Mark, thanks a lot for your comments.
Ekrem.
2010/1/11 Schaffer, Mark E <[email protected]>:
> Ekrem,
>
>> -----Original Message-----
>> From: [email protected]
>> [mailto:[email protected]] On Behalf Of
>> Ekrem Kalkan
>> Sent: 10 January 2010 23:21
>> To: [email protected]
>> Subject: Re: st: RE: RE: ivhettest
>>
>> Mark,
>> In this case, would you suggest any other test of
>> heteroscedasticity for an IV regression with panel data?
>
> It's possible that some of the other heteroskedasticity tests out there work with the fixed effects estimator, but I don't know which ones (if any) these would be.
>
>> A similar question is for a test of autocorrelation. I use "abar"
>> (Arellano-Bond test of autocorrelation) do you think it is
>> suitable for the IV panel regression ?
>
> It's suitable for IV panel regression, but not fixed effects with dynamic models - see the abar help file for more detail on all this.
>
> Cheers,
> Mark
>
>> Thanks a lot.
>>
>> Ekrem.
>>
>>
>> 2010/1/11 Schaffer, Mark E <[email protected]>:
>> > Ekrem,
>> >
>> > The problem is a fundamental econometric problem, and it
>> doesn't matter whether you use xtivreg2,fe or ivreg2 with
>> dummies - it's the same problem.
>> >
>> > If you check out their paper, you'll see that the bias in
>> the usual Eicker-Huber-White-sandwich-robust VCE is
>> proportional to 1/(T-1). If T is large enough for you to
>> conclude the bias is small, you should be OK. But if T is
>> small, then any tests that use this VCE won't be consistent.
>> >
>> > Cheers,
>> > Mark
>> >
>> >> -----Original Message-----
>> >> From: [email protected]
>> >> [mailto:[email protected]] On Behalf Of Ekrem
>> >> Kalkan
>> >> Sent: 10 January 2010 22:56
>> >> To: [email protected]
>> >> Subject: Re: st: RE: RE: ivhettest
>> >>
>> >> 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:
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>> >> >> >>
>> >> >> >
>> >> >> > *
>> >> >> > * 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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>> >> >> >
>> >> >>
>> >> >> *
>> >> >> * For searches and help try:
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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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>> >> >
>> >>
>> >> *
>> >> * For searches and help try:
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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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>>
>
>
> --
> Heriot-Watt University is a Scottish charity
> registered under charity number SC000278.
>
>
> *
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>
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