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help for ^eba^ (Gimpavido@@worldbank.org)
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Extreme Bound Analysis
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^eba^ var1 var2 varlist [^if^ exp] [^in^ range]
, [^x(^varlist^) ty^pe^(^#^) le^vel^(^#^) vif(^#^) ci(^#^) d^etails]
Description
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^eba^ Performs an Extreme Bound Analysis on the regressor "var2",
for given a dependent variable "var1", and a set of regressors
Z and X. Where Z(nxk) and X(nxm) with k<=4.
The program runs n!/(k!(n-k)!) OLS regressions by
taking combinations of k<=4 Z variables among the p listed. It then
displays minimum and maximum parameter estimates for "var2" together
with their t-statistics, p-value and Z variables used. This version
controls for multicollinearity through -vif.ado- already coming
with stata.
References: Levine R. and D. Renelt (1992)
A sensitivity analysis of cross-country growth regressions.
American Economic Review, 82(4), 942-63
Options
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^x(^varlist^)^ contains other possible regressors, common to all regressions.
If it is not specified, it is assumed to be empty.
^type(^#^)^ tells the program how many Z variables should be taken for each
combination (maximum 4). If it is not specified, it is assumed to be 1.
^level(^#^)^ tells the program within what confidence level the minimum and
maximum for "ebavar" should be reported. If it is not specified,
it is assumed to be 0.95.
^vif(^#^)^ controls for the collinearity problem. It sets the maximum
admissible VIF below which extremes have to be found. If it is not
specified, the maximum is by default very high: i.e. it allows for
a high collinearity in the auxiliary regressions.
N.B. VIF is calculated for each of the n!/(k!(n-k)!) regressions
and it slows down the program considerably. Hope to solve this
sometime.
^ci(^#^)^ modyfies the confidence for the intervals of both the minimum and
maximum for "ebavar". If it is not specified, it is assumed to be .95.
^detail^ displays parameter estimate, t-statistics, p-value, maximum VIF
and relative Z variables for all regressions performed.
Examples
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. ^eba y x1 x2 x3^
. ^eba y x1-x3, x(x4-x6)^
. ^eba y x1 x2 x3 x4 x5, type(4)^
. ^eba y x1 x2 x3 x4 x5, x(x6) type(4) detail le(.85) ci(.90)^
. ^eba y x1 x2 x3 x4 x5, x(x6) type(4) detail le(.85) vif(10) ci(.90)^
Also see
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Manual: ^[R] fit^
On-line: help for @fit@
Author
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Gregorio Impavido
DECVP
The World Bank
Washington, DC
Gimpavido@@worldbank.org