19.93
> 15% maximal IV size
> 11.59
> 20% maximal IV size
> 8.75
> 25% maximal IV size
> 7.25
> Source: Stock-Yogo (2005). Reproduced by permission.
> NB: Critical values are for Cragg-Donald F statistic and
> i.i.d. errors.
> --------------------------------------------------------------
> ----------------
> Hansen J statistic (overidentification test of all
> instruments): 0.533
> Chi-sq(1)
> P-val = 0.4653
> --------------------------------------------------------------
> ----------------
> Instrumented: lnqda
> Included instruments: lntxus lnpvus lntxca lnpvca lnipja
> Excluded instruments: lntxda lnpvda
> --------------------------------------------------------------
> ----------------
>
> . abar, lags(6)
> Warning: The Arellano-Bond test is only valid for time series
> only if they are
> ergodic.
> Arellano-Bond test for AR(1): z = 0.99 Pr > z = 0.3202
> Arellano-Bond test for AR(2): z = 0.99 Pr > z = 0.3203
> Arellano-Bond test for AR(3): z = 0.99 Pr > z = 0.3232
> Arellano-Bond test for AR(4): z = 0.99 Pr > z = 0.3233
> Arellano-Bond test for AR(5): z = 0.83 Pr > z = 0.4050
> Arellano-Bond test for AR(6): z = 0.85 Pr > z = 0.3944
>
> *
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>
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