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st: RE: Using ivhettest to test for heterogeneity
From
"Schaffer, Mark E" <[email protected]>
To
<[email protected]>
Subject
st: RE: Using ivhettest to test for heterogeneity
Date
Fri, 24 Feb 2012 22:49:16 -0000
Andreas,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> [email protected]
> Sent: 24 February 2012 20:14
> To: [email protected]
> Subject: st: Using ivhettest to test for heterogeneity
>
> Dear Statalist users,
>
> I am concerned with using White's general heteroskedasticity
> test when running an instrumental variables regression. There
> is an option "nr2" which can be used with -ivhettest- after
> the -ivreg2- command that displays the White-Koenker test
> statistic.
This is a test of heteroskedasticity in the IV equation (or "2nd stage"
if you prefer).
> However, when I run the first-stage regression
> manually and use the command "imtest, white", I get a very
> different value for the test statistic.
Because it's a test of heteroskedasticity in the first-stage regression.
> The help file for -ivhettest- claims that this command can
> also be used for OLS regressions.
It can; see the example in the help file. You estimate using OLS
(-regress- or -ivreg2-), then call -ivhettest-.
> But why do the -ivhettest-
> and -imtest- commands yield different test statistics?
They should be the same. Estimate using OLS and -regress-, and then
compare -imtest, white- with -ivhettest, ivsq nr2-. You should get the
same result. Below is an example using the toy auto dataset.
Cheers,
Mark
. reg mpg weight
Source | SS df MS Number of obs =
74
-------------+------------------------------ F( 1, 72) =
134.62
Model | 1591.9902 1 1591.9902 Prob > F =
0.0000
Residual | 851.469256 72 11.8259619 R-squared =
0.6515
-------------+------------------------------ Adj R-squared =
0.6467
Total | 2443.45946 73 33.4720474 Root MSE =
3.4389
------------------------------------------------------------------------
------
mpg | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
-------------+----------------------------------------------------------
------
weight | -.0060087 .0005179 -11.60 0.000 -.0070411
-.0049763
_cons | 39.44028 1.614003 24.44 0.000 36.22283
42.65774
------------------------------------------------------------------------
------
. imtest, white
White's test for Ho: homoskedasticity
against Ha: unrestricted heteroskedasticity
chi2(2) = 5.89
Prob > chi2 = 0.0526
Cameron & Trivedi's decomposition of IM-test
---------------------------------------------------
Source | chi2 df p
---------------------+-----------------------------
Heteroskedasticity | 5.89 2 0.0526
Skewness | 4.92 1 0.0266
Kurtosis | 1.70 1 0.1919
---------------------+-----------------------------
Total | 12.51 4 0.0139
---------------------------------------------------
> Is the
> -ivhettest- a combined heteroskedasticity test that is
> computed from individual test statistics of the first-stage
> and reduced form regression in the case of 2SLS?
>
> Any help would be greatly appreciated!
>
> Andreas Zweifel
> *
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>
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*
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