Steve,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Steven Archambault
> Sent: 26 August 2009 21:05
> To: [email protected]
> Subject: Re: st: xtivreg2 Random Effects and Durbin Wu Hausman
>
> Hey Mark,
>
> Maybe I am missing something. But, I don't see a statistic
> that is equivalent to a Durbin-Wu-Hausman value when I call
> xtoverid. I have added your suggested changes to the code. I
> want to compare the instrumentalized equation against the
> non-instrumentalized version.
> Back to my original post, I am asking if a simple F-test
> would suffice for this. Maybe I am not quite clear on something here.
The -endog- option of -ivreg2- and -xtivreg2-, which you added to the internal call to -ivreg2-, reports a GMM-type Durbin-Wu-Hausman test. It's reported in the footer of the -ivreg2- output, under the heading
-endog- option:
Endogeneity test of endogenous regressors:
This test is what you want. In the special case of conditional homoskedasticity, it's numerically equivalent to a standard DWH test. You're using -robust- so the test stat being reported is correspondingly robust (unlike the traditional DWH test).
See the help file of -ivreg2- or the SJ papers by Kit Baum, Steve Stillman and myself for details.
Cheers,
Mark
>
> Thanks,
>
> Steve
>
> On Wed, Aug 26, 2009 at 7:16 AM, Schaffer, Mark
> E<[email protected]> wrote:
> > Steve,
> >
> >> -----Original Message-----
> >> From: Steven Archambault [mailto:[email protected]]
> >> Sent: 26 August 2009 00:07
> >> To: [email protected]
> >> Subject: xtivreg2 Random Effects and Durbin Wu Hausman
> >>
> >> Hi all,
> >>
> >> I have been playing around with testing for endogeneity in panel
> >> regression models. Some of the methods discussed by Baum
> (Intro. to
> >> Econometrics Using Stata) to calculate DWH do not work with panel
> >> data, and more so with Random Effects models. So, would it
> make sense
> >> to use the following to calculate a DW F-statistic? What other
> >> methods could be used?
> >>
> >>
> >> xtreg policy instrument1 instrument2 gdp trade year, re robust;
> >> predict policy_res, e; xtreg invest policy trade gdp year
> >> policy_res, re robust; test policy_res;
> >
> > I'm pretty sure this doesn't work (or if it does, I haven't seen it
> > demonstrated).
> >
> > Am I right to think that your RE estimation is this?
> >
> > xtivreg invest gdp trade year (policy=instrument1 instrument2), re
> >
> > and that you want robust or cluster-robust test of the
> exogeneity of
> > policy?
> >
> > I think you can get -xtoverid- to do this for you, but it requires
> > hacking the code and using the -noisily- option.
> >
> > You might want to make a copy of xtoverid.ado and call it
> > myxtoverid.ado. Then make the following changes:
> >
> > 1. In the "program define" line at the top, change "program define
> > xtoverid" to "program define myxtoverid".
> >
> > 2. Look for the line that has
> >
> > if "`model'"=="g2sls" {
> >
> > Below that are three calls to -ivreg2-.
> >
> > 3. At the end of the first two calls to -ivreg2-, after
> "noid", add
> > the following (as a continuation of the same line):
> >
> > endog(`instd_g')
> >
> > 4. At the end of the third call to -ivreg2-, after "noid" add
> >
> > endog(`inexog_g' `instd_g')
> >
> > 5. After estimation, call -myxtoverid- with the -noisily- option.
> > The internal reestimation of the equation will be displayed and an
> > endogeneity test for all endogenous regressors will be included.
> >
> > Note that if you estimate using EC2SLS, unless the panel is
> balanced
> > the degrees of freedom of the test will be more than you expect and
> > the test statistic will probably be misleadingly low. The
> explanation
> > has to do with (what seems to me, at any rate) the rather
> peculiar way
> > exogenous regressors are treated by Stata's -xtivreg- in an
> unbalanced
> > panel using EC2SLS. There are more details in the last
> paragraph of
> > the -xtoverid- help file.
> >
> > Cheers,
> > Mark
> >
> >> Thanks,
> >> Steve
> >>
> >
> >
> > --
> > Heriot-Watt University is a Scottish charity registered
> under charity
> > number SC000278.
> >
> >
> > *
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> >
>
> *
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>
--
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registered under charity number SC000278.
*
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