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st: ivreg2 with two endogenous regressors: KP stats vs AP stats
From
"Sraboni, Esha (IFPRI-Dhaka)" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: ivreg2 with two endogenous regressors: KP stats vs AP stats
Date
Tue, 2 Jul 2013 11:25:45 +0000
Dear Statalisters,
I am using instrumental variables regression with two endogenous regressors. The 2SLS IV diagnostics suggest that my model is unidentified and the instruments are weak. The Kleibergen-Paap rk LM p-value is 1, and Kleibergen-Paap Wald rk F value (not Cragg-Donald, since I am using weights) is 0. However, the AP statistics (first stage under identification and weak identification tests) look good for the individual endogenous variables. I thought it strange that the first stage results look favorable, but the joint tests do not.
Another thing which I could not understand is that, I tried out a large number of different combinations of instruments for each of the endogenous regressors, but the KP rk LM p value and KP Wald rk F value remain unchanged at 1 and 0 respectively.
I have pasted below the first stage and 2SLS output (I have deleted the results for the other controls, in order to avoid cluttering). I was hoping you could help me understand what might be happening here, or whether I am misinterpreting the statistics.
Thank you for your time!
Esha Sraboni
local emp1 "emp_score2" //endogenous regressor
local prodvar "num_allcrops"//endogenous regressor
local hhchars "age_hhhead agesq_hhhead eduy_hhhead hh_head_farmer hh_head_trader hhsize pctmale04-pctmale1959 pctfemale04-pctfemale60 lnowncland_dec elec_conn rice_price d1-d6 num_milkcow owns_handtbwell"
*** Instruments
local z1 "agediff_m_f infcreditexclNGO_sum commparticip_any" //instruments for emp1
local w "soil_type4 soil_type5 pct_irrig" //instruments for prodvar
***Regression
ivreg2 hhdietscore12 `hhchars' (`emp1' `prodvar' = `z1' `w' ) [pw=hhweight], endog(`emp1' `prodvar') first ffirst savefirst savefp(hhm1`i')
(sum of wgt is 2.0031e+07)
First-stage regressions
-----------------------
First-stage regression of emp_score2:
OLS estimation
--------------
Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity
Number of obs = 4195
F( 32, 4162) = 34.72
Prob > F = 0.0000
Total (centered) SS = 233.9254195 Centered R2 = 0.2098
Total (uncentered) SS = 2000.668046 Uncentered R2 = 0.9076
Residual SS = 184.8518389 Root MSE = .2107
------------------------------------------------------------------------------
| Robust
emp_score2 | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
agediff_m_f | -.0025851 .0008446 -3.06 0.002 -.004241 -.0009292
infcredite~m | .0286863 .0025982 11.04 0.000 .0235926 .0337801
commpartic~y | .0937299 .0072531 12.92 0.000 .0795098 .1079499
soil_type4 | .0039734 .0093112 0.43 0.670 -.0142815 .0222283
soil_type5 | -.0233485 .011089 -2.11 0.035 -.0450888 -.0016082
pct_irrig | .0007367 .0000999 7.38 0.000 .0005409 .0009326
_cons | .3315584 .0693319 4.78 0.000 .1956308 .467486
------------------------------------------------------------------------------
Included instruments: age_hhhead agesq_hhhead eduy_hhhead hh_head_farmer
hh_head_trader hhsize pctmale04 pctmale510 pctmale1118
pctmale1959 pctfemale04 pctfemale510 pctfemale1118
pctfemale1959 pctfemale60 lnowncland_dec elec_conn
rice_price d1 d2 d3 d4 d5 d6 num_milkcow owns_handtbwell
agediff_m_f infcreditexclNGO_sum commparticip_any
soil_type4 soil_type5 pct_irrig
------------------------------------------------------------------------------
F test of excluded instruments:
F( 6, 4162) = 75.15
Prob > F = 0.0000
Angrist-Pischke multivariate F test of excluded instruments:
F( 5, 4162) = 68.97
Prob > F = 0.0000
First-stage regression of num_allcrops:
OLS estimation
--------------
Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity
Number of obs = 4195
F( 32, 4162) = 75.34
Prob > F = 0.0000
Total (centered) SS = 7786.104652 Centered R2 = 0.3880
Total (uncentered) SS = 12656.797 Uncentered R2 = 0.6235
Residual SS = 4765.006576 Root MSE = 1.07
------------------------------------------------------------------------------
| Robust
num_allcrops | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
agediff_m_f | .0032771 .0041113 0.80 0.425 -.0047833 .0113375
infcredite~m | .0322633 .0115057 2.80 0.005 .009706 .0548206
commpartic~y | .050581 .036366 1.39 0.164 -.0207159 .1218779
soil_type4 | .4495017 .056289 7.99 0.000 .3391451 .5598582
soil_type5 | .5629801 .0660527 8.52 0.000 .4334815 .6924786
