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st: Blown up IV coefficient
From
Shikha Sinha <[email protected]>
To
[email protected]
Subject
st: Blown up IV coefficient
Date
Wed, 9 Mar 2011 12:16:45 -0500
Dear all,
I am estimating an instrumental variable model by using -ivreg2 in
Stata. The IV estimates are way more than OLS estimate (4.006567).
Could you advise what could be possible reasons for such a blown up IV
coeff (49.97424 )? or my interpretation of coeff is incorrect.
areg agr_share roaddum ims_hab_pop, robust absorb(dcode)
Linear regression, absorbing indicators Number of obs = 266
F( 2, 250) = 0.66
Prob > F = 0.5182
R-squared = 0.0680
Adj R-squared = 0.0121
Root MSE = 26.294
------------------------------------------------------------------------------
| Robust
agr_share | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
roaddum | 4.006567 3.572553 1.12 0.263 -3.02957 11.0427
ims_hab_pop | .001926 .0344155 0.06 0.955 -.0658552 .0697071
_cons | 34.78717 36.38659 0.96 0.340 -36.87615 106.4505
-------------+----------------------------------------------------------------
dcode | absorbed (14 categories)
. xi: ivreg2 agr_share ims_hab_pop i.dcode (roaddum=rank), robust
i.dcode _Idcode_1-14 (_Idcode_1 for dcode==UP09 omitted)
IV (2SLS) estimation
--------------------
Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity
Number of obs = 266
F( 15, 250) = 0.88
Prob > F = 0.5891
Total (centered) SS = 185457.6241 Centered R2 = -0.5185
Total (uncentered) SS = 590824 Uncentered R2 = 0.5233
Residual SS = 281625.775 Root MSE = 32.54
------------------------------------------------------------------------------
| Robust
agr_share | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
roaddum | 49.97424 35.09856 1.42 0.154 -18.81768 118.7662
ims_hab_pop | -.0354515 .0511597 -0.69 0.488 -.1357226 .0648196
_Idcode_2 | -39.0505 25.58464 -1.53 0.127 -89.19546 11.09446
_Idcode_3 | -41.62481 26.03165 -1.60 0.110 -92.64591 9.396298
_Idcode_4 | -16.54727 20.19038 -0.82 0.412 -56.11968 23.02513
_Idcode_5 | -41.45807 29.51111 -1.40 0.160 -99.29878 16.38264
_Idcode_6 | -32.93124 16.32568 -2.02 0.044 -64.929 -.9334909
_Idcode_7 | -8.880318 13.20529 -0.67 0.501 -34.76221 17.00157
_Idcode_8 | -44.38007 24.23395 -1.83 0.067 -91.87774 3.117595
_Idcode_9 | -44.81575 24.87717 -1.80 0.072 -93.57409 3.942605
_Idcode_10 | -21.14303 12.84912 -1.65 0.100 -46.32684 4.040777
_Idcode_11 | -22.56438 9.922245 -2.27 0.023 -42.01162 -3.117138
_Idcode_12 | -12.55903 12.52187 -1.00 0.316 -37.10144 11.98338
_Idcode_13 | -14.25003 9.233117 -1.54 0.123 -32.34661 3.846547
_Idcode_14 | -26.27491 11.42556 -2.30 0.021 -48.66859 -3.881229
_cons | 74.88709 53.28162 1.41 0.160 -29.54296 179.3171
------------------------------------------------------------------------------
Underidentification test (Kleibergen-Paap rk LM statistic): 1.825
Chi-sq(1) P-val = 0.1767
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic): 2.977
(Kleibergen-Paap rk Wald F statistic): 2.488
Stock-Yogo weak ID test critical values: 10% maximal IV size 16.38
15% maximal IV size 8.96
20% maximal IV size 6.66
25% maximal IV size 5.53
Source: Stock-Yogo (2005). Reproduced by permission.
NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors.
------------------------------------------------------------------------------
Hansen J statistic (overidentification test of all instruments): 0.000
(equation exactly identified)
------------------------------------------------------------------------------
Instrumented: roaddum
Included instruments: ims_hab_pop _Idcode_2 _Idcode_3 _Idcode_4 _Idcode_5
_Idcode_6 _Idcode_7 _Idcode_8 _Idcode_9 _Idcode_10
_Idcode_11 _Idcode_12 _Idcode_13 _Idcode_14
Excluded instruments: rank
------------------------------------------------------------------------------
Thanks,
Shikha
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