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st: relevance of instruments
From
donsaane dontsi <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: relevance of instruments
Date
Tue, 1 May 2012 22:27:40 +0100 (BST)
Hi,
I run an ivreg2 regression , and I want to know if my instruments are strong. Here is the ouptut below: My question is: Is my instruments are strong because F=16.46 >10? Or there are not because Partial R2 are small?
thanks
. ivreg2 emploi c30a d30a d30b e30 g30a j30a j30c j30e l30a l30b a2 a4a a6a a7 b2a b2b b2c b5 (k30= fin1k21 fink21), ffirst robust
First-stage regressions
-----------------------
Summary results for first-stage regressions:
Shea
Variable Partial R2 Partial R2 F( 2, 254) P-value
k30 0.0149 0.0149 16.46 0.0000
NB: first-stage F-stat heteroskedasticity-robust
IV (2SLS) regression with robust standard errors
------------------------------------------------
Number of obs = 275
F( 19, 255) = 0.81
Prob > F = 0.7000
Total (centered) SS = 82.96736373 Centered R2 = -0.2291
Total (uncentered) SS = 88.98325588 Uncentered R2 = -0.1460
Residual SS = 101.976442 Root MSE = .61
------------------------------------------------------------------------------
| Robust
emploi | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
k30 | -.3825684 .2103571 -1.82 0.069 -.7948607 .0297239
c30a | -.0519788 .041202 -1.26 0.207 -.1327332 .0287757
d30a | .108799 .0397846 2.73 0.006 .0308226 .1867754
d30b | .0031931 .0348354 0.09 0.927 -.0650831 .0714693
e30 | -.036257 .0293068 -1.24 0.216 -.0936972 .0211832
g30a | .1152195 .058208 1.98 0.048 .0011339 .2293052
j30a | .0429871 .0402775 1.07 0.286 -.0359552 .1219295
j30c | .0356038 .0411333 0.87 0.387 -.0450161 .1162236
j30e | -.0100979 .027043 -0.37 0.709 -.0631013 .0429054
l30a | -.0212033 .0367756 -0.58 0.564 -.0932822 .0508756
l30b | .0310033 .0326002 0.95 0.342 -.0328918 .0948985
a2 | -.0603592 .0425782 -1.42 0.156 -.143811 .0230925
a4a | -.0009478 .0028646 -0.33 0.741 -.0065624 .0046668
a6a | .0933522 .0763294 1.22 0.221 -.0562506 .242955
a7 | .1954874 .1460382 1.34 0.181 -.0907422 .4817169
b2a | .0040452 .0023674 1.71 0.087 -.0005947 .0086851
b2b | .0011903 .002382 0.50 0.617 -.0034784 .0058591
b2c | -.0013251 .006618 -0.20 0.841 -.0142962 .0116459
b5 | -.0002381 .0035678 -0.07 0.947 -.007231 .0067547
_cons | .5296318 7.086394 0.07 0.940 -13.35945 14.41871
------------------------------------------------------------------------------
Hansen J statistic (overidentification test of all instruments): 0.418
Chi-sq(1) P-val = 0.51788
------------------------------------------------------------------------------
Instrumented: k30
Instruments: fin1k21 fink21 c30a d30a d30b e30 g30a j30a j30c j30e l30a l30b
a2 a4a a6a a7 b2a b2b b2c b5
------------------------------------------------------------------------------
donsaane
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