Hi Mark,
Sorry to bother you again.
I updated my version of ivreg2.
I am sorry if these seem basic questions, but I have not been able to
figure this out.
I did use fwl and specified the model as follows:
But I got an error.
Can you please tell me, can the fwl option be used with 2SLS?
Why doesn't ivreg2 like my choice of a variable for fwl?
Ramani
. /* H1 base model*/
. ivreg2 happy (ln_pcy02=f_edyrs m_edyrs) ///
/*individual characteristics*/ male married malemarried edyrs unempld r_health workhrs netfinassets ln_earn_diff biginc smallinc decrease, first cluster(province) fwl(netfinassets)
Error: estimated covariance matrix of moment conditions not of full rank;
overidentification statistic not reported, and standard errors and
model tests should be interpreted with caution
Possible causes:
number of clusters insufficient to calculate robust covariance matrix
singleton dummy variable (dummy with one 1 and N-1 0s or vice versa)
-fwl- option may address problem. See help
First-stage regressions
-----------------------
First-stage regression of ln_pcy02:
OLS estimation
--------------
Statistics robust to heteroskedasticity and clustering on province
Number of clusters (province) = 12 Number of obs = 1713
F( 13, 11) = 18.07
Prob > F = 0.0000
Total (centered) SS = 686.693671 Centered R2 = 0.0718
Total (uncentered) SS = 686.693671 Uncentered R2 = 0.0718
Residual SS = 637.3655195 Root MSE = .6123
------------------------------------------------------------------------------
| Robust
ln_pcy02 | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
male | .2686569 .081074 3.31 0.007 .0902143 .4470995
married | .1644669 .0850305 1.93 0.079 -.0226838 .3516177
malemarried | -.3947205 .0902204 -4.38 0.001 -.5932944 -.1961466
edyrs | .0378845 .0063295 5.99 0.000 .0239532 .0518157
unempld | -.1893695 .230503 -0.82 0.429 -.6967032 .3179642
r_health | .0332917 .063011 0.53 0.608 -.1053947 .171978
workhrs | .0018748 .0016105 1.16 0.269 -.0016699 .0054196
ln_earn_diff | .0806468 .0170508 4.73 0.001 .0431182 .1181754
biginc | .1439435 .0745455 1.93 0.080 -.0201301 .308017
smallinc | .0551903 .0218531 2.53 0.028 .007092 .1032886
decrease | -.0584598 .0720107 -0.81 0.434 -.2169542 .1000346
f_edyrs | .0081267 .0063063 1.29 0.224 -.0057535 .0220068
m_edyrs | .0060132 .0038395 1.57 0.146 -.0024375 .014464
------------------------------------------------------------------------------
Error: estimated covariance matrix of moment conditions not of full rank;
overidentification statistic not reported, and standard errors and
model tests should be interpreted with caution
Possible causes:
number of clusters insufficient to calculate robust covariance matrix
singleton dummy variable (dummy with one 1 and N-1 0s or vice versa)
-fwl- option may address problem. See help ivreg2.
------------------------------------------------------------------------------
Included instruments: male married malemarried edyrs unempld r_health workhrs
ln_earn_diff biginc smallinc decrease f_edyrs m_edyrs
------------------------------------------------------------------------------
Partial R-squared of excluded instruments: 0.0050
Test of excluded instruments:
F( 2, 11) = 3.91
Prob > F = 0.0522
Summary results for first-stage regressions
-------------------------------------------
Shea
Variable | Partial R2 | Partial R2 F( 2, 11) P-value
ln_pcy02 | 0.0050 | 0.0050 3.91 0.0522
NB: first-stage F-stat cluster-robust
Underidentification tests:
Chi-sq(2) P-value
Anderson canon. corr. likelihood ratio stat. 8.53 0.0141
Cragg-Donald N*minEval stat. 8.55 0.0139
Ho: matrix of reduced form coefficients has rank=K-1 (underidentified)
Ha: matrix has rank>=K (identified)
Weak identification statistics:
Cragg-Donald (N-L)*minEval/L2 F-stat 4.24
NB: identification statistics not robust
Anderson-Rubin test of joint significance of
endogenous regressors B1 in main equation, Ho:B1=0
F(2,11)= 8.47 P-val=0.0059
Chi-sq(2)= 18.61 P-val=0.0001
NB: Anderson-Rubin stat cluster-robust
Number of clusters N_clust = 12
Number of observations N = 1713
Number of regressors K = 12
Number of instruments L = 13
Number of excluded instruments L2 = 2
IV (2SLS) estimation
--------------------
Statistics robust to heteroskedasticity and clustering on province
Number of clusters (province) = 12 Number of obs = 1713
F( 12, 11) = 10.13
Prob > F = 0.0003
Total (centered) SS = 1114.478239 Centered R2 = -1.0234
Total (uncentered) SS = 1114.478239 Uncentered R2 = -1.0234
Residual SS = 2255.04451 Root MSE = 1.147
------------------------------------------------------------------------------
| Robust
happy | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
ln_pcy02 | 1.560467 .5268474 2.96 0.003 .5278647 2.593068
male | -.5853268 .2200148 -2.66 0.008 -1.016548 -.1541056
married | -.1503001 .2183942 -0.69 0.491 -.578345 .2777447
malemarried | .8126114 .282537 2.88 0.004 .2588489 1.366374
edyrs | -.0586502 .0176557 -3.32 0.001 -.0932547 -.0240457
unempld | .2073323 .5171631 0.40 0.688 -.8062887 1.220953
r_health | .0715126 .0787037 0.91 0.364 -.0827439 .2257691
workhrs | -.0031905 .0028553 -1.12 0.264 -.0087868 .0024058
ln_earn_diff | -.1117204 .0533627 -2.09 0.036 -.2163094 -.0071314
biginc | .1049701 .1860298 0.56 0.573 -.2596416 .4695818
smallinc | -.0306185 .068844 -0.44 0.656 -.1655503 .1043132
decrease | -.329015 .1130287 -2.91 0.004 -.5505472 -.1074828
------------------------------------------------------------------------------
Anderson canon. corr. LR statistic (identification/IV relevance test): 8.525
Chi-sq(2) P-val = 0.0141
------------------------------------------------------------------------------
Error: estimated covariance matrix of moment conditions not of full rank;
overidentification statistic not reported, and standard errors and
model tests should be interpreted with caution
Possible causes:
number of clusters insufficient to calculate robust covariance matrix
singleton dummy variable (dummy with one 1 and N-1 0s or vice versa)
-fwl- option may address problem. See help ivreg2.
------------------------------------------------------------------------------
Instrumented: ln_pcy02
Included instruments: male married malemarried edyrs unempld r_health workhrs
ln_earn_diff biginc smallinc decrease
Excluded instruments: f_edyrs m_edyrs
Partialled-out (FWL): netfinassets _cons
nb: variable counts and small-sample adjustments
do not include partialled-out variables.
-------------------------------------------------------
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