Dear Mark,
Thanks for the explanation! With -ivreg2- it runs ok!
Best Regards,
Joao Lima
2010/2/3 Schaffer, Mark E <[email protected]>:
> Joao Ricardo,
>
>> -----Original Message-----
>> From: [email protected]
>> [mailto:[email protected]] On Behalf Of
>> Joao Ricardo F. Lima
>> Sent: 03 February 2010 21:11
>> To: [email protected]
>> Subject: st: Problem using -ivhettest-
>>
>> Hi Mark and Statalisters,
>>
>> I'm using Stata 10.1 and having problems with -ivhettest-
>> after -ivregress-.
>
> This one's easy to answer, but the answer is not entirely satisfactory:
> ivhettest supports ivreg, ivreg2 and regress but not ivregress (see the
> help file).
>
> Something for my (unfeasibly long) to-do list.
>
> In the meantime, you can use ivreg or ivreg2 to do the estimation.
>
> FYI, official ivreg is still available in Stata 10 and Stata 11: -help
> ivreg- brings up the message that it is an out-of-date command, but the
> command does still work.
>
> Cheers,
> Mark
>
>> 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
>> --------------------------------------------------------------
>> ------------------------------------------------------------------
>>
>> 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
>> ----------------------------------------
>> *
>> * 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/
>
--
----------------------------------------
Joao Ricardo Lima, D.Sc.
Professor
UFPB-CCA-DCFS
Fone: +5538387264913
Skype: joao_ricardo_lima
----------------------------------------
*
* 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/
