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st: RE: RE: ivhettest
Ekrenm,
In addition to what Eric and Martin have said, I should note that the
test employed by -ivhettest- (as well as Stata's -estat hettest- and
others, I suspect) isn't valid after panel data estimation with fixed
effects.
The reason is that the test based on the contrast between the classical
non-robust VCV and the heteroskedastic-robust VCV, as per White
(Econometrica 1980). However, as Stock and Watson (Econometrica 2008)
have shown, the standard Eicker-Huber-White-robust-sandwich VCV isn't
consistent for the standard fixed effects estimator. Thus the test
isn't valid, because in the presence of heteroskedasticity it's
contrasting two different inconsistent VCVs.
--Mark
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of DE
> SOUZA Eric
> Sent: 10 January 2010 20:56
> To: '[email protected]'
> Subject: st: RE: ivhettest
>
> It says what is says. You used the "partial" option with
> ivreg2. This partials out the effects of certain variables.
> When you use this option, you cannot use ivhettest after it.
>
> If you did not use the "partial" option with the command
> -ivreg2-, please indicate exactly what you did.
>
>
> Eric de Souza
> College of Europe
> BE-8000 Brugge (Bruges)
> Belgium
>
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Ekrem Kalkan
> Sent: 10 January 2010 21:50
> To: [email protected]
> Subject: st: ivhettest
>
> Dear Stata users,
>
> After running a regression with "ivreg2" command, I run "ivhettest"
> command for testing for heteroscedasticity. But, I receive the error
> below:
>
> . ivhettest, bpg
> ivhettest not allowed after ivreg2 with partial (previously
> fwl) option
>
> Could you tell me what does this mean and how can I test
> heteroscedasticiy after an IV regression with panel data.
>
> Thank you.
>
> Ekrem Kalkan
> Turkish Competition Authority.
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