pct_irrig | .0103765 .0005456 19.02 0.000 .0093069 .0114461
_cons | -.5467235 .3383645 -1.62 0.106 -1.210099 .1166517
------------------------------------------------------------------------------
Included instruments: age_hhhead agesq_hhhead eduy_hhhead hh_head_farmer
hh_head_trader hhsize pctmale04 pctmale510 pctmale1118
pctmale1959 pctfemale04 pctfemale510 pctfemale1118
pctfemale1959 pctfemale60 lnowncland_dec elec_conn
rice_price d1 d2 d3 d4 d5 d6 num_milkcow owns_handtbwell
agediff_m_f infcreditexclNGO_sum commparticip_any
soil_type4 soil_type5 pct_irrig
------------------------------------------------------------------------------
F test of excluded instruments:
F( 6, 4162) = 171.29
Prob > F = 0.0000
Angrist-Pischke multivariate F test of excluded instruments:
F( 5, 4162) = 140.12
Prob > F = 0.0000
Summary results for first-stage regressions
-------------------------------------------
(Underid) (Weak id)
Variable | F( 6, 4162) P-val | AP Chi-sq( 5) P-val | AP F( 5, 4162)
emp_score2 | 75.15 0.0000 | 347.60 0.0000 | 68.97
num_allcrops | 171.29 0.0000 | 706.16 0.0000 | 140.12
NB: first-stage test statistics heteroskedasticity-robust
Stock-Yogo weak ID test critical values for single endogenous regressor:
5% maximal IV relative bias 19.28
10% maximal IV relative bias 10.83
20% maximal IV relative bias 6.77
30% maximal IV relative bias 5.25
10% maximal IV size 26.87
15% maximal IV size 15.09
20% maximal IV size 10.98
25% maximal IV size 8.84
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(5)=0.00 P-val=1.0000
Weak identification test
Ho: equation is weakly identified
Cragg-Donald Wald F statistic 56.94
Kleibergen-Paap Wald rk F statistic 0.00
Stock-Yogo weak ID test critical values for K1=2 and L1=6:
5% maximal IV relative bias 15.72
10% maximal IV relative bias 9.48
20% maximal IV relative bias 6.08
30% maximal IV relative bias 4.78
10% maximal IV size 21.68
15% maximal IV size 12.33
20% maximal IV size 9.10
25% maximal IV size 7.42
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(6,4162)= 11.07 P-val=0.0000
Anderson-Rubin Wald test Chi-sq(6)= 66.92 P-val=0.0000
Stock-Wright LM S statistic Chi-sq(6)= 65.36 P-val=0.0000
NB: Underidentification, weak identification and weak-identification-robust
test statistics heteroskedasticity-robust
Number of observations N = 4195
Number of regressors K = 29
Number of endogenous regressors K1 = 2
Number of instruments L = 33
Number of excluded instruments L1 = 6
IV (2SLS) estimation
--------------------
Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity
Number of obs = 4195
F( 28, 4166) = 32.84
Prob > F = 0.0000
Total (centered) SS = 10642.6554 Centered R2 = 0.1356
Total (uncentered) SS = 392905.5563 Uncentered R2 = 0.9766
Residual SS = 9199.049659 Root MSE = 1.481
------------------------------------------------------------------------------
| Robust
hhdietsco~12 | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
emp_score2 | 2.073557 .3761406 5.51 0.000 1.336335 2.810779
num_allcrops | .0998546 .0510304 1.96 0.050 -.0001631 .1998723
_cons | 6.311798 .506199 12.47 0.000 5.319666 7.30393
------------------------------------------------------------------------------
Underidentification test (Kleibergen-Paap rk LM statistic): 0.000
Chi-sq(5) P-val = 1.0000
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic): 56.943
(Kleibergen-Paap rk Wald F statistic): 0.000
Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 15.72
10% maximal IV relative bias 9.48
20% maximal IV relative bias 6.08
30% maximal IV relative bias 4.78
10% maximal IV size 21.68
15% maximal IV size 12.33
20% maximal IV size 9.10
25% maximal IV size 7.42
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): 6.247
Chi-sq(4) P-val = 0.1814
-endog- option:
Endogeneity test of endogenous regressors: 33.049
Chi-sq(2) P-val = 0.0000
Regressors tested: emp_score2 num_allcrops
------------------------------------------------------------------------------
Instrumented: emp_score2 num_allcrops
Included instruments: age_hhhead agesq_hhhead eduy_hhhead hh_head_farmer
hh_head_trader hhsize pctmale04 pctmale510 pctmale1118
pctmale1959 pctfemale04 pctfemale510 pctfemale1118
pctfemale1959 pctfemale60 lnowncland_dec elec_conn
rice_price d1 d2 d3 d4 d5 d6 num_milkcow owns_handtbwell
Excluded instruments: agediff_m_f infcreditexclNGO_sum commparticip_any
soil_type4 soil_type5 pct_irrig
------------------------------------------------------------------------------
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