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| From | sdemiralp <sdemiralp@ku.edu.tr> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | st: Re: ivreg2 - weak instruments? |
| Date | Wed, 11 Apr 2012 07:29:44 -0700 (PDT) |
I am experiencing a very similar problem. I use ivreg2 to estimate a FE model
with three endogenous variables. I use clustered errors. While each first
stage regression seems to pass the Angrist-Pischke multivariate F test of
excluded instruments with p=0.0000, when it comes to the overall test of
underidentification (Kleibergen-Paap rk LM statistic), the model fails with
p=0.19. Does that make sense?
Thank you very much,
Selva
Here is my output file.
IXED EFFECTS ESTIMATION
------------------------
Number of groups = 210 Obs per group: min =
2
avg =
4.7
max =
5
First-stage regressions
-----------------------
First-stage regression of managed_ratio_ch:
FIXED EFFECTS ESTIMATION
------------------------
Number of groups = 210 Obs per group: min =
2
avg =
4.7
max =
5
OLS estimation
--------------
Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity and clustering on rssd9348
Number of clusters (rssd9348) = 210 Number of obs =
987
F( 16, 209) =
10.55
Prob > F =
0.0000
Total (centered) SS = .4381141535 Centered R2 =
0.3002
Total (uncentered) SS = .4381141535 Uncentered R2 =
0.3002
Residual SS = .3065949304 Root MSE =
.02007
------------------------------------------------------------------------------
| Robust
managed~o_ch | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
-------------+----------------------------------------------------------------
core_ratio_1 | -.1141758 .0491075 -2.33 0.021 -.2109853
-.0173663
core_ratio~h | .0621601 .0589716 1.05 0.293 -.0540954
.1784155
leverage_1 | -.0014088 .0012026 -1.17 0.243 -.0037796
.000962
ln_asset_1 | -.0819344 .024942 -3.28 0.001 -.1311046
-.0327641
commit_ra~_1 | .0108455 .0871669 0.12 0.901 -.1609935
.1826845
illiquid_r~1 | .0004838 .0003886 1.24 0.215 -.0002824
.00125
house_1 | -.0006154 .0003155 -1.95 0.052 -.0012373
6.52e-06
delin_1 | .0000671 .0006693 0.10 0.920 -.0012523
.0013866
qr6 | -.0098983 .0059937 -1.65 0.100 -.0217141
.0019175
qr7 | -.0099937 .0046444 -2.15 0.033 -.0191495
-.000838
qr8 | -.0073085 .0040408 -1.81 0.072 -.0152745
.0006574
qr9 | -.0076849 .0023547 -3.26 0.001 -.0123268
-.003043
managed_~o_1 | -.61656 .0800671 -7.70 0.000 -.7744026
-.4587175
tarp_ratio_1 | -.1237328 .1287304 -0.96 0.338 -.3775093
.1300437
risky_1 | .0014801 .0008822 1.68 0.095 -.0002591
.0032193
secur_1 | 2.060793 1.502494 1.37 0.172 -.9011926
5.022778
------------------------------------------------------------------------------
Included instruments: core_ratio_1 core_ratio_ch leverage_1 ln_asset_1
commit_ratio_1 illiquid_ratio_1 house_1 delin_1 qr6
qr7
qr8 qr9 managed_ratio_1 tarp_ratio_1 risky_1 secur_1
------------------------------------------------------------------------------
F test of excluded instruments:
F( 4, 209) = 17.45
Prob > F = 0.0000
Angrist-Pischke multivariate F test of excluded instruments:
F( 2, 209) = 34.35
Prob > F = 0.0000
First-stage regression of taf_ratio_ch_av:
FIXED EFFECTS ESTIMATION
------------------------
Number of groups = 210 Obs per group: min =
2
avg =
4.7
max =
5
OLS estimation
--------------
Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity and clustering on rssd9348
Number of clusters (rssd9348) = 210 Number of obs =
987
F( 16, 209) =
3.49
Prob > F =
0.0000
Total (centered) SS = .0823897245 Centered R2 =
0.1853
Total (uncentered) SS = .0823897245 Uncentered R2 =
0.1853
Residual SS = .0671216217 Root MSE =
.009392
------------------------------------------------------------------------------
| Robust
taf_rat~h_av | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
-------------+----------------------------------------------------------------
core_ratio_1 | -.0387296 .0302408 -1.28 0.202 -.0983458
.0208865
core_ratio~h | -.0043928 .0101968 -0.43 0.667 -.0244946
.0157089
leverage_1 | -.000837 .0005165 -1.62 0.107 -.0018553
.0001813
ln_asset_1 | .0013435 .0089253 0.15 0.880 -.0162517
