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Re: st: RE: xtivreg2 weak-instrument-robust inference
From
Camden Roberts <[email protected]>
To
[email protected]
Subject
Re: st: RE: xtivreg2 weak-instrument-robust inference
Date
Tue, 13 Jul 2010 11:36:00 -0400
Dr. Schaffer,
Thank you for the response, I really appreciate it. For what it is
worth, I have included my output below in case there are any further
insights anyone could provide.
. xtivreg2 lntotpremclass_avg notimpactedNOBlnchget
notimpactedNOBlnclaimsuspt notimpactedNOBllntotprem
notimpactedNOBllntotlim notimpactedNOBuncertainty1 notimpactedNOB03
notimpactedNOBperiod4 notimpactedNOBperiod5 impactedNOBlnchget
impactedNOBlnclaimsuspt impactedNOBllntotprem impactedNOBllntotlim
impactedNOBuncertainty1 impactedNOB03 impactedNOBperiod4
impactedNOBperiod5 (lntotlimclass_avg=notimpactedNOBlnclaimsuspt
notimpactedNOBlntotprem notimpactedNOBllntotprem
impactedNOBlnclaimsuspt impactedNOBlntotprem impactedNOBllntotprem
lnavg_totalassets lnavg_discontop lnavg_estdoubtrecv lnavg_investcap
lnavg_debttoequity lnavg_pensionexp lnavg_netprofitmargin lnavg_quick
notimpactedNOBuncertainty1 notimpactedNOB03 notimpactedNOBperiod4
notimpactedNOBperiod5 impactedNOBuncertainty1 impactedNOB03
impactedNOBperiod4 impactedNOBperiod5), first gmm2 fe
Warning - singleton groups detected. 1 observation(s) not used.
Warning - duplicate variables detected
Duplicates: notimpactedNOBlnclaimsuspt notimpactedNOBllntotprem
impactedNOBlnclaimsuspt impactedNOBllntotprem
notimpactedNOBuncertainty1 notimpactedNOB03
notimpactedNOBperiod4 notimpactedNOBperiod5
impactedNOBuncertainty1 impactedNOB03 impactedNOBperiod4
impactedNOBperiod5
FIXED EFFECTS ESTIMATION
------------------------
Number of groups = 14 Obs per group: min = 7
avg = 14.3
max = 16
First-stage regressions
-----------------------
First-stage regression of lntotlimclass_avg:
FIXED EFFECTS ESTIMATION
------------------------
Number of groups = 14 Obs per group: min = 7
avg = 14.3
max = 16
OLS estimation
--------------
Estimates efficient for homoskedasticity only
Statistics consistent for homoskedasticity only
Number of obs = 200
F( 26, 160) = 33.51
Prob > F = 0.0000
Total (centered) SS = 20.97721972 Centered R2 = 0.8448
Total (uncentered) SS = 20.97721972 Uncentered R2 = 0.8448
Residual SS = 3.254944993 Root MSE = .1426
------------------------------------------------------------------------------
lntotlimcl~g | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
not~Blnchget | -.0414577 .021775 -1.90 0.059 -.0844612 .0015458
notimpacte.. | .0924537 .0536503 1.72 0.087 -.0135004 .1984079
notimpacte.. | -.23722 .0588693 -4.03 0.000 -.353481 -.120959
n~Bllntotlim | .6098831 .0625331 9.75 0.000 .4863864 .7333799
notimpacte.. | -.0047151 .0557134 -0.08 0.933 -.1147434 .1053133
notimpac~B03 | -.3623428 .0795988 -4.55 0.000 -.5195426 -.205143
not~Bperiod4 | -.2170987 .0764569 -2.84 0.005 -.3680935 -.0661038
not~Bperiod5 | -.2226961 .0985589 -2.26 0.025 -.4173403 -.0280519
impactedN~et | -.0674339 .041296 -1.63 0.104 -.1489894 .0141215
impactedN~pt | .2319278 .1127642 2.06 0.041 .0092296 .4546259
impactedNO.. | -.2321764 .0859004 -2.70 0.008 -.4018213 -.0625315
i~Bllntotlim | .664471 .104069 6.38 0.000 .4589449 .869997
impactedN~y1 | -.0693409 .0858992 -0.81 0.421 -.2389833 .1003014
impactedN~03 | -.3001218 .1302113 -2.30 0.022 -.5572763 -.0429673
impactedNO~4 | -.0044267 .1007324 -0.04 0.965 -.2033633 .1945098
impactedNO~5 | -.134695 .1098232 -1.23 0.222 -.3515849 .0821949
n~Blntotprem | .4110068 .0483461 8.50 0.000 .3155279 .5064857
i~Blntotprem | .3657071 .0679038 5.39 0.000 .2316038 .4998105
lnavg_tota~s | -.0293143 .1880292 -0.16 0.876 -.4006535 .3420249
lnavg_disc~p | -.0392525 .0422026 -0.93 0.354 -.1225985 .0440936
lnavg_estd~v | .0115162 .0420492 0.27 0.785 -.0715268 .0945593
lnavg_inve~p | .0876884 .1661616 0.53 0.598 -.2404643 .4158411
lnavg_debt~y | -.0431072 .0301739 -1.43 0.155 -.1026977 .0164833
