Dear Statalisters,
Possibly my question is more of an econometric than something to do
with using Stata. However, running out of my other means I thought to
use Stata listers to clarify some of my confusion.
I am estimating my model with 2sls using ivreg2 in Stata and have used
lag values of my endogenous variables as instruments. I am a bit
concern of Anderson canon. corr. LR statistic of 5378.702. It would
be helpful to have your valuable comment on this statistics and also
using lag of endogenous variable/s as instrument in 2sls.
In this regard, I have included the stata output of my estimated model
below for your convenience.
Thanks in advance for any of your valuable input.
Mamiza Haq
University of Queensland
Below is the output:
ivreg2 r7 v33 v37 v40 v43 m15 y97 y98 y99 y00 y01 y02 y03 y04 y05
y06 (v29 v45
= l.v29 l.v45 v25), endog(v29 v45) robust
IV (2SLS) regression with robust standard errors
------------------------------------------------
Number of obs =
3952
F( 17, 3934) =
53.13
Prob > F =
0.0000
Total (centered) SS = 585.3429765 Centered R2 =
0.2912
Total (uncentered) SS = 683.5763175 Uncentered R2 =
0.3931
Residual SS = 414.8672882 Root MSE =
.324
------------------------------------------------------------------------------
| Robust
r7 | Coef. Std. Err. z P>|z| [95% Conf.
Interval]
-------------+----------------------------------------------------------------
v29 | .1501156 .0241436 6.22 0.000 .102795
.1974361
v45 | .2575129 .0681073 3.78 0.000 .1240252
.3910007
v33 | .0207883 .0105656 1.97 0.049 .0000801
.0414965
v37 | -.0962742 .0085038 -11.32
.000 -.1129414 -.079607
v40 | -.0169613 .0020569 -8.25
000 -.0209927 -.01293
v43 | -.2082114 .0455637 -4.57
0.000 -.2975146 -.1189082
m15 | .0183414 .0008159 22.48 0.000 .0167423
.0199404
y97 | .0363958 .0215968 1.69 0.092 -.0059332
.0787247
y98 | .0892018 .0261002 3.42 0.001 .0380464
.1403572
y99 | .0253146 .0213949 1.18 0.237 -.0166186
.0672478
y00 | .0049437 .0190883 0.26 0.796 -.0324687
.0423561
y01 | .0129248 .0197953 0.65 0.514 -.0258733
.051723
y02 | .0272125 .0197594 1.38 0.168 -.0115152
.0659401
y03 | .0449799 .019871 2.26 0.024 .0060334
.0839264
y04 | .1097093 .0217121 5.05 0.000 .0671543
.1522643
y05 | .1857581 .0252958 7.34 0.000 .1361793
.235337
y06 | .1453426 .0238486 6.09 0.000 .0986003
.1920849
_cons | -1.026569 .0678847 -15.12
0.000 -1.15962 -.8935171
------------------------------------------------------------------------------
Anderson canon. corr. LR statistic (identification/IV relevance
test):5378.702
Chi-sq(2) P-val =
0.0000
------------------------------------------------------------------------------
Hansen J statistic (overidentification test of all instruments):
2.998
Chi-sq(1) P-val =
0.0834
-endog- option:
Endogeneity test of endogenous regressors:
7.722
Chi-sq(2) P-val =
0.0210
Regressors tested: v29 v45
------------------------------------------------------------------------------
Instrumented: v29 v45
Included instruments: v33 v37 v40 v43 m15 y97 y98 y99 y00 y01 y02 y03 y04
y05
y06
Excluded instruments: L.v29 L.v45 v25
------------------------------------------------------------------------------
. test y97 y98 y99 y00 y01 y02 y03 y04 y05 y06
( 1) y97 = 0
( 2) y98 = 0
( 3) y99 = 0
( 4) y00 = 0
( 5) y01 = 0
( 6) y02 = 0
( 7) y03 = 0
( 8) y04 = 0
( 9) y05 = 0
(10) y06 = 0
chi2( 10) = 135.27
Prob > chi2 = 0.0000
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