help: diagreg2 dialog:

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 - Egypt
Email: emadstat@hotmail.com
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: "Stata Module to Compute 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
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* 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
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lmhaus2 2SLS-IV Hausman Specification Test
lmhausxt Panel Data Hausman Specification Test
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lmiden2 2SLS-IV Over Identification Restrictions Tests
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lmeg Augmented Engle-Granger Cointegration Test
lmgc 2SLS-IV Granger Causality Test
lmsrd OLS Spurious Regression Diagnostic
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* 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)
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