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From | Jen Zhen <jenzhen99@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: How to -estadd- specific F statistics after -ivreg2- ? |
Date | Wed, 26 Jun 2013 18:50:17 +0200 |
Dear Statalisters, I am using Baum-Schaffer-Stillmann's -ivreg2- to conduct 3 different (in terms of covariates/included instruments) IV regressions, each with 2 excluded instruments, and then I use Ben Jann's -esttab- to tab first the IV results, then the reduced form results, and then the first stage results: eststo: ivreg2 outcome (endogreg = ins1 ins2) covar1, robust savefirst savefprefix(first1) saverf saverfprefix(rf1) eststo: ivreg2 outcome (endogreg = ins1 ins2) covar2, robust savefirst savefprefix(first2) saverf saverfprefix(rf2) eststo: ivreg2 outcome (endogreg = ins1 ins2) covar3, robust savefirst savefprefix(first3) saverf saverfprefix(rf3) esttab est* using "iv.csv", r2 se replace lines compress se(%-9.2f) stats(r2 jp N) esttab rf* using "iv_rf.csv", r2 se replace lines compress se(%-9.2f) esttab first* using "iv_fs.csv", r2 se replace lines compress se(%-9.2f) Now I would like to include in the -esttab- commands for the first stage a line that contains the F statistic from testing the joint Null that the 2 instruments have a zero effect. And, relatedly, I would like to include in the -esttab- of the reduced form the joint Null that the reduced-form effects of the 2 instruments are both zero.