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st: Xtivreg: Cragg-Donald and Angrist-Pischke multivariate F test
From
vikramfinavker <[email protected]>
To
[email protected]
Subject
st: Xtivreg: Cragg-Donald and Angrist-Pischke multivariate F test
Date
Mon, 18 Apr 2011 12:53:44 -0700 (PDT)
Hi,
I apologies for asking so many questions. I read the help files but i am
still confused.
could someone please advise me on following questions?
1. My cragg-donal f test is low == so does it mean my instruments are
weak???
2. in first stage regressions the Angrist-Pischke stat is higher than 10 for
both of my endogenous variables ==what does this mean? (The Angrist-Pischke
(AP) first-stage chi-squared and F statistics are tests of
underidentification and weak identification, respectively, of individual
endogenous regressors. They are constructed by
"partialling-out" linear projections of the remaining endogenous regressors.
The AP chi-squared Wald statistic is distributed as chi2(L1-K1+1)) under the
null that the particular endogenous regressor
in question is unidentified. In the special case of a single endogenous
regressor, the AP statistic reported is identical to underidentification
statistics reported in the ffirst output, namely the
Cragg-Donald Wald statistic (if i.i.d.) or the Kleibergen-Paap rk Wald
statistic (if robust, cluster-robust, AC or HAC statistics have been
requested); see above. Note the difference in the null
hypotheses if there are two or more endogenous regressors: the AP test will
fail to reject if a particular endogenous regressor is unidentified, whereas
the Anderson/Cragg-Donald/Kleibergen-Paap tests
of underidentification will fail to reject if any of the endogenous
regressors is unidentified.
)
3. My Underidentification test (Anderson canon. corr. LM statistic) has p
value <0.0000 so my model is identified, right?
following is the regression output;
xtivreg2 vw1edf1dec vw1excessftseallsh vw1pretaxmargin vw1eqvol
vw1lntotassets vw1cashholdmve ( vw1totadertotototass vw1mvgroslev = vw1rd
> s fxsales2 irheg09 vw1lntotsal vw1ndts4mv) d2-d11 yr_99 - yr_09, fe
> endog(vw1totadertotototass vw1mvgroslev) first
Warning - singleton groups detected. 40 observation(s) not used.
FIXED EFFECTS ESTIMATION
------------------------
Number of groups = 168 Obs per group: min =
2
avg =
4.8
max =
10
First-stage regressions
-----------------------
First-stage regression of vw1totadertotototass:
FIXED EFFECTS ESTIMATION
------------------------
Number of groups = 168 Obs per group: min =
2
avg =
4.8
max =
10
OLS estimation
--------------
Estimates efficient for homoskedasticity only
Statistics consistent for homoskedasticity only
Number of obs =
804
F( 31, 605) =
2.51
Prob > F =
0.0000
Total (centered) SS = 62.546986 Centered R2 =
0.1140
Total (uncentered) SS = 62.546986 Uncentered R2 =
0.1140
Residual SS = 55.41514715 Root MSE =
.3026
------------------------------------------------------------------------------
vw1totader~s | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
-------------+----------------------------------------------------------------
vw1excessf~h | .0384102 .036696 1.05 0.296 -.0336569
.1104772
vw1pretaxm~n | .0004605 .000724 0.64 0.525 -.0009613
.0018823
vw1eqvol | .1327014 .1017105 1.30 0.192 -.0670472
.33245
vw1lntotas~s | .0347029 .0547706 0.63 0.527 -.0728606
.1422665
vw1cashh~mve | .0505698 .1063086 0.48 0.634 -.1582089
