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Re: st: RE: IVREG2 with two endogenous variables: CD/KP F-stat vs. APF-stat
From
Miguel Àngel García López <[email protected]>
To
[email protected]
Subject
Re: st: RE: IVREG2 with two endogenous variables: CD/KP F-stat vs. APF-stat
Date
Fri, 01 Feb 2013 22:16:47 +0100
Hi Mark,
You're right, the Kleibergen-Paap rk LM statistic indicates that the equation is underidentified.
So, which coefficient am I identifying? x1=disnode20061991 or x2=disnode20061991dhistink (this is the interacted endogenous variable)?
Thanks a lot!
Here is the output:
First-stage regressions
-----------------------
First-stage regression of disnode20061991:
OLS estimation
--------------
Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity
Number of obs = 603
F( 26, 464) = 2.21
Prob > F = 0.0006
Total (centered) SS = 2045.649523 Centered R2 = 0.2016
Total (uncentered) SS = 2045.649523 Uncentered R2 = 0.2016
Residual SS = 1633.166249 Root MSE = 1.876
------------------------------------------------------------------------------
| Robust
disnod~61991 | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
dhistlink | -.0549742 .3248397 -0.17 0.866 -.6933134 .583365
lnpob1991 | .0061794 .141505 0.04 0.965 -.2718907 .2842495
lnkm2 | .1863085 .166866 1.12 0.265 -.1415981 .5142151
disCBD | -.0709631 .0430135 -1.65 0.100 -.1554885 .0135622
discoast | -.0602264 .0400691 -1.50 0.134 -.1389658 .0185131
alti | -.0023203 .0027915 -0.83 0.406 -.0078058 .0031652
tri | -.0115232 .0067075 -1.72 0.086 -.0247041 .0016577
lat1 | 5.500978 3.274879 1.68 0.094 -.9344523 11.93641
long1 | -.9525434 2.43592 -0.39 0.696 -5.739344 3.834257
taxa_at~1991 | 6.955092 4.800384 1.45 0.148 -2.478093 16.38828
taxa_oc~1991 | .008856 3.143292 0.00 0.998 -6.167996 6.185708
porc_ocup1~n | -3.03856 1.642994 -1.85 0.065 -6.267191 .1900711
porc_pob1~25 | -1.580318 3.761586 -0.42 0.675 -8.972172 5.811537
porc_pob19~i | 8.381571 3.778023 2.22 0.027 .9574171 15.80572
porc_pob19~r | -2.879711 4.192779 -0.69 0.493 -11.1189 5.359476
lnpob1981 | -.0628442 .0730382 -0.86 0.390 -.2063707 .0806824
lnpob1970 | -.1758226 .1700468 -1.03 0.302 -.5099798 .1583347
lnpob1960 | .5060852 .5099257 0.99 0.321 -.4959645 1.508135
lnpob1950 | -.3825519 .4967032 -0.77 0.442 -1.358618 .5935145
lnpob1940 | -.3062138 .7478307 -0.41 0.682 -1.775768 1.163341
lnpob1930 | .6099881 1.073278 0.57 0.570 -1.499099 2.719075
lnpob1920 | -1.898675 1.43143 -1.33 0.185 -4.711564 .9142143
lnpob1910 | 1.829188 1.056597 1.73 0.084 -.2471203 3.905495
lnpob1900 | -.1280441 .0932029 -1.37 0.170 -.3111962 .0551081
dis1760 | -.1942985 .045257 -4.29 0.000 -.2832326 -.1053645
dis1760dhi~k | -.0141311 .0116053 -1.22 0.224 -.0369365 .0086743
------------------------------------------------------------------------------
Included instruments: dhistlink lnpob1991 lnkm2 disCBD discoast alti tri lat1
long1 taxa_atur1991 taxa_ocup1991 porc_ocup1991man
porc_pob1991m25 porc_pob1991uni porc_pob1991estr lnpob1981
lnpob1970 lnpob1960 lnpob1950 lnpob1940 lnpob1930
lnpob1920 lnpob1910 lnpob1900 dis1760 dis1760dhistlink
