Friday, March 03, 2006

st: Hansen J with orthog option

Thank you very much for your suggestion on first stage F and estout.

The following query might be very similar to one posted by a statalister recently. But I am still very confused and would like to ask following:

I am running a regression (below), with the gmm robust cluster option to cater for any arbitrary heteroskedasticity and group correlation. Based on intuition, variable lchx is correlated with the error term. I want to formally test this. Since ivendog cannot be used with robust or cluster , I use the "orthog" option.

Regression:

ivreg2 limp lgdpm lcapm lgdpx lcapx ldist lareap landl island border comlang comcol colony lchx (= lchgdp iecor), ffirst gmm robust cluster(pid) orthog(lchx)

----test reult---- ------------------------------------------------------------------------------ Hansen J statistic (Lagrange multiplier test of excluded instruments): 90.466 Chi-sq(2) P-val = 0.0000 -orthog- option: Hansen J statistic (eqn. excluding suspect orthog. conditions): 0.022 Chi-sq(1) P-val = 0.8829

C statistic (exogeneity/orthogonality of suspect instruments): 90.445 Chi-sq(1) P-val = 0.0000 Instruments tested: lchx -------------------------------- Included instruments: lgdpm lcapm lgdpx lcapx ldist lareap landl island border comlang comcol colony lchx Excluded instruments: lchgdp iecor -------------------------------------------------------------------------------------------- Questions:

1. The C stat confirms that lchx is in fact endogenous and IV technique is appropriate. Is this correct?

2. But which Hansen J stat would indicate whether instruments are valid or not? What is the difference between the two and why is there such a large disparity in magnitude?

Many thanks Priya

Research Postgraduate Leverhulme Centre for Research on Globalisation and Economic Policy C42, School of Economics The University of Nottingham University Park Nottingham, NG7 2RD UK Tel: + 44 (0)115 951 5870

>>> M.E.Schaffer@hw.ac.uk 03/02/06 4:58 pm >>> Priya,

If you have one endogenous variable, and you want a robust first-stage F-statistic, then you can extract it from the saved -e(first)- matrix. Just do an -ivreg2- estimation, type -mat list e(first)-, and you'll see where the F-stat is saved.

Cheers, Mark

> -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Priydarshini Mahabir > Sent: 02 March 2006 16:23 > To: statalist@hsphsun2.harvard.edu > Subject: st: First stage F and estout > > Hi, > I am using the following command to estimate a gravity model > (panel data) > > ivreg2 limp lgdpm lcapm lgdpx lcapx ldist lareap landl > island border comlang comcol colony iicor iecor (lhkchx= > lhkchgdp ichcor ihkcor), first gmm robust cluster(pid) > > I am tabulating the results using the estout command. > estout *, cells(b(star fmt(%9.3f)) se(par)) style (fixed) > stats( r2 j jp idstat idp ) > > My question is how to get the first stage F statistic (test > for excluded instruments) in the table as well? When I > include "F" within the stats( ), i only get the 2nd stage F stat. > > Is there any other command for tabulating regression results? > Many thanks > > Priya > > Research Postgraduate > Leverhulme Centre for Research on Globalisation and Economic > Policy C42, School of Economics The University of Nottingham > University Park Nottingham, > NG7 2RD > UK > Tel: + 44 (0)115 951 5870 > > > This message has been checked for viruses but the contents of > an attachment > may still contain software viruses, which could damage your > computer system: > you are advised to perform your own checks. Email > communications with the > University of Nottingham may be monitored as permitted by UK > legislation. > > > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > >

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