.2593485
d2 | .1919997 .2871285 0.67 0.504 -.3718899
.7558892
d3 | .050883 .1669135 0.30 0.761 -.2769172
.3786833
d4 | .0059934 .1663872 0.04 0.971 -.3207732
.3327601
d5 | .1648939 .1575696 1.05 0.296 -.1445559
.4743438
d6 | .0232018 .1802202 0.13 0.898 -.3307313
.3771349
d7 | .0507423 .1511599 0.34 0.737 -.2461194
.3476041
d8 | .1010815 .1640024 0.62 0.538 -.2210017
.4231647
d9 | -.0412872 .2107097 -0.20 0.845 -.4550984
.372524
d10 | -.1081474 .339063 -0.32 0.750 -.7740308
.5577361
d11 | .0721896 .1639032 0.44 0.660 -.2496988
.394078
yr_99 | -.0951907 .1235803 -0.77 0.441 -.3378892
.1475078
yr_00 | .0104751 .1351841 0.08 0.938 -.2550119
.2759621
yr_01 | .3617244 .1591978 2.27 0.023 .049077
.6743719
yr_02 | -.0543225 .1411907 -0.38 0.701 -.3316059
.2229609
yr_03 | .052008 .1420102 0.37 0.714 -.2268849
.3309009
yr_04 | .1177188 .1547854 0.76 0.447 -.1862631
.4217007
yr_05 | .1370147 .1467961 0.93 0.351 -.1512772
.4253065
yr_06 | -.133557 .1501707 -0.89 0.374 -.4284761
.1613621
yr_07 | -.2991139 .1295071 -2.31 0.021 -.553452
-.0447758
yr_08 | -.0114607 .16627 -0.07 0.945 -.3379972
.3150758
yr_09 | .0471283 .1542313 0.31 0.760 -.2557654
.350022
vw1rds | .0568986 .4764428 0.12 0.905 -.878784
.9925813
fxsales2 | -.001177 .0013182 -0.89 0.372 -.0037658
.0014117
irheg09 | .2763797 .0433383 6.38 0.000 .1912679
.3614915
vw1lntotsal | -.0313166 .0432096 -0.72 0.469 -.1161756
.0535424
vw1ndts4mv | -.1224033 .3349813 -0.37 0.715 -.7802706
.535464
------------------------------------------------------------------------------
Included instruments: vw1excessftseallsh vw1pretaxmargin vw1eqvol
vw1lntotassets
vw1cashholdmve d2 d3 d4 d5 d6 d7 d8 d9 d10 d11 yr_99
yr_00
yr_01 yr_02 yr_03 yr_04 yr_05 yr_06 yr_07 yr_08 yr_09
vw1rds fxsales2 irheg09 vw1lntotsal vw1ndts4mv
------------------------------------------------------------------------------
F test of excluded instruments:
F( 5, 605) = 8.79
Prob > F = 0.0000
Angrist-Pischke multivariate F test of excluded instruments:
F( 4, 605) = 10.47
Prob > F = 0.0000
First-stage regression of vw1mvgroslev:
FIXED EFFECTS ESTIMATION
------------------------
Number of groups = 168 Obs per group: min =
2
avg =
4.8
max =
10
OLS estimation
--------------
Estimates efficient for homoskedasticity only
Statistics consistent for homoskedasticity only
Number of obs =
804
F( 31, 605) =
37.20
Prob > F =
0.0000
Total (centered) SS = 8.489144095 Centered R2 =
0.6559
Total (uncentered) SS = 8.489144095 Uncentered R2 =
0.6559
Residual SS = 2.921290552 Root MSE =
.06949
------------------------------------------------------------------------------
vw1mvgroslev | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
-------------+----------------------------------------------------------------
vw1excessf~h | -.0326741 .0084254 -3.88 0.000 -.0492207
-.0161274
vw1pretaxm~n | -.0004029 .0001662 -2.42 0.016 -.0007294
-.0000765
vw1eqvol | .1847591 .0233528 7.91 0.000 .1388967
.2306215
vw1lntotas~s | .0731947 .0125754 5.82 0.000 .048498
.0978913
vw1cashh~mve | .1376241 .0244085 5.64 0.000 .0896884
.1855598
d2 | -.0001399 .0659249 -0.00 0.998 -.1296094
.1293295
d3 | .0014031 .0383235 0.04 0.971 -.07386
.0766663
d4 | -.0123032 .0382026 -0.32 0.748 -.087329
.0627226
d5 | .0090432 .0361781 0.25 0.803 -.0620067
.080093
d6 | -.0375485 .0413787 -0.91 0.365 -.1188118
.0437148
d7 | -.0561937 .0347064 -1.62 0.106 -.1243534
.0119659
