+-------+ ----+ Title +------------------------------------------------------------
diagreg2: 2SLS-IV Model Selection Diagnostic Criteria
+-------------------+ ----+ Table of Contents +------------------------------------------------
Syntax Description Model GMM Options Other Options Saved Results References
*** Examples
Author
+--------+ ----+ Syntax +-----------------------------------------------------------
diagreg2 depvar indepvars (endog = inst) [if] [in] , model(2sls, liml, gmm, melo, fuller, kclass) [ kc(#) kf(#) hetcov(type) noconstant noconexog ]
+-------------+ ----+ Description +------------------------------------------------------
diagreg2 computes 2SLS-IV Model Selection Diagnostic Criteria for instrumental variables regression models, via 2sls, liml, melo, gmm, and kclass.
- Log Likelihood Function LLF - Akaike Information Criterion (1974) AIC - Akaike Information Criterion (1973) Log AIC - Schwarz Criterion (1978) SC - Schwarz Criterion (1978) Log SC - Amemiya Prediction Criterion (1969) FPE - Hannan-Quinn Criterion (1979) HQ - Rice Criterion (1984) Rice - Shibata Criterion (1981) Shibata - Craven-Wahba Generalized Cross Validation (1979) GCV
+-------+ ----+ Model +------------------------------------------------------------
model description 2sls Two-Stage Least Squares (2SLS) liml Limited-Information Maximum Likelihood (LIML) melo Minimum Expected Loss (MELO) fuller Fuller k-Class LIML kclass Theil K-Class LIML gmm Generalized Method of Moments (GMM)
+-------------+ ----+ GMM Options +------------------------------------------------------
hetcov Options Description
hetcov(white) White Method hetcov(bart) Bartlett Method hetcov(dan) Daniell Method hetcov(nwest) Newey-West Method hetcov(parzen) Parzen Method hetcov(quad) Quadratic spectral Method hetcov(tent) Tent Method hetcov(trunc) Truncated Method hetcov(tukeym) Tukey-Hamming Method hetcov(tukeyn) Tukey-Hanning Method
+---------------+ ----+ Other Options +----------------------------------------------------
kf(#) Fuller k-Class LIML Value
kc(#) Theil k-Class LIML Value
noconstant Exclude Constant Term from RHS Equation only
noconexog Exclude Constant Term from all Equations (both RHS and Instrumental Equations). Results of using noconexog option are identical to Stata ivregress and ivreg2. The default of diagreg2 is including Constant Term in both RHS and Instrumental Equations
+---------------+ ----+ Saved Results +----------------------------------------------------
diagreg2 saves the following in e():
*** Model Selection Diagnostic Criteria: e(N) number of observations e(r2bu) R-squared (Buse 1973) e(r2bu_a) R-squared Adj (Buse 1973) e(r2raw) Raw Moments R2 e(r2raw_a) Raw Moments R2 Adj e(f) F-test e(fp) F-test P-Value e(wald) Wald-test e(waldp) Wald-test P-Value e(r2cc) Corrected R2 e(r2cc_a) adj Corrected R2 e(sig) Sigma (MSE)
e(llf) Log Likelihood Function LLF e(aic) Akaike Information Criterion (1974) AIC e(laic) Akaike Information Criterion (1973) Log AIC e(sc) Schwarz Criterion (1978) SC e(lsc) Schwarz Criterion (1978) Log SC e(fpe) Amemiya Prediction Criterion (1969) FPE e(hq) Hannan-Quinn Criterion (1979) HQ e(rice) Rice Criterion (1984) Rice e(shibata) Shibata Criterion (1981) Shibata e(gcv) Craven-Wahba Generalized Cross Validation (1979) GCV
+------------+ ----+ References +-------------------------------------------------------
Damodar Gujarati (1995) "Basic Econometrics" 3rd Edition, McGraw Hill, New York, USA.
