Thank you Mark , it now works.
Regarding the problem with fixed-effects, do you think that I can use
ivhettest after the command ivreg2 by adding panelid dummies as
regressors instead of a regression with xtivreg2.
Ekrem.
2010/1/11 Schaffer, Mark E <[email protected]>:
> 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:
>> > * 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/
>> >
>>
>> *
>> * 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/
>
*
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* http://www.ats.ucla.edu/stat/stata/