d8 | -.0721108 .0376551 -1.92 0.056 -.1460613
.0018397
d9 | -.0911533 .0483791 -1.88 0.060 -.1861646
.0038581
d10 | .0374496 .0778491 0.48 0.631 -.1154377
.1903369
d11 | .0159557 .0376323 0.42 0.672 -.0579501
.0898615
yr_99 | -.0140984 .0283741 -0.50 0.619 -.0698221
.0416254
yr_00 | -.0317021 .0310383 -1.02 0.307 -.0926581
.0292539
yr_01 | -.0239389 .0365519 -0.65 0.513 -.095723
.0478452
yr_02 | .0764995 .0324175 2.36 0.019 .012835
.1401639
yr_03 | .0017854 .0326056 0.05 0.956 -.0622486
.0658194
yr_04 | .035376 .0355388 1.00 0.320 -.0344184
.1051704
yr_05 | -.0065693 .0337045 -0.19 0.846 -.0727613
.0596227
yr_06 | -.0300386 .0344793 -0.87 0.384 -.0977522
.0376751
yr_07 | .0162423 .0297349 0.55 0.585 -.0421539
.0746385
yr_08 | .0052692 .0381757 0.14 0.890 -.0697038
.0802422
yr_09 | -.0345044 .0354116 -0.97 0.330 -.104049
.0350402
vw1rds | -.1743845 .1093916 -1.59 0.111 -.3892179
.0404488
fxsales2 | -.0001981 .0003027 -0.65 0.513 -.0007924
.0003963
irheg09 | .0334521 .0099505 3.36 0.001 .0139104
.0529939
vw1lntotsal | -.0137215 .009921 -1.38 0.167 -.0332052
.0057622
vw1ndts4mv | .8395952 .0769119 10.92 0.000 .6885485
.990642
------------------------------------------------------------------------------
Included instruments: vw1excessftseallsh vw1pretaxmargin vw1eqvol
vw1lntotassets
vw1cashholdmve d2 d3 d4 d5 d6 d7 d8 d9 d10 d11 yr_99
yr_00
yr_01 yr_02 yr_03 yr_04 yr_05 yr_06 yr_07 yr_08 yr_09
vw1rds fxsales2 irheg09 vw1lntotsal vw1ndts4mv
------------------------------------------------------------------------------
F test of excluded instruments:
F( 5, 605) = 26.39
Prob > F = 0.0000
Angrist-Pischke multivariate F test of excluded instruments:
F( 4, 605) = 31.41
Prob > F = 0.0000
Summary results for first-stage regressions
-------------------------------------------
(Underid) (Weak id)
Variable | F( 5, 605) P-val | AP Chi-sq( 4) P-val | AP F( 4,
605)
vw1totaderto | 8.79 0.0000 | 44.01 0.0000 | 10.47
vw1mvgroslev | 26.39 0.0000 | 132.08 0.0000 | 31.41
Stock-Yogo weak ID test critical values for single endogenous regressor:
5% maximal IV relative bias 18.37
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)=39.89 P-val=0.0000
Weak identification test
Ho: equation is weakly identified
Cragg-Donald Wald F statistic 8.10
Stock-Yogo weak ID test critical values for K1=2 and L1=5:
5% maximal IV relative bias 13.97
10% maximal IV relative bias 8.78
20% maximal IV relative bias 5.91
30% maximal IV relative bias 4.79
10% maximal IV size 19.45
15% maximal IV size 11.22
20% maximal IV size 8.38
25% maximal IV size 6.89
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(5,605)= 12.01 P-val=0.0000
Anderson-Rubin Wald test Chi-sq(5)= 63.12 P-val=0.0000
Stock-Wright LM S statistic Chi-sq(5)= 57.42 P-val=0.0000
Number of observations N = 804
Number of regressors K = 28
Number of endogenous regressors K1 = 2
Number of instruments L = 31
Number of excluded instruments L1 = 5
IV (2SLS) estimation
--------------------
Estimates efficient for homoskedasticity only
Statistics consistent for homoskedasticity only
Number of obs =
804
F( 28, 608) =
14.74
Prob > F =
0.0000
Total (centered) SS = 3219.94508 Centered R2 =
0.2599
Total (uncentered) SS = 3219.94508 Uncentered R2 =
0.2599
Residual SS = 2383.133334 Root MSE =
1.936
------------------------------------------------------------------------------
vw1edf1dec | Coef. Std. Err. z P>|z| [95% Conf.
