Meg,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Meghana Ayyagari
> Sent: 26 March 2008 21:16
> To: [email protected]
> Subject: st: xtivreg2 with clustered standard errors - very
> high first stage F
>
> Hi,
>
> I am using xtivreg2 to estimate a fixed effects model. My
> data is a cross-section of firms across countries. My concern
> is that while the instruments seem to pass all the tests of
> weak instruments, the first stage F-stat (and the
> corresponding Kleibergen-Paap Wald rk F
> statistic) is extremely high making me wonder if there is
> something wrong here. This seems to be the case only when I
> ask for clustered standard errors. Could someone please help
> me interpret this? I am posting the output below.
In your example, you have a single endogenous regressor. This is
helpful, because in this special case, the Kleibergen-Paap rk statistic
is identical to an F test of the excluded instruments in the first-stage
regression. In practice the small-sample dof corrections vary across
-regress-, -ranktest-, -ivreg2-, etc., but that's irrelevant in your
case.
So the easiest way to check what is going on is to run the first-stage
regression by hand using -cluster-, which I think in your case means
xtivreg2 x1 z1, cluster(cnum) fe small
and do an F test of z1. You should get a very similar F stat to the K-P
rk F stat reported by -xtivreg2-.
If not, please contact me off-list and we'll try to work out what's
going on.
Cheers,
Mark
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
>
> Thanks
>
> Meg
>
> xtivreg2 gro size (x1=z1), cluster(cnum) fe ffirst liml FIXED
> EFFECTS ESTIMATION
> ------------------------
> Number of groups = 79 Obs per
> group: min = 15
>
> avg = 78.9
>
> max = 378
>
> Summary results for first-stage regressions
> -------------------------------------------
> Variable | Shea Partial R2 | Partial R2 | F( 1,
> 78) P-value
> gcf | 0.0585 | 0.0585 | 17074.85
> 0.0000
>
> NB: first-stage F-stat cluster-robust
> Underidentification tests
> Ho: matrix of reduced form coefficients has rank=K1-1
> (underidentified)
> Ha: matrix has rank=K1 (identified)
> Kleibergen-Paap rk LM statistic Chi-sq(1)=50.27
> P-val=0.0000
> Kleibergen-Paap rk Wald statistic
> Chi-sq(1)=17296.53 P-val=0.0000
>
> Weak identification test
> Ho: equation is weakly identified
> Kleibergen-Paap Wald rk F statistic 17074.85
> See main output for Cragg-Donald weak id test critical values
>
> Weak-instrument-robust inference
> Tests of joint significance of endogenous regressors B1 in
> main equation
> Ho: B1=0 and overidentifying restrictions are valid
> Anderson-Rubin Wald test F(1,78)= 3.98 P-val=0.0497
> Anderson-Rubin Wald test Chi-sq(1)=4.03 P-val=0.0448
> Stock-Wright LM S statistic Chi-sq(1)=3.46 P-val=0.0628
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
--
Heriot-Watt University is a Scottish charity
registered under charity number SC000278
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