lnavg_pens~p | .0984751 .0529745 1.86 0.065 -.0061444 .2030946
lnavg_netp~n | -.0193907 .020282 -0.96 0.340 -.0594457 .0206643
lnavg_quick | .0204199 .0260387 0.78 0.434 -.0310039 .0718437
------------------------------------------------------------------------------
Included instruments: notimpactedNOBlnchget notimpactedNOBlnclaimsuspt
notimpactedNOBllntotprem notimpactedNOBllntotlim
notimpactedNOBuncertainty1 notimpactedNOB03
notimpactedNOBperiod4 notimpactedNOBperiod5
impactedNOBlnchget impactedNOBlnclaimsuspt
impactedNOBllntotprem impactedNOBllntotlim
impactedNOBuncertainty1 impactedNOB03 impactedNOBperiod4
impactedNOBperiod5 notimpactedNOBlntotprem
impactedNOBlntotprem lnavg_totalassets lnavg_discontop
lnavg_estdoubtrecv lnavg_investcap lnavg_debttoequity
lnavg_pensionexp lnavg_netprofitmargin lnavg_quick
------------------------------------------------------------------------------
Partial R-squared of excluded instruments: 0.4127
Test of excluded instruments:
F( 10, 160) = 11.24
Prob > F = 0.0000
Summary results for first-stage regressions
-------------------------------------------
Variable | Shea Partial R2 | Partial R2 | F( 10, 160) P-value
lntotlimclas| 0.4127 | 0.4127 | 11.24 0.0000
Underidentification tests
Ho: matrix of reduced form coefficients has rank=K1-1 (underidentified)
Ha: matrix has rank=K1 (identified)
Anderson canon. corr. N*CCEV LM statistic Chi-sq(10)=76.75 P-val=0.0000
Cragg-Donald N*CDEV Wald statistic Chi-sq(10)=130.68 P-val=0.0000
Weak identification test
Ho: equation is weakly identified
Cragg-Donald Wald F-statistic 11.24
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(0,160)= . P-val= .
Anderson-Rubin Wald test Chi-sq(0)=. P-val= .
Stock-Wright LM S statistic Chi-sq(0)=186.00 P-val= .
Number of observations N = 200
Number of regressors K = 17
Number of instruments L = 26
Number of excluded instruments L1 = 0
2-Step GMM estimation
---------------------
Estimates efficient for homoskedasticity only
Statistics consistent for homoskedasticity only
Number of obs = 200
F( 17, 169) = 15.61
Prob > F = 0.0000
Total (centered) SS = 31.0461138 Centered R2 = 0.3902
Total (uncentered) SS = 31.0461138 Uncentered R2 = 0.3902
Residual SS = 18.93051061 Root MSE = .319
------------------------------------------------------------------------------
lntotpremc~g | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lntotlimcl~g | 2.326373 .2109605 11.03 0.000 1.912898 2.739848
not~Blnchget | .0933379 .0477317 1.96 0.051 -.0002145 .1868902
notimpacte.. | -.2315362 .1232914 -1.88 0.060 -.473183 .0101106
notimpacte.. | .6563093 .1128591 5.82 0.000 .4351095 .8775091
n~Bllntotlim | -1.552661 .1828108 -8.49 0.000 -1.910963 -1.194358
notimpacte.. | -.032614 .1162611 -0.28 0.779 -.2604816 .1952536
notimpac~B03 | .7392444 .1539487 4.80 0.000 .4375105 1.040978
not~Bperiod4 | .276797 .1151437 2.40 0.016 .0511194 .5024745
not~Bperiod5 | .2025452 .1635763 1.24 0.216 -.1180585 .5231489
impactedN~et | .1760424 .0889913 1.98 0.048 .0016226 .3504622
impactedN~pt | -.4269839 .2455661 -1.74 0.082 -.9082846 .0543169
impactedNO.. | .7653095 .1609672 4.75 0.000 .4498195 1.080799
i~Bllntotlim | -1.730799 .2568545 -6.74 0.000 -2.234225 -1.227374
impactedN~y1 | .1134413 .1793928 0.63 0.527 -.2381621 .4650447
impactedN~03 | .6359842 .2498756 2.55 0.011 .146237 1.125731
impactedNO~4 | -.1672743 .1807224 -0.93 0.355 -.5214837 .1869351
impactedNO~5 | .1720849 .2060627 0.84 0.404 -.2317907 .5759604
------------------------------------------------------------------------------
Underidentification test (Anderson canon. corr. LM statistic): 76.755
Chi-sq(10) P-val = 0.0000
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic): 11.241
Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 20.74
10% maximal IV relative bias 11.49
20% maximal IV relative bias 6.61
30% maximal IV relative bias 4.86
10% maximal IV size 38.54
15% maximal IV size 20.88
20% maximal IV size 14.78
25% maximal IV size 11.65
Source: Stock-Yogo (2005). Reproduced by permission.
