Thanks Kit.
Grant
-----Original Message-----
From: Kit Baum <[email protected]>
To: [email protected]
Date: Sat, 21 Feb 2009 09:34:29 -0500
Subject: st: re: Anderson-Rubin test in ivreg2
<>
Grant wrote
Using IVREG2 for estimation, one of the tests is the "Anderson-Rubin
Test" of joint significance of endogenous regressors in main equation,
which gives p-values for both F-stat as well as Chi-sq. My question
whether it matters which one is picked.
Grant should heed the Statalist FAQ and use informative words in his
subject line.
It is up to you whether you want to report an F-statistic or a Chi-
squared statistic for this test. The latter is the numerator of the
former. Just as one can choose between small-sample t stats (with the
'small' option) and large-sample z stats, and in using -test- can get
an F-statistic after -regress- but a Chi-squared statistic after -
logit-, you can report either form of the A-R statistic. They will
have similar p-values.
Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html
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