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RE: st: RE: Results of overidentification and underidentification test missing
From
"Schaffer, Mark E" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
RE: st: RE: Results of overidentification and underidentification test missing
Date
Mon, 23 Sep 2013 17:46:51 +0000
Sutirtha,
There's something fishy about your installation of xtivreg2/ivreg2. The output you supplied includes this:
Summary results for first-stage regressions
-------------------------------------------
Variable | Shea Partial R2 | Partial R2 | F( 2, 64) P-value
average_shar| 0.0327 | 0.0327 | 5.50 0.0062
but the most up-to-date versions of xtivreg2/ivreg2 would have output that looks like this:
Summary results for first-stage regressions
-------------------------------------------
(Underid) (Weak id)
Variable | F( 3, 70) P-val | AP Chi-sq( 3) P-val | AP F( 3, 70)
mpg | 44.47 0.0000 | 141.03 0.0000 | 44.47
I suspect you have more than one version of ivreg2/xtivreg2 installed on your machine, and Stata is making use of the wrong (=older) version(s).
Try doing this:
which ivreg2, all
which xtivreg2, all
which ranktest, all
and see if this is the problem. If it is, uninstall the older versions and see if this solves the problem.
--Mark
> -----Original Message-----
> From: [email protected] [mailto:owner-
> [email protected]] On Behalf Of Sutirtha Bagchi
> Sent: 23 September 2013 14:54
> To: [email protected]
> Subject: Re: st: RE: Results of overidentification and underidentification test
> missing
>
> For ivreg2, this is what I have:
>
> ivreg2 3.1.07 28Jul2013
>
> Sutirtha
>
> On Sun, Sep 22, 2013 at 7:26 PM, Sutirtha Bagchi <[email protected]>
> wrote:
> > I did have a chance to update xtivreg2 and ranktest to the most
> > current version and that solved the problem. The versions I now have
> > are:
> >
> > . which xtivreg2, all
> >
> > c:\ado\plus\x\xtivreg2.ado
> > *! xtivreg2 1.0.13 28Aug2011
> > *! author mes
> >
> > . which ranktest, all
> >
> > c:\ado\plus\r\ranktest.ado
> > *! ranktest 1.3.02 27Feb2012
> > *! author mes, based on code by fk
> > *! see end of file for version comments
> >
> > Thanks,
> > Sutirtha
> >
> > On Sun, Sep 22, 2013 at 5:19 PM, Sutirtha Bagchi <[email protected]>
> wrote:
> >> Hello Mark,
> >>
> >> Thanks for responding. This is what I have:
> >>
> >> xtivreg2: xtivreg2 1.0.13 28Aug2011
> >>
> >> ranktest: ranktest 1.1.02 15oct2007
> >>
> >> Thanks,
> >> Sutirtha
> >>
> >> On Sun, Sep 22, 2013 at 1:55 PM, Schaffer, Mark E
> <[email protected]> wrote:
> >>> Sutirtha,
> >>>
> >>> Can you also tell us what versions of ivreg2 and ranktest you have
> installed? xtivreg2 uses these programs.
> >>>
> >>> --Mark
> >>>
> >>>> -----Original Message-----
> >>>> From: [email protected] [mailto:owner-
> >>>> [email protected]] On Behalf Of Sutirtha Bagchi
> >>>> Sent: 21 September 2013 22:56
> >>>> To: [email protected]
> >>>> Subject: st: Results of overidentification and underidentification
> >>>> test missing
> >>>>
> >>>> Hello,
> >>>>
> >>>> I am using the user-written command -xtivreg2- in Stata11 (Stata/SE
> >>>> 11.2 for Windows (32-bit)).
> >>>>
> >>>> (*! xtivreg2 1.0.13 28Aug2011 *! author mes)
> >>>>
> >>>> The issue I am facing is that in the Stata output, I find the
> >>>> results of the Under identification and Weak Identification test
> >>>> missing. In particular, the Kleibergen-Paap rk LM statistic and
> >>>> associated p-value and the Kleibergen-Paap rk Wald F statistic are
> >>>> missing. Other test statistics such as the Hansen J statistic for
> overidentification and the Shea partial R2 are present in the output.