------------------------------------------------------------------------------
Sargan statistic (overidentification test of all instruments): 12.918
Chi-sq(9) P-val = 0.1664
------------------------------------------------------------------------------
Instrumented: lntotlimclass_avg
Included instruments: notimpactedNOBlnchget notimpactedNOBlnclaimsuspt
notimpactedNOBllntotprem notimpactedNOBllntotlim
notimpactedNOBuncertainty1 notimpactedNOB03
notimpactedNOBperiod4 notimpactedNOBperiod5
impactedNOBlnchget impactedNOBlnclaimsuspt
impactedNOBllntotprem impactedNOBllntotlim
impactedNOBuncertainty1 impactedNOB03 impactedNOBperiod4
impactedNOBperiod5
Excluded instruments: notimpactedNOBlntotprem impactedNOBlntotprem
lnavg_totalassets lnavg_discontop lnavg_estdoubtrecv
lnavg_investcap lnavg_debttoequity lnavg_pensionexp
lnavg_netprofitmargin lnavg_quick
Duplicates: notimpactedNOBlnclaimsuspt notimpactedNOBllntotprem
impactedNOBlnclaimsuspt impactedNOBllntotprem
notimpactedNOBuncertainty1 notimpactedNOB03
notimpactedNOBperiod4 notimpactedNOBperiod5
impactedNOBuncertainty1 impactedNOB03 impactedNOBperiod4
impactedNOBperiod5
------------------------------------------------------------------------------
.
Thank you all again.
Respectfully,
Camden
On Tue, Jul 13, 2010 at 11:12 AM, Schaffer, Mark E
<[email protected]> wrote:
> Camden,
>
>> -----Original Message-----
>> From: [email protected]
>> [mailto:[email protected]] On Behalf Of
>> Camden Roberts
>> Sent: 13 July 2010 00:49
>> To: [email protected]
>> Subject: st: xtivreg2 weak-instrument-robust inference
>>
>> Hello all,
>>
>> I am attempting to use the xtivreg2 command and have a
>> question about the weak-instrument-robust inference
>> statistics. In particular, when I estimate the model I
>> receive the following missing statistics:
>>
>> 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(0,159)= . P-val= .
>> Anderson-Rubin Wald test Chi-sq(0)=. P-val= .
>> Stock-Wright LM S statistic Chi-sq(0)=186.00 P-val= .
>>
>> With the exception of these missing statistics, the other
>> tests for identification seem to suggest that the model is
>> identified. The output for these tests is below:
>>
>> --------------------------------------------------------------
>> ----------------
>> Partial R-squared of excluded instruments: 0.4127
>> Test of excluded instruments:
>> F( 10, 160) = 11.24
>> Prob > F = 0.0000
>>
>> Summary results for first-stage regressions
>> -------------------------------------------
>>
>> Variable | Shea Partial R2 | Partial R2 | F( 10,
>> 160) P-value
>> lntotlimclas| 0.4127 | 0.4127 | 11.24
>> 0.0000
>>
>> Underidentification tests
>> Ho: matrix of reduced form coefficients has rank=K1-1
>> (underidentified)
>> Ha: matrix has rank=K1 (identified)
>> Anderson canon. corr. N*CCEV LM statistic Chi-sq(10)=76.75
>> P-val=0.0000
>> Cragg-Donald N*CDEV Wald statistic Chi-sq(10)=130.68
>> P-val=0.0000
>>
>> Weak identification test
>> Ho: equation is weakly identified
>> Cragg-Donald Wald F-statistic 11.24
>> See main output for Cragg-Donald weak id test critical values
>>
>> Underidentification test (Anderson canon. corr. LM
>> statistic): 76.755
>> Chi-sq(10)
>> P-val = 0.0000
>>
>> If anyone has an idea of why I may be having this problem, I
>> would greatly appreciate any assistance you could provide.
>
> You haven't given us the regression output, but my guess would be that
> you are using the cluster-robust covariance estimator, and that have as
> many or more excluded instruments than you have clusters (or panel
> units).
>
> The artificial regression used for weak-ID-robust inference involves
> testing all the excluded instruments. If you have more excluded
> instruments than clusters, you will run into problems because the
> cluster-robust vcv won't be full rank. In that case, the maximum number
> of constraints you can test will be the number of clusters (minus 1, I
> think), which isn't enough.
>
> But this is just a guess!
>
> --Mark
>
>> Thank you all,
>>
>>
>> Camden Roberts
>> *
>> * 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/
>>
>
>
> --
> Heriot-Watt University is a Scottish charity
> registered under charity number SC000278.
>
>
> *
> * 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/
>
*
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