.0189386
commit_ra~_1 | .0947031 .0550451 1.72 0.087 -.0138116
.2032179
illiquid_r~1 | -.0000196 .0002181 -0.09 0.929 -.0004495
.0004104
house_1 | .0001778 .0000938 1.90 0.059 -7.16e-06
.0003627
delin_1 | -.0001103 .0001618 -0.68 0.496 -.0004292
.0002086
qr6 | .0004993 .0024166 0.21 0.837 -.0042648
.0052633
qr7 | .0002592 .001563 0.17 0.868 -.002822
.0033403
qr8 | -.000108 .0011579 -0.09 0.926 -.0023906
.0021746
qr9 | -.0017711 .000892 -1.99 0.048 -.0035295
-.0000127
managed_~o_1 | -.0841551 .0470226 -1.79 0.075 -.1768544
.0085443
tarp_ratio_1 | .0243501 .045094 0.54 0.590 -.0645473
.1132475
risky_1 | -.0000277 .0002501 -0.11 0.912 -.0005208
.0004655
secur_1 | -6.216941 2.092633 -2.97 0.003 -10.34231
-2.091567
------------------------------------------------------------------------------
Included instruments: core_ratio_1 core_ratio_ch leverage_1 ln_asset_1
commit_ratio_1 illiquid_ratio_1 house_1 delin_1 qr6
qr7
qr8 qr9 managed_ratio_1 tarp_ratio_1 risky_1 secur_1
------------------------------------------------------------------------------
F test of excluded instruments:
F( 4, 209) = 3.75
Prob > F = 0.0057
Angrist-Pischke multivariate F test of excluded instruments:
F( 2, 209) = 6.59
Prob > F = 0.0017
First-stage regression of tarp_ratio_ch:
FIXED EFFECTS ESTIMATION
------------------------
Number of groups = 210 Obs per group: min =
2
avg =
4.7
max =
5
OLS estimation
--------------
Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity and clustering on rssd9348
Number of clusters (rssd9348) = 210 Number of obs =
987
F( 16, 209) =
86.95
Prob > F =
0.0000
Total (centered) SS = .0303474345 Centered R2 =
0.6754
Total (uncentered) SS = .0303474345 Uncentered R2 =
0.6754
Residual SS = .009851877 Root MSE =
.003598
------------------------------------------------------------------------------
| Robust
tarp_ratio~h | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
-------------+----------------------------------------------------------------
core_ratio_1 | -.0094204 .0083818 -1.12 0.262 -.0259441
.0071034
core_ratio~h | .0018119 .0045222 0.40 0.689 -.007103
.0107269
leverage_1 | -.0003055 .000225 -1.36 0.176 -.0007491
.000138
ln_asset_1 | -.0170686 .0037394 -4.56 0.000 -.0244405
-.0096968
commit_ra~_1 | -.0041764 .0153924 -0.27 0.786 -.0345207
.0261679
illiquid_r~1 | -.0000448 .0000612 -0.73 0.465 -.0001654
.0000758
house_1 | -.0001395 .0000633 -2.20 0.029 -.0002642
-.0000147
delin_1 | .0000859 .0001097 0.78 0.434 -.0001304
.0003022
qr6 | .0012991 .0010841 1.20 0.232 -.0008381
.0034363
qr7 | -.0003277 .000765 -0.43 0.669 -.0018358
.0011804
qr8 | -.0002455 .0005772 -0.43 0.671 -.0013834
.0008923
qr9 | -.0001685 .0003369 -0.50 0.617 -.0008328
.0004957
managed_~o_1 | .0096373 .0071035 1.36 0.176 -.0043663
.0236409
tarp_ratio_1 | -.8548846 .038516 -22.20 0.000 -.9308142
-.778955
risky_1 | .0003544 .0001179 3.01 0.003 .000122
.0005869
secur_1 | .4395913 .2525309 1.74 0.083 -.0582429
.9374254
------------------------------------------------------------------------------
Included instruments: core_ratio_1 core_ratio_ch leverage_1 ln_asset_1
commit_ratio_1 illiquid_ratio_1 house_1 delin_1 qr6
qr7
qr8 qr9 managed_ratio_1 tarp_ratio_1 risky_1 secur_1
------------------------------------------------------------------------------
F test of excluded instruments:
F( 4, 209) = 123.81
Prob > F = 0.0000
Angrist-Pischke multivariate F test of excluded instruments:
F( 2, 209) = 247.39
Prob > F = 0.0000
Summary results for first-stage regressions
-------------------------------------------
(Underid) (Weak id)
Variable | F( 4, 209) P-val | AP Chi-sq( 2) P-val | AP F( 2,
209)
managed_rati | 17.45 0.0000 | 70.09 0.0000 | 34.35
taf_ratio_ch | 3.75 0.0057 | 13.46 0.0012 | 6.59
tarp_ratio_c | 123.81 0.0000 | 504.83 0.0000 | 247.39
NB: first-stage test statistics cluster-robust
Stock-Yogo weak ID test critical values for single endogenous regressor:
10% maximal LIML size 8.68
15% maximal LIML size 5.33
20% maximal LIML size 4.42
25% maximal LIML size 3.92
Source: Stock-Yogo (2005). Reproduced by permission.
NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors.
Underidentification test
Ho: matrix of reduced form coefficients has rank=K1-1 (underidentified)
Ha: matrix has rank=K1 (identified)
Kleibergen-Paap rk LM statistic Chi-sq(2)=3.26 P-val=0.1964
Weak identification test
Ho: equation is weakly identified
Cragg-Donald Wald F statistic 24.31
Kleibergen-Paap Wald rk F statistic 3.08
Stock-Yogo weak ID test critical values for K1=3 and L1=4:
<not
available>
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(4,209)= 15.58 P-val=0.0000
Anderson-Rubin Wald test Chi-sq(4)= 63.57 P-val=0.0000
Stock-Wright LM S statistic Chi-sq(4)= 7.73 P-val=0.1021
NB: Underidentification, weak identification and weak-identification-robust
test statistics cluster-robust
Number of clusters N_clust = 210
Number of observations N = 987
Number of regressors K = 15
Number of endogenous regressors K1 = 3
Number of instruments L = 16
Number of excluded instruments L1 = 4
CUE estimation
--------------
Estimates efficient for arbitrary heteroskedasticity and clustering on
rssd9348
Statistics robust to heteroskedasticity and clustering on rssd9348
Number of clusters (rssd9348) = 210 Number of obs =
987
F( 15, 209) =
8.49
Prob > F =
0.0000
Total (centered) SS = .7346479492 Centered R2 =
0.0823
Total (uncentered) SS = .7346479492 Uncentered R2 =
0.0823
Residual SS = .6741731309 Root MSE =
.02946
------------------------------------------------------------------------------
| Robust
loan_ratio~h | Coef. Std. Err. z P>|z| [95% Conf.
Interval]
-------------+----------------------------------------------------------------
managed~o_ch | -.1320594 .1425158 -0.93 0.354 -.4113853
.1472664
taf_rat~h_av | 1.667921 .5665844 2.94 0.003 .5574363
2.778406
tarp_ratio~h | .5547087 .2799986 1.98 0.048 .0059214
1.103496
core_ratio_1 | .1950304 .0801773 2.43 0.015 .0378859
.352175
core_ratio~h | .3758764 .1066273 3.53 0.000 .1668907
.5848621
leverage_1 | .0066694 .0017859 3.73 0.000 .0031692
.0101696
ln_asset_1 | -.0893153 .036743 -2.43 0.015 -.1613302
-.0173004
commit_ra~_1 | .0226384 .1109812 0.20 0.838 -.1948808
.2401575
illiquid_r~1 | -.0034237 .000788 -4.35 0.000 -.0049681
-.0018793
house_1 | -.0001013 .000468 -0.22 0.829 -.0010187
.000816
delin_1 | -.0026814 .0006613 -4.05 0.000 -.0039777
-.0013852
qr6 | .0181987 .0087961 2.07 0.039 .0009588
.0354387
qr7 | .021555 .0065191 3.31 0.001 .0087779
.0343321
qr8 | .010135 .0047161 2.15 0.032 .0008917
.0193783
qr9 | .0048483 .0031053 1.56 0.118 -.0012379
.0109345
------------------------------------------------------------------------------
Underidentification test (Kleibergen-Paap rk LM statistic):
3.255
Chi-sq(2) P-val =
0.1964
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic):
24.310
(Kleibergen-Paap rk Wald F statistic):
3.078
Stock-Yogo weak ID test critical values: <not
available>
------------------------------------------------------------------------------
Hansen J statistic (overidentification test of all instruments):
0.971
Chi-sq(1) P-val =
0.3244
-endog- option:
Endogeneity test of endogenous regressors:
3.742
Chi-sq(1) P-val =
0.0531
Regressors tested: taf_ratio_ch_av
------------------------------------------------------------------------------
Instrumented: managed_ratio_ch taf_ratio_ch_av tarp_ratio_ch
Included instruments: core_ratio_1 core_ratio_ch leverage_1 ln_asset_1
commit_ratio_1 illiquid_ratio_1 house_1 delin_1 qr6
qr7
qr8 qr9
Excluded instruments: managed_ratio_1 tarp_ratio_1 risky_1 secur_1
Dropped collinear: qr1 qr2 qr3 qr4 qr5 qr10 qr11 qr12 qr13 qr14 qr15 qr16
qr17
------------------------------------------------------------------------------
--
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