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Re: st: RE: ivreg2 2sls, gmm2s and autocorrelation test
I'm sorry I didn't mention it:
I have:
c:\ado\plus\i\ivreg2.ado
*! ivreg2 2.2.08 15oct2007
*! authors cfb & mes
*! see end of file for version comments
c:\ado\plus\a\abar.ado
*! abar 1.1.0 9 Nov 2007
*! David Roodman, Center for Global Development, Washington, DC, www.cgdev.org
would a question of version explain these results?
Selon "Schaffer, Mark E" <[email protected]>, 21.10.2008:
> 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
> >
> > *
> > * 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/
>
>
*
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