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st: RE: ivreg2: Anderson-Rubin Wald significant, and Stock-Wright S not significant - explanation?
From
"Schaffer, Mark E" <[email protected]>
To
<[email protected]>
Subject
st: RE: ivreg2: Anderson-Rubin Wald significant, and Stock-Wright S not significant - explanation?
Date
Fri, 7 Sep 2012 08:11:53 +0100
Jonathan,
The p-values aren't wildly different (p=0.10 vs. p=0.01), and of course
Wald and LM stats differ in finite samples. Plus you are using
cluster-robust stats, and you have only 21 clusters - not really enough
to make the use of the cluster-robust reliable, imho - so stats using
this VCE will also be somewhat unreliable.
> -----Original Message-----
> From: [email protected] [mailto:owner-
> [email protected]] On Behalf Of Jonathan Richards
> Sent: 07 September 2012 03:42
> To: [email protected]
> Subject: st: ivreg2: Anderson-Rubin Wald significant, and Stock-Wright
S not
> significant - explanation?
>
> Hey everyone-
>
>
> After using ivreg2, the weak-instrument-robust test statistics, the
Anderson-
> Rubin Wald test is significant and the Stock-Wright LM S statistic is
not. Thus,
> based on the Anderson-Rubin Wald statistic, I should reject the null
that B=0,
> and based on the Stock-Wright LM S, I should fail to reject. I don't
know what
> to make of this.
>
>
> Can anyone shed some light on this? I would appreciate any insight.
>
>
> Thanks-
>
>
> Brent
>
>
> PS Here's my output:
>
>
>
> xtivreg2 nzwages ///
> > ravensR1 readinglevelR1 writinglevelR1 mathR1 /// daded mumed
> > agechildr3 (NCG8 = cropstolenR1), liml first fe cluster(clustid)
>
>
> FIXED EFFECTS ESTIMATION
> ------------------------
> Number of groups = 21 Obs per group: min =
26
> avg =
43.2
> max =
51
>
>
> First-stage regressions
> -----------------------
>
>
> First-stage regression of NCG8:
>
>
> FIXED EFFECTS ESTIMATION
> ------------------------
> Number of groups = 21 Obs per group: min =
26
> avg =
43.2
> max =
51
>
>
> OLS estimation
> --------------
>
>
> Estimates efficient for homoskedasticity only Statistics robust to
> heteroskedasticity and clustering on clustid
>
>
> Number of clusters (clustid) = 21 Number of obs =
907
> F( 8, 20) =
11.21
> Prob > F =
0.0000
> Total (centered) SS = 24112.07691 Centered R2 =
0.0729
> Total (uncentered) SS = 24112.07691 Uncentered R2 =
0.0729
> Residual SS = 22354.95047 Root MSE =
5.046
>
>
>
------------------------------------------------------------------------
--------
> | Robust
> NCG8 | Coef. Std. Err. t P>|t| [95% Conf.
Interval]
>
---------------+--------------------------------------------------------
> ---------------+--------
> ravensR1 | -.0361332 .0294914 -1.23 0.235 -.0976512
.0253847
> readinglevelR1 | -.4871586 .1570078 -3.10 0.006 -.8146711
-.1596461
> writinglevelR1 | -.6210914 .256217 -2.42 0.025 -1.155551
-.0866321
> mathR1 | -.7838349 .4316283 -1.82 0.084 -1.684196
.1165259
> daded | -.0544231 .0580238 -0.94 0.359 -.1754586
.0666125
> mumed | -.011695 .050537 -0.23 0.819 -.1171132
.0937233
> agechildr3 | -.0573995 .0446936 -1.28 0.214 -.1506288
.0358297
> cropstolenR1 | -5.699977 1.316356 -4.33 0.000 -8.445848
-2.954107
>
------------------------------------------------------------------------
--------
> Included instruments: ravensR1 readinglevelR1 writinglevelR1 mathR1
daded
> mumed
> agechildr3 cropstolenR1
>
------------------------------------------------------------------------
------
> Partial R-squared of excluded instruments: 0.0288
> Test of excluded instruments:
> F( 1, 20) = 18.75
> Prob > F = 0.0003
>
>
>
>
>
>
> Summary results for first-stage regressions
> -------------------------------------------