> >>>> I can verify that I have updated Stata and so that alone is
> >>>> unlikely to fix this issue for me.
> >>>>
> >>>> Here are details of my data set on municipal pension plans where
> >>>> this comes up.
> >>>>
> >>>> I have one observation per pension plan per municipality per time
> >>>> period (decade). For simplicity, let us say, I have 2 pension plans
> >>>> per municipality for ~
> >>>> 1,000 municipalities for 3 decades - a total of
> >>>> 2 X 1,000 X 3 or ~ 6,000 observations. I am looking at the effect
> >>>> of political orientation of the municipality (more specifically,
> >>>> the independent variable is average Democratic vote share in
> >>>> mayoral elections held in the last decade) on a measure of funding for
> the pension plans offered by that municipality.
> >>>> However, I am concerned about the possible endogeneity of the
> >>>> independent variable and I therefore use demographic
> >>>> characteristics (percent of the population that is self-employed
> >>>> and percent of the population that has a
> >>>> disability) as instruments for the independent variable. As it
> >>>> turns out, Democratic vote share goes up when the percent of the
> >>>> population that is self- employed goes down or when the percent of
> >>>> the population that has a disability goes up.
> >>>>
> >>>> The Stata command I use is:
> >>>>
> >>>> xi: xtivreg2 wmeanactfundratio_emplgrp2
> (average_share_dems_votes7
> >>>> = pctslfemplydownbiznotincp pctpop16to64wdisability)
> >>>> i.currentdecade, fe gmm2s first cluster(county)
> >>>>
> >>>> where wmeanactfundratio_emplgrp2 = Mean funding ratio of pension
> >>>> plan offered by a municipality for a particular employee group
> >>>> (with the mean being taken over a decade);
> >>>> average_share_dems_votes7 = Average Democratic vote share for
> >>>> mayoral races held in the last decade; pctslfemployedownbiznotincp
> >>>> = Percent of the population that is self-employed;
> >>>> pctpop16to64wdisability = Percent of the population between 16 to
> >>>> 64 that has a disability; i.currentdecade is a set of dummy
> >>>> variables for the decade; and finally, county - These 1,000
> >>>> municipalities can belong to one of ~ 65 counties. Clustering standard
> errors at the county level is the most conservative and so I go with that.
> >>>>
> >>>>
> >>>> Here is the output:
> >>>>
> >>>> Warning - singleton groups detected. 117 observation(s) not used.
> >>>> FIXED EFFECTS ESTIMATION
> >>>>
> >>>> ------------------------
> >>>>
> >>>> Number of groups = 1135 Obs per group: min = 2
> >>>>
> >>>> avg = 4.6
> >>>>
> >>>> max = 9
> >>>>
> >>>> First-stage regressions
> >>>>
> >>>> -----------------------
> >>>>
> >>>> First-stage regression of average_share_dems_votes7:
> >>>>
> >>>> FIXED EFFECTS ESTIMATION
> >>>>
> >>>> ------------------------
> >>>>
> >>>> Number of groups = 1135 Obs per group: min = 2
> >>>>
> >>>> avg = 4.6
> >>>>
> >>>> max = 9
> >>>>
> >>>> OLS estimation
> >>>>
> >>>> --------------
> >>>>
> >>>> Estimates efficient for homoskedasticity only
> >>>>
> >>>> Statistics robust to heteroskedasticity and clustering on county
> >>>>
> >>>> Number of clusters (county) = 65 Number of obs = 5253
> >>>>
> >>>>
> >>>> F( 4, 64) = 8.95
> >>>>
> >>>>
> >>>> Prob > F = 0.0000
> >>>>
> >>>> Total (centered) SS = 9.605866911 Centered R2 = 0.2599
> >>>> Total (uncentered) SS = 9.605866911 Uncentered R2 = 0.2599
> >>>> Residual SS = 7.109186342 Root MSE = .04157
> >>>>
> >>>>
