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Re: st: estat firststage blank results
Dear Statalist,
When conducting an IV regression using -ivregress 2sls- and following
that up to get statistics indicating the strength of the instruments,
using -estat firststage-, the second half of the latter's results don't
provide any statistics. In particular, it looks as follows:
Minimum eigenvalue statistic = 8.91958
Critical Values # of endogenous regressors: 3
Ho: Instruments are weak # of excluded instruments: 3
---------------------------------------------------------------------
| 5% 10% 20% 30%
2SLS relative bias | (not available)
-----------------------------------+---------------------------------
| 10% 15% 20% 25%
2SLS Size of nominal 5% Wald test | (not available)
LIML Size of nominal 5% Wald test | (not available)
Why may that be? There is no clue to this from the stata manual.
Thanks for any thoughts,
Jennifer
Jennifer,
The critical values for the minimum eigenvalue statistic are based on
tables of results published in Stock and Yogo (2005). For the 2SLS and
LIML sizes of nominal 5% Wald tests, Stock and Yogo only considered the
cases where the model has one or two endogenous regressors; since you have
3 endogenous regressors, critical values are not available. For the 2SLS
relative bias with 3 endogenous regressors, Stock and Yogo's table only
contains critical values for models with at least 5 excluded instruments.
-- Brian Poi
-- [email protected]
Reference
---------
Stock, J and Yogo, M. (2005). Testing for weak instruments in linear
IV regression. In _Identification and Inference for Econometric Models:
Essays in Honor of Thomas Rothenberg, ed. D. Andrews and J. Stock, 80-108.
New York: Cambridge University Press.
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