 |
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
st: RE: re: overid error
Kit,
Am I missing something? I ran the code you posted and the residuals
look alike:
. su eps* dif*
Variable | Obs Mean Std. Dev. Min Max
-------------+--------------------------------------------------------
eps31 | 758 -2.43e-12 .3251221 -1.171273 1.144041
eps32 | 758 2.23e-12 11.10275 -51.36207 35.72457
eps21 | 758 -4.36e-14 .3251221 -1.171273 1.144041
eps22 | 758 -3.27e-12 11.0972 -51.23323 35.13828
dif1 | 758 -2.39e-12 1.12e-13 -2.73e-12 -1.93e-12
-------------+--------------------------------------------------------
dif2 | 758 5.50e-12 .3511293 -.8901897 1.081768
--Mark
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Kit Baum
> Sent: Tuesday, November 24, 2009 12:18 PM
> To: [email protected]
> Cc: Schaffer, Mark E
> Subject: st: re: overid error
>
> <>
> John points out that the old overid code for reg3 produced
> the same overid stat if 3SLS was being performed. That is
> still true with the new overid code:
>
> use http://fmwww.bc.edu/ec-p/data/hayashi/griliches76.dta, clear
> xi i.year
> qui ivreg2 lw s expr tenure rns smsa _I* (iq=med kww age mrt)
> predict double eps31, res equation(lw)
> predict double eps32, res equation(iq)
> overid
>
> qui reg3 (lw =iq s expr tenure rns smsa _I*) (iq=med kww age
> mrt s expr ///
> tenure rns smsa _Iyear_67 _Iyear_68 _Iyear_69 _Iyear_70
> _Iyear_71 _Iyear_73)
> predict double eps21, res equation(lw)
> predict double eps22, res equation(iq)
> overid
>
> He wonders why the same result is not obtained if the 2sls
> option is invoked in reg3:
>
> qui reg3 (lw =iq s expr tenure rns smsa _I*) (iq=med kww age
> mrt s expr ///
> tenure rns smsa _Iyear_67 _Iyear_68 _Iyear_69 _Iyear_70
> _Iyear_71 _Iyear_73), 2sls
> overid
>
> and it is not. Obviously the logic of overid is the same (I
> am using the current version of overid, incorporating more
> efficient code), so the issue is what is changing in the
> information passed along to overid by reg3. The most
> important information involves the residuals. I have included
> statements to save those above. Now let's see if they differ:
>
> g double dif1 = eps31 - eps21
> g double dif2 = eps32 - eps22
> su eps* dif*
>
> examination of the output reveals that the residuals from the
> first equation are identical to near machine precision. The
> residuals from the second equation (the FSR in ivreg2) are
> not. Ergo, the overid stat differs. I will not disable the
> use of overid after reg3 options such as 2sls, but I think I
> will add a warning that the statistic is designed for use in
> 3SLS, and may not be applicable elsewhere.
>
> Kit
>
> Kit Baum | Boston College Economics & DIW Berlin |
> http://ideas.repec.org/e/pba1.html
> An Introduction to Stata
> Programming | http://www.stata-press.com/books/isp.html
> An Introduction to Modern Econometrics Using Stata |
> http://www.stata-press.com/books/imeus.html
>
>
> *
> * 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/