Greene, William (1993) "Econometric Analysis", 2nd ed., Macmillan Publishing Company Inc., New York, USA; 616-618.
Greene, William (2007) "Econometric Analysis", 6th ed., Upper Saddle River, NJ: Prentice-Hall; 387-388.
Griffiths, W., R. Carter Hill & George Judge (1993) "Learning and Practicing Econometrics", John Wiley & Sons, Inc., New York, USA; 602-606.
Judge, Georege, R. Carter Hill, William . E. Griffiths, Helmut Lutkepohl, & Tsoung-Chao Lee (1988) "Introduction To The Theory And Practice Of Econometrics", 2nd ed., John Wiley & Sons, Inc., New York, USA.
Judge, Georege, W. E. Griffiths, R. Carter Hill, Helmut Lutkepohl, & Tsoung-Chao Lee(1985) "The Theory and Practice of Econometrics", 2nd ed., John Wiley & Sons, Inc., New York, USA; 615.
Maddala, G. (1992) "Introduction to Econometrics", 2nd ed., Macmillan Publishing Company, New York, USA; 358-366.
Park, S. (1982) "Some Sampling Properties of Minimum Expected Loss (MELO) Estimators of Structural Coefficients", J. Econometrics, Vol. 18, No. 2, April,; 295-311.
White, Halbert (1980) "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity", Econometrica, 48; 817-838.
William E. Griffiths, R. Carter Hill and George G. Judge (1993) "Learning and Practicing Econometrics", John Wiley & Sons, Inc., New York, USA.
Zellner, Arnold (1978) "Estimation of Functions of Population Means and Regression Coefficients Including Structural Coefficients: A Minimum Expected Loss (MELO) Approach", J. Econometrics, Vol. 8,; 127-158.
Zellner, Arnold & S. Park (1979) "Minimum Expected Loss (MELO) Estimators for Functions of Parameters and Structural Coefficients of Econometric Models", J. Am. Stat. Assoc., Vol. 74; 185-193.
+----------+ ----+ Examples +---------------------------------------------------------
clear all
sysuse diagreg2.dta , clear
db diagreg2
diagreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(2sls) diagreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(melo) diagreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(liml) diagreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(fuller) kf(0.5) diagreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(kclass) kc(0.5) diagreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(white) diagreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(bart) diagreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(dan) diagreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(nwest) diagreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(parzen) diagreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(quad) diagreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(tent) diagreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(trunc) diagreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(tukeym) diagreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(gmm) hetcov(tukeyn) -------------------------------------------------------------------------------
. clear all . sysuse diagreg2.dta , clear . diagreg2 y1 x1 x2 (y2 = x1 x2 x3 x4) , model(2sls)
============================================================================== * Two Stage Least Squares (2SLS) ============================================================================== y1 = y2 + x1 + x2 ------------------------------------------------------------------------------ Sample Size = 17 Wald Test = 79.9520 | P-Value > Chi2(3) = 0.0000 F-Test = 26.6507 | P-Value > F(3 , 13) = 0.0000 (Buse 1973) R2 = 0.8592 | Raw Moments R2 = 0.9954 (Buse 1973) R2 Adj = 0.8267 | Raw Moments R2 Adj = 0.9944 Root MSE (Sigma) = 10.2244 | Log Likelihood Function = -61.3630 ------------------------------------------------------------------------------ - R2h= 0.8593 R2h Adj= 0.8268 F-Test = 26.46 P-Value > F(3 , 13) 0.0000 - R2v= 0.8765 R2v Adj= 0.8480 F-Test = 30.75 P-Value > F(3 , 13) 0.0000 ------------------------------------------------------------------------------ y1 | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- y2 | .237333 .2422811 0.98 0.345 -.2860835 .7607495 x1 | .2821278 .5433329 0.52 0.612 -.8916715 1.455927 x2 | -1.044795 .362648 -2.88 0.013 -1.828248 -.2613411 _cons | 145.8444 61.72083 2.36 0.034 12.50468 279.1842 ------------------------------------------------------------------------------ * Y = LHS Dependent Variable: 1 = y1 * Yi = RHS Endogenous Variables: 1 = y2 * Xi = RHS Included Exogenous Vars: 2 = x1 x2 * Xj = RHS Excluded Exogenous Vars: 2 = x3 x4 * Z = Overall Instrumental Vars: 4 = x1 x2 x3 x4
