Steve,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Steven Archambault
> Sent: 26 August 2009 22:46
> To: [email protected]
> Subject: Re: st: xtivreg2 Random Effects and Durbin Wu Hausman
>
> Okay, great. Its working. Thanks! I suppose there are other
> bits of code I could add to get additional test results from
> the -xtoverid - -robust noisily- options.
Yes, not hard to do.
> I am thinking the
> endogeneity test for the FE regression. Also, I'd like to get
> the weak and underidentification instrument tests for the FE
> and RE robust. Those might take a bit more programming I
> suppose. Actually, why isn't RE available for xtivreg2?
I started working on it, and then switched to a more general estimator that would allow the user complete control over the range of orthogonality conditions: Hausman-Taylor, RE, FE, FD, EC2SLS, G2SLS, etc. etc. would all be special cases using different combinations of regressors/instruments in mean-deviations/group means/GLS-transforms/levels/first-differences/etc. etc. But after I got it mostly working I got distracted by other things. Someday, I hope, I'll return to it and finish it off.
--Mark
>
> Ciao,
> Steve
>
>
>
> On Wed, Aug 26, 2009 at 2:18 PM, Schaffer, Mark
> E<[email protected]> wrote:
> > 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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> >> > * http://www.ats.ucla.edu/stat/stata/
> >> >
> >>
> >> *
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> >>
> >
> >
> > --
> > Heriot-Watt University is a Scottish charity registered
> under charity
> > number SC000278.
> >
> >
> > *
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>
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--
Heriot-Watt University is a Scottish charity
registered under charity number SC000278.
*
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