Hi Mark and Statalisters,
I'm using Stata 10.1 and having problems with -ivhettest- after -ivregress-.
Example:
*******
webuse hsng2, clear
ivregress 2sls rent pcturban (hsngval = faminc reg2-reg4)
ivhettest
*******
. ivregress 2sls rent pcturban (hsngval = faminc reg2-reg4)
Instrumental variables (2SLS) regression Number of obs = 50
Wald chi2(2) = 90.76
Prob > chi2 = 0.0000
R-squared = 0.5989
Root MSE = 22.166
------------------------------------------------------------------------------
rent | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
hsngval | .0022398 .0003284 6.82 0.000 .0015961 .0028836
pcturban | .081516 .2987652 0.27 0.785 -.504053 .667085
_cons | 120.7065 15.22839 7.93 0.000 90.85942 150.5536
------------------------------------------------------------------------------
Instrumented: hsngval
Instruments: pcturban faminc reg2 reg3 reg4
. ivhettest
last estimates not found
The -ivhettest- is updated as you can see
. which ivhettest
c:\ado\plus\i\ivhettest.ado
*! ivhettest 1.1.8 4Jan2010
*! author mes
Am I doing something wrong?
Thanks a lot
Joao Ricardo
. ssc des ivhettest
--------------------------------------------------------------------------------------------------------------------------------
package ivhettest from http://fmwww.bc.edu/repec/bocode/i
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TITLE
'IVHETTEST': module to perform Pagan-Hall and related
heteroskedasticity tests after IV
DESCRIPTION/AUTHOR(S)
ivhettest performs various flavors of Pagan and Hall's (1983)
tests of heteroskedasticity for instrumental variables (IV)
estimation. It will also perform the related standard
heteroskedasticity tests of Breusch-Pagan, Godfrey,
Cook-Weisberg, White and Koenker after estimation by OLS or IV.
These are tests of whether there is heteroskedasticity in the
estimated regression that is related to one or more indicator
variables. The test flavors vary according to the choice of
indicator variables and the choice of test statistics. Under
the null of no heteroskedasticity, the test statistic is
distributed as chi-sq with degrees of freedom = number of
indicator variables. This is version 1.1.7 of ivhettest,
updated from that published in Stata Journal, 3(1).
KW: instrumental variables
KW: heteroskedasticity
Requires: Stata version 7.0
Author: Mark E Schaffer, Heriot-Watt University
Support: email [email protected]
--
----------------------------------------
Joao Ricardo Lima, D.Sc.
Professor
UFPB-CCA-DCFS
Fone: +5538387264913
Skype: joao_ricardo_lima
----------------------------------------
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