------------------------------------------------------------------------------
F test of excluded instruments:
F( 2, 464) = 11.50
Prob > F = 0.0000
Angrist-Pischke multivariate F test of excluded instruments:
F( 1, 464) = 20.90
Prob > F = 0.0000
First-stage regression of disnode20061991dhistlink:
OLS estimation
--------------
Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity
Number of obs = 603
F( 26, 464) = 2.67
Prob > F = 0.0000
Total (centered) SS = 28055.52566 Centered R2 = 0.4866
Total (uncentered) SS = 28055.52566 Uncentered R2 = 0.4866
Residual SS = 14404.85354 Root MSE = 5.572
------------------------------------------------------------------------------
| Robust
disnode200~k | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
dhistlink | 2.515352 1.115445 2.26 0.025 .3234024 4.707301
lnpob1991 | .3581472 .3807795 0.94 0.347 -.3901187 1.106413
lnkm2 | -.8305778 .4571589 -1.82 0.070 -1.728936 .0677805
disCBD | .035202 .1068078 0.33 0.742 -.1746849 .2450889
discoast | -.0824591 .0797964 -1.03 0.302 -.2392662 .0743481
alti | .0139589 .0089892 1.55 0.121 -.0037056 .0316234
tri | -.0481706 .0227555 -2.12 0.035 -.0928872 -.0034541
lat1 | -1.303162 8.268787 -0.16 0.875 -17.55207 14.94575
long1 | 4.330386 6.440689 0.67 0.502 -8.326146 16.98692
taxa_at~1991 | -13.02405 17.44058 -0.75 0.456 -47.29635 21.24825
taxa_oc~1991 | -.380474 8.68993 -0.04 0.965 -17.45697 16.69602
porc_ocup1~n | 3.577323 3.999994 0.89 0.372 -4.283023 11.43767
porc_pob1~25 | -18.19801 11.58473 -1.57 0.117 -40.96303 4.567024
porc_pob19~i | -2.35895 9.349228 -0.25 0.801 -20.73102 16.01312
porc_pob19~r | -2.417754 7.014291 -0.34 0.730 -16.20147 11.36596
lnpob1981 | -.5197725 .4901694 -1.06 0.290 -1.482999 .4434545
lnpob1970 | -.4056388 1.066181 -0.38 0.704 -2.50078 1.689502
lnpob1960 | .1810121 1.474015 0.12 0.902 -2.71556 3.077584
lnpob1950 | .8724695 .9530778 0.92 0.360 -1.000414 2.745353
lnpob1940 | .0072886 1.337592 0.01 0.996 -2.621199 2.635776
lnpob1930 | .1341517 1.96242 0.07 0.946 -3.72218 3.990484
lnpob1920 | -2.063717 3.313446 -0.62 0.534 -8.574937 4.447502
lnpob1910 | 2.01 2.898491 0.69 0.488 -3.685795 7.705795
lnpob1900 | -.1108913 .319602 -0.35 0.729 -.738938 .5171553
dis1760 | .2462499 .1164858 2.11 0.035 .017345 .4751549
dis1760dhi~k | -.4080694 .086959 -4.69 0.000 -.5789517 -.2371871
------------------------------------------------------------------------------
Included instruments: dhistlink lnpob1991 lnkm2 disCBD discoast alti tri lat1
long1 taxa_atur1991 taxa_ocup1991 porc_ocup1991man
porc_pob1991m25 porc_pob1991uni porc_pob1991estr lnpob1981
lnpob1970 lnpob1960 lnpob1950 lnpob1940 lnpob1930
lnpob1920 lnpob1910 lnpob1900 dis1760 dis1760dhistlink
------------------------------------------------------------------------------
F test of excluded instruments:
F( 2, 464) = 11.53
Prob > F = 0.0000
Angrist-Pischke multivariate F test of excluded instruments:
F( 1, 464) = 22.72
Prob > F = 0.0000
Summary results for first-stage regressions
-------------------------------------------
(Underid) (Weak id)
Variable | F( 2, 464) P-val | AP Chi-sq( 1) P-val | AP F( 1, 464)
