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RE: st: RE: RE: ivhettest
Ekrem,
This is a bug I accidentally introduced into a recent update of ivhettest, and which I subsequently corrected shortly thereafter. You must be one of the few who downloaded the buggy version.
If you reinstall ivhettest, the new version should work.
That said, the Stock-Watson point still stands - unless your data are large-T-large-N (i.e., you have a reasonable number of observations in the time series dimension as well as the cross-section dimension), the test provided by ivhettest won't be consistent with the fixed effects estimator.
Best wishes,
Mark
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Ekrem Kalkan
> Sent: 10 January 2010 22:21
> To: [email protected]
> Subject: Re: st: RE: RE: ivhettest
>
> First I set my panel units: "xtset productid marketid"
> "marketid" is created by egen marketid=group(city month).
>
> Then, I run the following:
>
> ivreg2 y (x1 x2 = z1 z2 z3 ) productdummies citydummies
> monthdummies othervariables
>
> Here is the trace of "ivhettest, bpg" after this regression:
>
> - version 7.0
> - local version 1.1.7
> - syntax [varlist(default=none)] [if] [in] [, ivlev ivsq ivcp
> fitlev fitsq ph phnorm phsym nr2 bpg all ]
> - if "`e(cmd)'" != "ivreg" & "`e(cmd)'" != "ivreg2" &
> "`e(cmd)'" != "ivgmm0" & "`e(cmd)'" != "regress" { = if
> "ivreg2" != "ivreg" & "ivreg2" != "ivreg2" & "ivreg2" != "ivgmm0"
> & "ivreg2" != "regress" {
> error 301
> }
> - if "`e(fwlcons)'`e(partialcons)'" != "" { = if "0" != "" {
> - di in r "ivhettest not allowed after ivreg2 with partial (previously
> fwl) option"
> ivhettest not allowed after ivreg2 with partial (previously
> fwl) option
> - error 499
> }
>
> I hope this helps.
> Thanks.
>
> Ekrem.
>
>
> 2010/1/10 Martin Weiss <[email protected]>:
> >
> > <>
> >
> > " There is not the "partial" command."
> >
> >
> > -partial- would be an option to -ivreg2-, not a command. It is
> > probably best if you just show the sequence of commands as typed in
> > the command line, and as the FAQ request. In the absence of this
> > information, the problem is difficult to diagnose. Also
> -set trace on-
> > and report the lines around the error.
> >
> >
> > HTH
> > Martin
> >
> > -----Ursprüngliche Nachricht-----
> > Von: [email protected]
> > [mailto:[email protected]] Im Auftrag von Ekrem
> > Kalkan
> > Gesendet: Sonntag, 10. Januar 2010 22:53
> > An: [email protected]
> > Betreff: Re: st: RE: RE: ivhettest
> >
> > Hello,
> >
> > My observations are in 3-dimensional space: Product x City x Time.
> >
> > I have 93 products as cross-sectional units. Instead of using
> > commands like xtivreg or xtivreg2, I use dummy variables for each
> > cross-sectional units and run the model with command
> "ivreg2". There
> > is not the "partial" command.
> >
> > My equation is below:
> >
> > ivreg2 y (x1 x2 = z1 z2 z3 ) productdummies citydummies
> monthdummies
> > othervariables
> >
> > Then I implement "ivhettest" and get the error I had wrote
> previously.
> >
> > Thanks.
> >
> > Ekrem.
> >
> >
> > 2010/1/10 Schaffer, Mark E <[email protected]>:
> >> 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.
> >>> *
> >>> * 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/
> >>>
> >>> *
> >>> * 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/
> >>
> >
> > *
> > * For searches and help try:
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> > * http://www.stata.com/support/statalist/faq
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> >
> >
> > *
> > * 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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* http://www.stata.com/support/statalist/faq
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