Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
| From | Miros Lav <ranjit.rosof.b189@googlemail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | st: ivreg2 weak-id statistic and quadratic terms |
| Date | Mon, 20 Feb 2012 22:24:57 +0100 |
Dear all, I am using ivreg2 to estimate a model where a control variable enters with a quadratic term. A simplified version of the command is as follows ivreg2 y (a=instrument) x x^2, r cluster(id). Estimating this model results in a very large Kleinbergen-Paap weak-id F statistic. However, generating z=x/1000 and z^2=z*z and estimating the model ivreg2 y (a=instrument) z z^2, r cluster(id) results in a very low Kleinbergen-Paap weak-id F statistic. (The z-statistics and significance levels in the first and second stage regressions are the same as in the previous model.) Does anyone have an idea why these two equivalent models result in very different Kleinbergen-Paap weak-id F statistic? Thanks for your help! Miroslav * * 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/