Interval]
-------------+----------------------------------------------------------------
vw1totader~s | -3.034654 .9885563 -3.07 0.002 -4.972189
-1.097119
vw1mvgroslev | 14.48846 2.485216 5.83 0.000 9.617527
19.35939
vw1excessf~h | -.7801844 .2733838 -2.85 0.004 -1.316007
-.244362
vw1pretaxm~n | .0102553 .0038112 2.69 0.007 .0027855
.017725
vw1eqvol | -.8942745 .9533853 -0.94 0.348 -2.762875
.9743263
vw1lntotas~s | -1.541133 .2996431 -5.14 0.000 -2.128422
-.9538429
vw1cashh~mve | 3.05282 .8282883 3.69 0.000 1.429405
4.676235
d2 | 3.484726 1.833916 1.90 0.057 -.109683
7.079136
d3 | .8835653 1.064034 0.83 0.406 -1.201902
2.969033
d4 | .7729139 1.064498 0.73 0.468 -1.313463
2.859291
d5 | .6254325 1.026037 0.61 0.542 -1.385562
2.636427
d6 | .3913967 1.147668 0.34 0.733 -1.857992
2.640786
d7 | 1.306506 .9816525 1.33 0.183 -.6174975
3.23051
d8 | 1.135615 1.078756 1.05 0.292 -.9787081
3.249938
d9 | 1.881111 1.365601 1.38 0.168 -.795417
4.557639
d10 | -.5767593 2.088488 -0.28 0.782 -4.670121
3.516602
d11 | .7251487 1.048418 0.69 0.489 -1.329713
2.78001
yr_99 | -.1658262 .7943723 -0.21 0.835 -1.722767
1.391115
yr_00 | .3909581 .8647931 0.45 0.651 -1.304005
2.085922
yr_01 | 2.065182 1.086524 1.90 0.057 -.0643666
4.19473
yr_02 | -.9824023 .9153829 -1.07 0.283 -2.77652
.8117152
yr_03 | -.1611752 .9105961 -0.18 0.860 -1.945911
1.62356
yr_04 | 1.086254 .9950872 1.09 0.275 -.8640816
3.036589
yr_05 | .6030185 .9416998 0.64 0.522 -1.242679
2.448716
yr_06 | -1.317055 .9650863 -1.36 0.172 -3.20859
.5744793
yr_07 | -.7846946 .8991489 -0.87 0.383 -2.546994
.9776049
yr_08 | -1.013266 1.01814 -1.00 0.320 -3.008783
.9822514
yr_09 | .9545142 .9933404 0.96 0.337 -.9923972
2.901426
------------------------------------------------------------------------------
Underidentification test (Anderson canon. corr. LM statistic):
39.891
Chi-sq(4) P-val =
0.0000
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic):
8.097
Stock-Yogo weak ID test critical values: 5% maximal IV relative bias
13.97
10% maximal IV relative bias
8.78
20% maximal IV relative bias
5.91
30% maximal IV relative bias
4.79
10% maximal IV size
19.45
15% maximal IV size
11.22
20% maximal IV size
8.38
25% maximal IV size
6.89
Source: Stock-Yogo (2005). Reproduced by permission.
------------------------------------------------------------------------------
Sargan statistic (overidentification test of all instruments):
4.604
Chi-sq(3) P-val =
0.2032
-endog- option:
Endogeneity test of endogenous regressors:
29.006
Chi-sq(2) P-val =
0.0000
Regressors tested: vw1totadertotototass vw1mvgroslev
------------------------------------------------------------------------------
Instrumented: vw1totadertotototass vw1mvgroslev
Included instruments: vw1excessftseallsh vw1pretaxmargin vw1eqvol
vw1lntotassets
vw1cashholdmve d2 d3 d4 d5 d6 d7 d8 d9 d10 d11 yr_99
yr_00
yr_01 yr_02 yr_03 yr_04 yr_05 yr_06 yr_07 yr_08 yr_09
Excluded instruments: vw1rds fxsales2 irheg09 vw1lntotsal vw1ndts4mv
I really appreciate your help.
Thanks a lot.
--
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