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  • xtivreg re f test, tests for weak instruments and overidentification

    Hello,

    I have been following some of the discussions in other posts, but have had a hard time finding the answer to my issue.

    I see from other users that xtivreg2 provides post estimation tests for fe and fd models, but not re models. I cannot use fe or fd because some of my variables are time invariant.

    I use the following code to check for over identification as per a previous post:

    - reg l_impvalUSD conn_after ref_2008 $controls
    - predict v2hat, resid
    - xtreg l_impvalUSD connected v2hat conn_after ref_2008 $controls B1_elect_gift, re vce(cluster id)

    This gives me a highly significant P score for the z statistic, which from my understanding, would indicate that my y2 (connected) is endogenous.

    The next step for me is to find out :

    1. how to manually check for weak/strong instruments for the case where I use one instrument (as in here I use only B1_elect_gift). Would you have advice on how to do this when in an re setting? with xtivreg2 , fe or fd , we have the test already done for us, but not with xtivreg , re

    2. Would you similarly have advice on how to test for overidentification when I have more than one instrumental variable when in an xtivreg ,re model?


    Here is an except from my datafile.

    Code:
    * Example generated by -dataex-. To install: ssc install dataex
    clear
    input float(l_impvalUSD connected) byte conn_after float(ref_2008 B1_elect_gift)
    11.809468 . . 1       .75
       7.6316 . . 1 .14285715
     9.741706 . . 1  .3333333
     10.00367 . . 1         .
     5.265005 . . 0         .
     9.185537 . . 1         .
    12.123355 . . 1         .
     5.430605 1 1 1  .4545455
     6.105125 1 1 1  .4545455
     9.962399 . . 1         .
     6.369867 0 0 1         .
     9.931567 . . 1         .
    10.376081 . . 1         .
     6.545316 . . 1 .14285715
     5.254809 . . 1         .
     15.86338 1 1 1         .
    13.419892 1 1 1         .
     7.630236 . . 1        .5
     8.558739 . . 1         0
     8.743931 . . 1        .5
     8.670208 . . 0         0
     8.994358 . . 1        .5
    13.358562 1 1 1         .
     9.680139 . . 1 .14285715
    10.097457 . . 0         0
    4.3324513 . . 1        .5
     10.08326 . . 1         .
      8.90372 . . 1         .
     9.158985 . . 1         0
     7.087101 . . 1         .
     7.519593 1 1 1  .4545455
     10.39248 . . 1         0
     9.862251 . . 1         0
     7.956739 . . 1         0
    4.4641743 . . 0         0
     9.229189 . . 1 .14285715
    13.067918 . . 1        .5
    12.750822 . . 1         0
     7.678548 1 0 0  .4545455
     4.723966 . . 1         .
     3.975444 . . 1         .
    end
    label values connected CON
    label def CON 0 "not connected", modify
    label def CON 1 "connected", modify

  • #2
    Try xtivreg2 or ivreg2. They have the tests you want built in.

    Comment


    • #3
      Would there be a way to do the test with xtivreg, re though? The problem is that xtivreg2 does not run with RE...

      Comment


      • #4
        Dear Michelle,

        Did you by any chance find a solution for your problem with xtivreg2 in combination with RE?

        Best,

        David

        Comment

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