disnode20061 | 11.50 0.0000 | 27.16 0.0000 | 20.90
disnode20061 | 11.53 0.0000 | 29.53 0.0000 | 22.72
NB: first-stage test statistics heteroskedasticity-robust
Stock-Yogo weak ID test critical values for single endogenous regressor:
10% maximal IV size 16.38
15% maximal IV size 8.96
20% maximal IV size 6.66
25% maximal IV size 5.53
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(1)=0.00 P-val=0.9997
Weak identification test
Ho: equation is weakly identified
Cragg-Donald Wald F statistic 27.11
Kleibergen-Paap Wald rk F statistic 0.00
Stock-Yogo weak ID test critical values for K1=2 and L1=2:
10% maximal IV size 7.03
15% maximal IV size 4.58
20% maximal IV size 3.95
25% maximal IV size 3.63
Source: Stock-Yogo (2005). Reproduced by permission.
NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors.
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(2,464)= 4.17 P-val=0.0161
Anderson-Rubin Wald test Chi-sq(2)= 10.83 P-val=0.0044
Stock-Wright LM S statistic Chi-sq(2)= 10.18 P-val=0.0062
NB: Underidentification, weak identification and weak-identification-robust
test statistics heteroskedasticity-robust
Number of observations N = 603
Number of regressors K = 26
Number of endogenous regressors K1 = 2
Number of instruments L = 26
Number of excluded instruments L1 = 2
Number of partialled-out regressors/IVs = 113
NB: K & L do not included partialled-out variables
IV (2SLS) estimation
--------------------
Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity
Number of obs = 603
F( 26, 464) = 17.35
Prob > F = 0.0000
Total (centered) SS = 32.85467898 Centered R2 = 0.4789
Total (uncentered) SS = 32.85467898 Uncentered R2 = 0.4789
Residual SS = 17.12178597 Root MSE = .1685
------------------------------------------------------------------------------
| Robust
lnp~20111991 | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
disnod~61991 | -.0422962 .0157094 -2.69 0.007 -.0730861 -.0115064
disnode200~k | .0033454 .002269 1.47 0.140 -.0011017 .0077925
dhistlink | -.0193715 .0301388 -0.64 0.520 -.0784425 .0396996
lnpob1991 | -.1716033 .0175352 -9.79 0.000 -.2059716 -.1372351
lnkm2 | .0772166 .0201062 3.84 0.000 .0378092 .1166241
disCBD | -.0014151 .0038103 -0.37 0.710 -.0088832 .006053
discoast | -.0020445 .0030389 -0.67 0.501 -.0080007 .0039116
alti | -.0003639 .0002803 -1.30 0.194 -.0009132 .0001854
tri | .0002327 .0007257 0.32 0.748 -.0011896 .001655
lat1 | .2161914 .27737 0.78 0.436 -.3274437 .7598266
long1 | -.3242189 .1943732 -1.67 0.095 -.7051834 .0567457
taxa_at~1991 | -.0633292 .4341575 -0.15 0.884 -.9142623 .7876039
taxa_oc~1991 | .5256404 .2733951 1.92 0.055 -.0102043 1.061485
porc_ocup1~n | -.2804171 .1410424 -1.99 0.047 -.5568552 -.0039791
porc_pob1~25 | -2.038739 .4678653 -4.36 0.000 -2.955738 -1.121739
porc_pob19~i | 1.98907 .4010011 4.96 0.000 1.203123 2.775018
porc_pob19~r | 1.207574 .3368401 3.59 0.000 .5473792 1.867768
lnpob1981 | -.0206563 .0138923 -1.49 0.137 -.0478848 .0065722
lnpob1970 | -.0664541 .031215 -2.13 0.033 -.1276344 -.0052739
lnpob1960 | .035141 .0807666 0.44 0.663 -.1231586 .1934405
lnpob1950 | .0388572 .0753196 0.52 0.606 -.1087665 .1864808