============================================================================== * 2SLS-IV Model Selection Diagnostic Criteria - Model= (2sls) ============================================================================== - Log Likelihood Function LLF = -61.3630 --------------------------------------------------------------------------- - Akaike Information Criterion (1974) AIC = 127.9815 - Akaike Information Criterion (1973) Log AIC = 4.8519 --------------------------------------------------------------------------- - Schwarz Criterion (1978) SC = 155.7008 - Schwarz Criterion (1978) Log SC = 5.0479 --------------------------------------------------------------------------- - Amemiya Prediction Criterion (1969) FPE = 129.1366 - Hannan-Quinn Criterion (1979) HQ = 130.5000 - Rice Criterion (1984) Rice = 151.0010 - Shibata Criterion (1981) Shibata = 117.5613 - Craven-Wahba Generalized Cross Validation (1979) GCV = 136.7050 ------------------------------------------------------------------------------
+--------+ ----+ Author +-----------------------------------------------------------
Emad Abd Elmessih Shehata Professor (PhD Economics) Agricultural Research Center - Agricultural Economics Research Institute - Eg > ypt Email: emadstat@hotmail.com WebPage: http://emadstat.110mb.com/stata.htm WebPage at IDEAS: http://ideas.repec.org/f/psh494.html WebPage at EconPapers: http://econpapers.repec.org/RAS/psh494.htm
+-------------------+ ----+ diagreg2 Citation +------------------------------------------------
Shehata, Emad Abd Elmessih (2012) DIAGREG2: "2SLS-IV Heteroscedasticity Tests"
http://ideas.repec.org/c/boc/bocode/s457384.html
http://econpapers.repec.org/software/bocbocode/s457384.htm
Online Help:
* Model Selection Diagnostic Criteria: diagmle MLE Model Selection Diagnostic Criteria diagnl NLS Model Selection Diagnostic Criteria diagnlsur (NL-SUR) Overall System ModeL Selection Diagnostic Criteria diagreg OLS Model Selection Diagnostic Criteria diagreg2 2SLS-IV Model Selection Diagnostic Criteria diagreg3 (3SLS-SUR) Overall System ModeL Selection Diagnostic Criteria diagsem (SEM-FIML) Overall System ModeL Selection Diagnostic Criteria diagvar (VAR) Overall System ModeL Selection Diagnostic Criteria diagxt Panel Data ModeL Selection Diagnostic Criteria --------------------------------------------------------------------------- * Linear vs Log-Linear Functional Form Tests: lmfmle MLE Linear vs Log-Linear Functional Form Tests lmfreg OLS Linear vs Log-Linear Functional Form Tests lmfreg2 2SLS-IV Linear vs Log-Linear Functional Form Tests --------------------------------------------------------------------------- lmhaus2 2SLS-IV Hausman Specification Test lmhausxt Panel Data Hausman Specification Test --------------------------------------------------------------------------- lmiden2 2SLS-IV Over Identification Restrictions Tests --------------------------------------------------------------------------- lmeg Augmented Engle-Granger Cointegration Test lmgc 2SLS-IV Granger Causality Test lmsrd OLS Spurious Regression Diagnostic --------------------------------------------------------------------------- * REgression Specification Error Tests (RESET): reset OLS REgression Specification Error Tests (RESET) reset2 2SLS-IV REgression Specification Error Tests (RESET) resetmle MLE REgression Specification Error Tests (RESET) resetxt Panel Data REgression Specification Error Tests (RESET) ---------------------------------------------------------------------------