Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
From | "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |
To | <statalist@hsphsun2.harvard.edu> |
Subject | st: RE: XTIVREG first-stage F-statistic |
Date | Fri, 22 Oct 2010 11:14:22 +0100 |
Nicole, > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Nicole Au > Sent: 22 October 2010 01:26 > To: statalist@hsphsun2.harvard.edu > Subject: st: XTIVREG first-stage F-statistic > > Dear all > > I am using XTIVREG to estimate an instrumental variables > random effects model with 3 waves of panel data. > Does anyone know how I can obtain the F-statistic of the > instruments in the first-stage regression? xtivreg has a -first- option. If you've got a single endogenous regressor, you can take the t or z stat (I think it's a z stat) from the first stage regression and manipulate it to get a first-stage F stat. If that doesn't work ... I have an undocumented but mostly working version of xtivreg2 that does random effects estimation. If you contact me off-list, I can send it to you. Best wishes, Mark > > I understand xtivreg2 displays the F-stat for fixed-effects > or first-differences IV models, however there is no random > effects option for xtivreg2. > > Thanks, > > Nicole > > > > * > * 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/