lnpob1940 | -.0780994 .0883634 -0.88 0.377 -.2512886 .0950897
lnpob1930 | .0474178 .1058593 0.45 0.654 -.1600626 .2548983
lnpob1920 | .2845001 .1418916 2.01 0.045 .0063977 .5626024
lnpob1910 | -.2330463 .1296206 -1.80 0.072 -.4870979 .0210054
lnpob1900 | -.0073257 .0135746 -0.54 0.589 -.0339315 .01928
------------------------------------------------------------------------------
Underidentification test (Kleibergen-Paap rk LM statistic): 0.000
Chi-sq(1) P-val = 0.9997
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic): 27.106
(Kleibergen-Paap rk Wald F statistic): 0.000
Stock-Yogo weak ID test critical values: 10% maximal IV size 7.03
15% maximal IV size 4.58
20% maximal IV size 3.95
25% maximal IV size 3.63
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: disnode20061991 disnode20061991dhistlink
Included instruments: dhistlink lnpob1991 lnkm2 disCBD discoast alti tri lat1
long1 taxa_atur1991 taxa_ocup1991 porc_ocup1991man
porc_pob1991m25 porc_pob1991uni porc_pob1991estr lnpob1981
lnpob1970 lnpob1960 lnpob1950 lnpob1940 lnpob1930
lnpob1920 lnpob1910 lnpob1900
Excluded instruments: dis1760 dis1760dhistlink
Partialled-out: _Iam129_2 _Iam129_3 _Iam129_4 _Iam129_5 _Iam129_6
Miquel
----- Missatge original -----
De: "Schaffer, Mark E" <[email protected]>
Data: Divendres, Febrer 1, 2013 9:03 pm
Assumpte: st: RE: IVREG2 with two endogenous variables: CD/KP F-stat vs. APF-stat
> Miguel,
>
> > -----Original Message-----
> > From: [email protected] [owner-
> > [email protected]] On Behalf Of Miguel Àngel García
> López> Sent: 01 February 2013 09:22
> > To: [email protected]
> > Subject: st: IVREG2 with two endogenous variables: CD/KP F-stat
> vs. AP F-
> > stat
> >
> > Hi all,
> >
> > I am using ivreg2 for running my model with two endogenous
> variables:>
> > ivreg2 y1 (x1 x2 = z1 z2) x3, robust
> >
> > where x2 and z2 are interactions of x1 and z1, respectively. In
> other words,
> > x2=dummy*x1 is an interacted endogenous variable and z2=dummy*z1
> is an
> > interacted instrument.
> >
> > When I look at the first-stage statistics I find that the KP F-
> stat = 0.00 while
> > the individual AP F-stats are around 20.
> > And I am puzzle about which F-stat I should consider.
> >
> > Following previous discussions such as
> > http://www.stata.com/statalist/archive/2011-04/msg00853.html, I
> think I
> > should only use AP F-stats.
> > Am I right?
> >
> > Another question is why my CD F-stat is 0. Maybe because my
> instruments> are highly correlated?
>
> Can you show us the output?
>
> It sounds like your equation is underidentified: you can identify
> either the coeff on x1, or the coeff on x2, but not both coeffs
> simultaneously (hence the zero under- and weak-identification
> statistics).
> But it's hard to tell without seeing more.
>
> --Mark
>
> >
> > Thanks,
> >
> > Miquel
> >
> > *
> > * For searches and help try:
> > * http://www.stata.com/help.cgi?search
> > * http://www.stata.com/support/faqs/resources/statalist-faq/
> > * http://www.ats.ucla.edu/stat/stata/
>
>
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