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Re : st: RES: relevance of instruments
From
donsaane dontsi <[email protected]>
To
"[email protected]" <[email protected]>
Subject
Re : st: RES: relevance of instruments
Date
Wed, 2 May 2012 15:46:43 +0100 (BST)
Thanks Henrique,
So if the Cragg-Donald statistic is higher than the critical values of Stock and Yogo, we should say that our instruments are stong , even if the partial R2 is small?
Thanks
donsaane
----- Mail original -----
De : Henrique Neder <[email protected]>
À : [email protected]
Cc :
Envoyé le : Mardi 1 mai 2012 23h22
Objet : st: RES: relevance of instruments
I think that you have to do a more detailed inspection of the problem. See
Stock and Yogo critical values approach in the help for ivreg2 (Tests of
under- and weak identification).
Henrique Neder
-----Mensagem original-----
De: [email protected]
[mailto:[email protected]] Em nome de donsaane dontsi
Enviada em: Tuesday, May 01, 2012 6:28 PM
Para: [email protected]
Assunto: st: relevance of instruments
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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