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RE: st: RE: ivprobit is adding extra instruments
From
"Wooldridge, Jeffrey" <[email protected]>
To
<[email protected]>
Subject
RE: st: RE: ivprobit is adding extra instruments
Date
Wed, 9 Mar 2011 10:39:04 -0500
This test always has one df, as it is simply a test of whether the errors in the structural and reduced form equation are correlated.
Jeff
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Sarah Alkenbrack
Sent: Wednesday, March 09, 2011 10:34 AM
To: [email protected]
Subject: Re: st: RE: ivprobit is adding extra instruments
Thank you Mark. Is it a problem that my wald test is showing only 1
df? i.e. Wald test of exogeneity (/athrho = 0): chi2(1) = 73.44
Prob > chi2 = 0.0000
Sarah
On Wed, Mar 9, 2011 at 10:28 AM, Schaffer, Mark E <[email protected]> wrote:
> Sarah,
>
> It's not a "problem" at all. In econometrics, the term "instrument" is often used to designate an exogenous variable, whether it is included as a regressor or not.
>
> --Mark
>
>> -----Original Message-----
>> From: [email protected]
>> [mailto:[email protected]] On Behalf Of
>> Sarah Alkenbrack
>> Sent: Wednesday, March 09, 2011 3:21 PM
>> To: [email protected]
>> Subject: st: ivprobit is adding extra instruments
>>
>> Hi Stata users,
>>
>> I am running -ivprobit- to look at the determinants of enrolment in
>> health insurance (cbhi). I have several exogenous regressors and one
>> endogenous regressor (consumption).
>> I am using wealthindex as an intrumental variable for consumption.
>> However, when I run the ivprobit model all my exogenous regressors
>> appear in the "instruments" list. Could someone please
>> tell me how to prevent this from happening? I am copying the stata
>> code and results below. I noticed in the archives that others have had
>> this problem but so far, I have not seen any answers
>> posted on what might be causing this problem or how to correct it.
>>
>> Thank you in advance for your help.
>>
>> Sarah
>>
>> . # delimit;
>> delimiter now ;
>> . ivprobit cbhi age_hhead age2 edu_hh2 edu_hh3 edu_hh4 edu_hh5 mar_hh
>> hhmem_cat2 hhmem_cat3
>> > hhhealth_poor hh_chronic hh_diffic risk pregnancy wra
>> any_oldmem j_hh2 j_hh3 j_hh4
>> > hlthseek_mod campaign qual_percep urban door_to_door chief_mem
>> > pharm_in_vil drugsel_in_vil hlthcent_in_vil privclin_in_vil
>> young edu_chief num_camp_vill home_collection
>> > qual2 qual3 size_ln name_hosp1 name_hosp3 name_hosp4
>> name_hosp5 name_hosp6 (cons_pcm=wealthindex) ;
>>
>> Fitting exogenous probit model
>>
>> Iteration 0: log likelihood = -1909.5425
>> Iteration 1: log likelihood = -1687.946
>> Iteration 2: log likelihood = -1681.6413
>> Iteration 3: log likelihood = -1681.6142
>> Iteration 4: log likelihood = -1681.6142
>>
>> Fitting full model
>>
>> Iteration 0: log likelihood = -42769.776
>> Iteration 1: log likelihood = -42766.676
>> Iteration 2: log likelihood = -42736.028
>> Iteration 3: log likelihood = -42734.629
>> Iteration 4: log likelihood = -42734.269
>> Iteration 5: log likelihood = -42734.266
>> Iteration 6: log likelihood = -42734.266
>>
>> Probit model with endogenous regressors Number of
>> obs = 3000
>>
>> Wald chi2(42) = 1113.82
>> Log likelihood = -42734.266 Prob > chi2
>> = 0.0000
>>
>> --------------------------------------------------------------
>> ----------------
>> | Coef. Std. Err. z P>|z|
>> [95% Conf. Interval]
>> -------------+------------------------------------------------
>> ----------------
>> cons_pcm | 3.59e-06 2.15e-07 16.68 0.000
>> 3.17e-06 4.01e-06
>> age_hhead | .0320042 .0129973 2.46 0.014
>> .00653 .0574784
>> age2 | -.0001774 .0001228 -1.45 0.148
>> -.0004181 .0000632
>> edu_hh2 | .051426 .0879334 0.58 0.559
>> -.1209203 .2237723
>> edu_hh3 | -.0075595 .1023748 -0.07 0.941
>> -.2082106 .1930915
>> edu_hh4 | -.000683 .1285689 -0.01 0.996
>> -.2526735 .2513075
>> edu_hh5 | -.2986249 .1713749 -1.74 0.081
