Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
st: Anderson-Rubin Wald Test in ivreg2
From
bahareh sehatzadeh <[email protected]>
To
[email protected]
Subject
st: Anderson-Rubin Wald Test in ivreg2
Date
Thu, 10 Jun 2010 14:06:56 -0400
Greetings,
I will be grateful if someone can help me with the test results in
ivreg2. I specifically want to know what will Anderson-Rubin Wald test
and Stock-Wright LM S statistics show when we only have one endogenous
regressor since they are supposed to test the joint significance of
all endogenous regressors. I am copying the results I got from running
my model as I think everything looks good except these tests. I
appreciate your time and consideration.
Sincerely,
Bahareh Sehatzadeh.
. ivreg2 q9_walk_freq dum_dog empl_schl res_1_3 JerseyCity (cars=
lu_entropy6 hom_own den_pop00_bg res_mlt_fam), first
First-stage regressions
-----------------------
First-stage regression of cars:
OLS estimation
--------------
Estimates efficient for homoskedasticity only
Statistics consistent for homoskedasticity only
Number of obs = 889
F( 8, 880) = 66.04
Prob > F = 0.0000
Total (centered) SS = 1147.75928 Centered R2 = 0.3752
Total (uncentered) SS = 3503 Uncentered R2 = 0.7953
Residual SS = 717.1662165 Root MSE = .9028
------------------------------------------------------------------------------
cars | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
dum_dog | .3460319 .0711321 4.86 0.000 .2064235 .4856403
empl_schl | .3338154 .0645232 5.17 0.000 .207178 .4604528
res_1_3 | .4416355 .0983916 4.49 0.000 .2485258 .6347451
JerseyCity | -.3897836 .0893173 -4.36 0.000 -.5650834 -.2144837
lu_entropy6 | -.3648791 .179012 -2.04 0.042 -.7162193 -.0135388
hom_own | .6853242 .0788627 8.69 0.000 .5305433 .8401051
den_pop00_bg | -7.38e-06 2.27e-06 -3.26 0.001 -.0000118 -2.93e-06
res_mlt_fam | .4163419 .0999191 4.17 0.000 .2202342 .6124495
_cons | .9164409 .1345124 6.81 0.000 .6524383 1.180443
------------------------------------------------------------------------------
Included instruments: dum_dog empl_schl res_1_3 JerseyCity lu_entropy6 hom_own
den_pop00_bg res_mlt_fam
------------------------------------------------------------------------------
F test of excluded instruments:
F( 4, 880) = 28.00
Prob > F = 0.0000
Angrist-Pischke multivariate F test of excluded instruments:
F( 4, 880) = 28.00
Prob > F = 0.0000
Summary results for first-stage regressions
-------------------------------------------
(Underid) (Weak id)
Variable | F( 4, 880) P-val | AP Chi-sq( 4) P-val | AP F( 4, 880)
cars | 28.00 0.0000 | 113.13 0.0000 | 28.00
Stock-Yogo weak ID test critical values for single endogenous regressor:
5% maximal IV relative bias 16.85
10% maximal IV relative bias 10.27
20% maximal IV relative bias 6.71
30% maximal IV relative bias 5.34
10% maximal IV size 24.58
15% maximal IV size 13.96
20% maximal IV size 10.26
25% maximal IV size 8.31
Source: Stock-Yogo (2005). Reproduced by permission.
Underidentification test
Ho: matrix of reduced form coefficients has rank=K1-1 (underidentified)
Ha: matrix has rank=K1 (identified)
Anderson canon. corr. LM statistic Chi-sq(4)=100.36 P-val=0.0000
Weak identification test
Ho: equation is weakly identified
Cragg-Donald Wald F statistic 28.00
Stock-Yogo weak ID test critical values for K1=1 and L1=4:
5% maximal IV relative bias 16.85
10% maximal IV relative bias 10.27
20% maximal IV relative bias 6.71
30% maximal IV relative bias 5.34
10% maximal IV size 24.58
15% maximal IV size 13.96
20% maximal IV size 10.26
25% maximal IV size 8.31
Source: Stock-Yogo (2005). Reproduced by permission.
Weak-instrument-robust inference
Tests of joint significance of endogenous regressors B1 in main equation
Ho: B1=0 and orthogonality conditions are valid
Anderson-Rubin Wald test F(4,880)= 0.88 P-val=0.4762
Anderson-Rubin Wald test Chi-sq(4)= 3.55 P-val=0.4703
Stock-Wright LM S statistic Chi-sq(4)= 3.54 P-val=0.4724
Number of observations N = 889
Number of regressors K = 6
Number of endogenous regressors K1 = 1
Number of instruments L = 9
Number of excluded instruments L1 = 4
IV (2SLS) estimation
--------------------
Estimates efficient for homoskedasticity only
Statistics consistent for homoskedasticity only
Number of obs = 889
F( 5, 883) = 18.32
Prob > F = 0.0000
Total (centered) SS = 1148.704162 Centered R2 = 0.0809
Total (uncentered) SS = 14398 Uncentered R2 = 0.9267
Residual SS = 1055.785386 Root MSE = 1.09
------------------------------------------------------------------------------
q9_walk_freq | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
cars | -.2052962 .1140756 -1.80 0.072 -.4288803 .0182879
dum_dog | .5441911 .0976409 5.57 0.000 .3528184 .7355637
empl_schl | .1556036 .0875423 1.78 0.075 -.015976 .3271833
res_1_3 | -.2545317 .1158542 -2.20 0.028 -.4816018 -.0274617
JerseyCity | .2553529 .1147131 2.23 0.026 .0305194 .4801864
_cons | 4.013131 .159152 25.22 0.000 3.701199 4.325063
------------------------------------------------------------------------------
Underidentification test (Anderson canon. corr. LM statistic): 100.357
Chi-sq(4) P-val = 0.0000
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic): 27.996
Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 16.85
10% maximal IV relative bias 10.27
20% maximal IV relative bias 6.71
30% maximal IV relative bias 5.34
10% maximal IV size 24.58
15% maximal IV size 13.96
20% maximal IV size 10.26
25% maximal IV size 8.31
Source: Stock-Yogo (2005). Reproduced by permission.
------------------------------------------------------------------------------
Sargan statistic (overidentification test of all instruments): 0.255
Chi-sq(3) P-val = 0.9683
------------------------------------------------------------------------------
Instrumented: cars
Included instruments: dum_dog empl_schl res_1_3 JerseyCity
Excluded instruments: lu_entropy6 hom_own den_pop00_bg res_mlt_fam
------------------------------------------------------------------------------
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/