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> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> David Cancel
> Sent: 27 August 2009 20:08
> To: [email protected]
> Subject: Re: st: xtivreg2 Random Effects and Durbin Wu Hausman
>
> How do I undo the registration for this site..
>
> thanks
>
>
>
> > I also had trouble with renaming the xtoverid file to
> myxtoverid, so I
> > actually just worked directly with the original file. That
> seemed to
> > work. I haven't been able to adjust the code so I get the
> endogeneity
> > test stat for the FE version, but still trying.
> >
> > -Steve
> >
> >
> >
> >
> >
> > On Thu, Aug 27, 2009 at 3:53 AM, Ingham,
> > Hilary<[email protected]>
> > wrote:
> >> Dear Martin
> >>
> >> Many thanks for your quick reply.
> >>
> >> Hilary
> >>
> >> -----Original Message-----
> >> From: [email protected]
> >> [mailto:[email protected]] On Behalf Of Martin
> >> Weiss
> >> Sent: 27 August 2009 10:35
> >> To: [email protected]
> >> Subject: AW: st: xtivreg2 Random Effects and Durbin Wu Hausman
> >>
> >>
> >> <>
> >>
> >> Just
> >>
> >> ******
> >> ssc install xtoverid
> >> ******
> >>
> >> and then -which xtoverid- tells you the location of the
> ado. Nick`s
> >> -ssc d
> >> fedit- is also great for there purposes...
> >>
> >> HTH
> >> Martin
> >>
> >>
> >> -----Ursprüngliche Nachricht-----
> >> Von: [email protected]
> >> [mailto:[email protected]] Im Auftrag
> von Ingham,
> >> Hilary
> >> Gesendet: Donnerstag, 27. August 2009 11:29
> >> An: [email protected]
> >> Betreff: RE: st: xtivreg2 Random Effects and Durbin Wu Hausman
> >>
> >> Hi Mark/Steve
> >>
> >> I have been following this as I am also trying to generate the DWH
> >> statistic. I have located xtoverid and found the lines where the
> >> additions need to be made. However, how do I get this
> modified file
> >> into Stata? My first attempt was to download xtroverid
> from RPEC but
> >> when I saved this it was a .mht file despite the .ado at
> the end and
> >> I could not edit it anyway.
> >> Then I just typed xtoverid directly into Stata and the whole
> >> programme just printed out.
> >>
> >> I am sorry if this sounds a very elementary problem but I
> am new to
> >> Statalist and this is my first attempt at anything 'non-standard'.
> >>
> >> Thanks
> >>
> >> Hilary Ingham
> >>
> >> -----Original Message-----
> >> From: [email protected]
> >> [mailto:[email protected]] On Behalf Of
> Schaffer,
> >> Mark E
> >> Sent: 26 August 2009 23:23
> >> To: [email protected]
> >> Subject: RE: st: xtivreg2 Random Effects and Durbin Wu Hausman
> >>
> >> 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.
> >>> >> >
> >>> >> >
> >>> >> > *
> >>> >> > * For searches and help try:
> >>> >> > * http://www.stata.com/help.cgi?search
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> >>> >> >
> >>> >>
> >>> >> *
> >>> >> * For searches and help try:
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> >>> >> * http://www.ats.ucla.edu/stat/stata/
> >>> >>
> >>> >
> >>> >
> >>> > --
> >>> > Heriot-Watt University is a Scottish charity registered
> >>> under charity
> >>> > number SC000278.
> >>> >
> >>> >
> >>> > *
> >>> > * For searches and help try:
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> >>> >
> >>>
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> >>>
> >>
> >>
> >> --
> >> Heriot-Watt University is a Scottish charity registered
> under charity
> >> number SC000278.
> >>
> >>
> >> *
> >> * For searches and help try:
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> >>
> >> *
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> >>
> >>
> >> *
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> >>
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> >>
> >
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> >
>
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>
--
Heriot-Watt University is a Scottish charity
registered under charity number SC000278.
*
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