>> -.6345136 .0372638
>> mar_hh | -.0539035 .067056 -0.80 0.421
>> -.1853308 .0775237
>> hhmem_cat2 | .4222092 .0675468 6.25 0.000
>> .2898198 .5545985
>> hhmem_cat3 | .7099401 .0822271 8.63 0.000
>> .5487778 .8711023
>> hhhealth_p~r | .1550617 .0699122 2.22 0.027
>> .0180362 .2920872
>> hh_chronic | .159681 .0718297 2.22 0.026
>> .0188973 .3004647
>> hh_diffic | .2613713 .0741209 3.53 0.000
>> .116097 .4066456
>> risk | -.0482252 .0467953 -1.03 0.303
>> -.1399423 .0434919
>> pregnancy | .1200344 .1214774 0.99 0.323
>> -.1180569 .3581257
>> wra | .1033809 .0289192 3.57 0.000
>> .0467004 .1600614
>> any_oldmem | .0792428 .0680778 1.16 0.244
>> -.0541872 .2126729
>> j_hh2 | .0512404 .0815692 0.63 0.530
>> -.1086323 .211113
>> j_hh3 | -.349126 .0806268 -4.33 0.000
>> -.5071516 -.1911004
>> j_hh4 | .1928496 .0843208 2.29 0.022
>> .0275838 .3581154
>> hlthseek_mod | -.0359996 .0969011 -0.37 0.710
>> -.2259223 .153923
>> campaign | .5068671 .0781293 6.49 0.000
>> .3537365 .6599977
>> qual_percep | .1840314 .0514758 3.58 0.000
>> .0831408 .2849221
>> urban | -.0999875 .0590944 -1.69 0.091
>> -.2158103 .0158353
>> door_to_door | .0564977 .0719369 0.79 0.432
>> -.084496 .1974914
>> chief_mem | .0811248 .0599964 1.35 0.176
>> -.036466 .1987156
>> pharm_in_vil | .0269211 .0582651 0.46 0.644
>> -.0872763 .1411185
>> drugsel_in~l | .0693485 .0586169 1.18 0.237
>> -.0455385 .1842355
>> hlthcent_i~l | .0089279 .0823509 0.11 0.914
>> -.1524769 .1703327
>> privclin_i~l | -.0547559 .0857815 -0.64 0.523
>> -.2228846 .1133728
>> young | .0899074 .0715818 1.26 0.209
>> -.0503903 .2302051
>> edu_chief | -.0888131 .0528856 -1.68 0.093
>> -.1924671 .0148408
>> num_camp_v~l | .0655667 .0548026 1.20 0.232
>> -.0418444 .1729779
>> home_colle~n | .1944581 .0606159 3.21 0.001
>> .0756531 .3132631
>> qual2 | -.1778623 .0896638 -1.98 0.047
>> -.3536001 -.0021245
>> qual3 | -.2049839 .1081036 -1.90 0.058
>> -.416863 .0068952
>> size_ln | -.0059746 .042326 -0.14 0.888
>> -.0889321 .0769829
>> name_hosp1 | .1476783 .1168295 1.26 0.206
>> -.0813032 .3766598
>> name_hosp3 | .536909 .1350044 3.98 0.000
>> .2723053 .8015128
>> name_hosp4 | .4347936 .1069197 4.07 0.000
>> .2252348 .6443523
>> name_hosp5 | .228802 .1274495 1.80 0.073
>> -.0209945 .4785985
>> name_hosp6 | .9189969 .1301651 7.06 0.000
>> .6638779 1.174116
>> _cons | -4.82205 .4438201 -10.86 0.000
>> -5.691922 -3.952179
>> -------------+------------------------------------------------
>> ----------------
>> /athrho | -.8556093 .0998439 -8.57 0.000
>> -1.0513 -.6599188
>> /lnsigma | 12.27712 .01291 950.98 0.000
>> 12.25181 12.30242
>> -------------+------------------------------------------------
>> ----------------
>> rho | -.6939885 .0517571
>> -.7823111 -.5783094
>> sigma | 214725.5 2772.097
>> 209360.5 220228.1
>> --------------------------------------------------------------
>> ----------------
>> Instrumented: cons_pcm
>> Instruments: age_hhead age2 edu_hh2 edu_hh3 edu_hh4 edu_hh5 mar_hh
>> hhmem_cat2 hhmem_cat3 hhhealth_poor hh_chronic
>> hh_diffic risk
>> pregnancy wra any_oldmem j_hh2 j_hh3 j_hh4 hlthseek_mod
>> campaign qual_percep urban door_to_door chief_mem
>> pharm_in_vil drugsel_in_vil hlthcent_in_vil
>> privclin_in_vil
>> young edu_chief num_camp_vill home_collection
>> qual2 qual3
>> size_ln name_hosp1 name_hosp3 name_hosp4 name_hosp5
>> name_hosp6 wealthindex
>> --------------------------------------------------------------
>> ----------------
>> Wald test of exogeneity (/athrho = 0): chi2(1) = 73.44
>> Prob > chi2 = 0.0000
>>
>> *
>> * 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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* http://www.stata.com/support/statalist/faq
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*
* For searches and help try:
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* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/