Thursday, March 16, 2006

st: ivreset

Dear Statalisters

I am using ivreset to do a Pesaran-Taylor Reset test after ivreg2. However, I am not able to replicate the result from ivreset manually. For example:

use http://fmwww.bc.edu/ec-p/data/hayashi/griliches76.dta reg iq s expr tenure rns smsa med kww predict double iq_hat reg lw iq_hat s expr tenure rns smsa predict double lw_hat gen double lw_hat2 = lw_hat^2 ivreg2 lw s expr tenure rns smsa lw_hat2 (iq=med kww) test lw_hat2

results in a slightly different chi2 statistic than:

ivreg2 lw s expr tenure rns smsa (iq=med kww) ivreset

There's probably something wrong with my code but I can't seem to figure out the problem. Any insights would be greatly appreciated.

Thanks and best regards, Arne

Arne Risa Hole Research Fellow Centre for Health Economics Alcuin 'A' Block University of York York YO10 5DD UK

Tel: +44 (0)1904 321404 Email: ah522@york.ac.uk

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