>
>
> Variable | Shea Partial R2 | Partial R2 | F( 1, 20)
P-value
> NCG8 | 0.0288 | 0.0288 | 18.75
0.0003
>
>
> NB: first-stage F-stat cluster-robust
>
>
> Underidentification tests
> Ho: matrix of reduced form coefficients has rank=K1-1
(underidentified)
> Ha: matrix has rank=K1 (identified)
> Kleibergen-Paap rk LM statistic Chi-sq(1)=2.81
P-val=0.0937
> Kleibergen-Paap rk Wald statistic Chi-sq(1)=19.84
P-val=0.0000
>
>
> Weak identification test
> Ho: equation is weakly identified
> Kleibergen-Paap Wald rk F statistic 18.75
> See main output for Cragg-Donald weak id test critical values
>
>
> Weak-instrument-robust inference
> Tests of joint significance of endogenous regressors B1 in main
equation
> Ho: B1=0 and overidentifying restrictions are valid
> Anderson-Rubin Wald test F(1,20)= 5.77 P-val=0.0262
> Anderson-Rubin Wald test Chi-sq(1)=6.10 P-val=0.0135
> Stock-Wright LM S statistic Chi-sq(1)=2.66 P-val=0.1028
>
>
> NB: Underidentification, weak identification and
weak-identification-robust
> test statistics cluster-robust
>
>
> Number of clusters N_clust = 21
> Number of observations N = 907
> Number of regressors K = 8
> Number of instruments L = 8
> Number of excluded instruments L1 = 1
>
>
> LIML estimation
> ---------------
> k =1.00000
> lambda =1.00000
>
>
> Estimates efficient for homoskedasticity only Statistics robust to
> heteroskedasticity and clustering on clustid
>
>
> Number of clusters (clustid) = 21 Number of obs =
907
> F( 8, 20) =
11.67
> Prob > F =
0.0000
> Total (centered) SS = 160.1779314 Centered R2 =
-0.1584
> Total (uncentered) SS = 160.1779314 Uncentered R2 =
-0.1584
> Residual SS = 185.5557754 Root MSE =
.4576
>
>
>
------------------------------------------------------------------------
--------
> | Robust
> nzwages | Coef. Std. Err. z P>|z| [95% Conf.
Interval]
>
---------------+--------------------------------------------------------
> ---------------+--------
> NCG8 | -.0483625 .0287696 -1.68 0.093 -.1047499
.0080249
> ravensR1 | -.0045641 .0029854 -1.53 0.126 -.0104153
.0012872
> readinglevelR1 | -.0186649 .0230798 -0.81 0.419 -.0639005
.0265708
> writinglevelR1 | -.103645 .0286921 -3.61 0.000 -.1598804
-.0474095
> mathR1 | -.0308976 .0515261 -0.60 0.549 -.1318868
.0700917
> daded | -.022506 .0047281 -4.76 0.000 -.0317729
-.0132392
> mumed | -.0091565 .0058051 -1.58 0.115 -.0205343
.0022213
> agechildr3 | .0055488 .005227 1.06 0.288 -.004696
.0157935
>
------------------------------------------------------------------------
--------
> Underidentification test (Kleibergen-Paap rk LM statistic):
2.809
> Chi-sq(1) P-val =
0.0937
>
------------------------------------------------------------------------
------
> Weak identification test (Kleibergen-Paap rk Wald F statistic):
18.750
> Stock-Yogo weak ID test critical values: 10% maximal LIML size
16.38
> 15% maximal LIML size
8.96
> 20% maximal LIML size
6.66
> 25% maximal LIML size
5.53
> Source: Stock-Yogo (2005). Reproduced by permission.
> NB: Critical values are for Cragg-Donald F statistic and i.i.d.
errors.
>
------------------------------------------------------------------------
------
> Hansen J statistic (overidentification test of all instruments):
0.000
> (equation exactly
identified)
>
------------------------------------------------------------------------
------
> Instrumented: NCG8
> Included instruments: ravensR1 readinglevelR1 writinglevelR1 mathR1
daded
> mumed
> agechildr3
> Excluded instruments: cropstolenR1
>
------------------------------------------------------------------------
------
>
>
> .
> end of do-file
>
>
>
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