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Re: st: RE: which F-test do I report from xtivreg first stage
From
David Torres <[email protected]>
To
"[email protected]" <[email protected]>
Subject
Re: st: RE: which F-test do I report from xtivreg first stage
Date
Fri, 6 Dec 2013 17:32:23 -0600
Thanks, Mark.
Cheers
Sent from my iPhone
> On Dec 6, 2013, at 5:22 PM, "Schaffer, Mark E" <[email protected]> wrote:
>
> David,
>
>> -----Original Message-----
>> From: [email protected] [mailto:owner-
>> [email protected]] On Behalf Of David Torres
>> Sent: 06 December 2013 21:32
>> To: [email protected]
>> Subject: st: which F-test do I report from xtivreg first stage
>>
>> Hello again, Statalisters,
>>
>> I am utilizing the xtivreg's postestimation command, xtoverid (with the noisily
>> option), to get first stage estimates along with the F-test.
>>
>> I am unsure which of the F-tests I'm supposed to report. At the top of the OLS
>> regression of the first stage there is the F for the model.
>
> That's not the right one - it tests the joint significance of all the regressors, whereas you want the F that is a test of just the excluded instruments.
>
>> Below the first stage
>> model, though, is the F-test of excluded instruments, also called the Angrist-
>> Pischke multivariate F test of excluded instruments.
>
> These are two different Fs unless you have a single endogenous regressor, in which case they coincide. Sounds like they coincide in your case.
>
>> I'm thinking it's the latter
>> that I should be reporting. Am I right?
>
> Yes, that's the one.
>
> --Mark
>
>> Diego
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>
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