> >>>> -------------------------------------------------------------------
> >>>> -----------
> >>>>
> >>>> | Robust
> >>>>
> >>>> average_s~s7 | Coef. Std. Err. t P>|t| [95% Conf. Interval]
> >>>>
> >>>> -------------+-----------------------------------------------------
> >>>> -------------+-----
> >>>> -------------+------
> >>>>
> >>>> _Icurre~1990 | .0355722 .0077302 4.60 0.000 .0201294 .051015
> >>>>
> >>>> _Icurre~2000 | .0432069 .0122536 3.53 0.001 .0187274 .0676864
> >>>>
> >>>> pctslfempl~p | -.0001385 .0007944 -0.17 0.862 -.0017255 .0014485
> >>>>
> >>>> pctpop16to~y | .0040835 .0013014 3.14 0.003 .0014837 .0066832
> >>>>
> >>>> -------------------------------------------------------------------
> >>>> -----------
> >>>>
> >>>> Included instruments: _Icurrentde_1990 _Icurrentde_2000
> >>>>
> >>>> pctslfemplydownbiznotincp pctpop16to64wdisability
> >>>>
> >>>> ------------------------------------------------------------------------------
> >>>> Partial R-squared of excluded instruments: 0.0327
> >>>> Test of excluded instruments:
> >>>> F( 2, 64) = 5.50
> >>>> Prob > F = 0.0062
> >>>>
> >>>> Summary results for first-stage regressions
> >>>> -------------------------------------------
> >>>>
> >>>> Variable | Shea Partial R2 | Partial R2 | F( 2, 64) P-value
> >>>>
> >>>> average_shar| 0.0327 | 0.0327 | 5.50 0.0062
> >>>>
> >>>> 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(2)=. P-val= .
> >>>>
> >>>> Kleibergen-Paap rk Wald statistic Chi-sq(2)=. P-val= .
> >>>>
> >>>> Weak identification test
> >>>>
> >>>> Ho: equation is weakly identified
> >>>>
> >>>> Kleibergen-Paap Wald rk F statistic .
> >>>>
> >>>> 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(2,64)= 0.92 P-val=0.4038
> >>>>
> >>>> Anderson-Rubin Wald test Chi-sq(2)=1.87 P-val=0.3927
> >>>>
> >>>> Stock-Wright LM S statistic Chi-sq(2)=1.87 P-val=0.3927
> >>>>
> >>>> NB: Underidentification, weak identification and
> >>>> weak-identification-robust test statistics cluster-robust
> >>>>
> >>>> Number of clusters N_clust = 65
> >>>>
> >>>> Number of observations N = 5253
> >>>>
> >>>> Number of regressors K = 3
> >>>>
> >>>> Number of instruments L = 4
> >>>>
> >>>> Number of excluded instruments L1 = 2
> >>>>
> >>>> 2-Step GMM estimation
> >>>>
> >>>> ---------------------
> >>>>
> >>>> Estimates efficient for arbitrary heteroskedasticity and
> >>>> clustering on county
> >>>>
> >>>> Statistics robust to heteroskedasticity and clustering on county
> >>>>
> >>>> Number of clusters (county) = 65 Number of obs = 5253
> >>>>
> >>>> F( 3, 64) = 14.86
> >>>>
> >>>> Prob > F = 0.0000
> >>>>
> >>>> Total (centered) SS = 29430177.08 Centered R2 = 0.0334
> >>>>
> >>>> Total (uncentered) SS = 29430177.08 Uncentered R2 = 0.0334
> >>>>
> >>>> Residual SS = 28447688.07 Root MSE = 83.12
> >>>>
> >>>>
> >>>> -------------------------------------------------------------------
> >>>> -----------
> >>>>
> >>>> | Robust
> >>>>
> >>>> wmeanactfu~2 | Coef. Std. Err. z P>|z| [95% Conf. Interval]
> >>>>
> >>>> -------------+-----------------------------------------------------
> >>>> -------------+-----
> >>>> -------------+------
> >>>>
> >>>> average_s~s7 | 209.2071 159.7796 1.31 0.190 -103.9552 522.3693
> >>>>
> >>>> _Icurre~1990 | -30.10698 9.738608 -3.09 0.002 -49.19431 -
> 11.01966
> >>>>
> >>>> _Icurre~2000 | -47.3599 11.90716 -3.98 0.000 -70.6975 -24.0223
> >>>>
> >>>> -------------------------------------------------------------------
> >>>> -----------
> >>>>
> >>>> Underidentification test (Kleibergen-Paap rk LM statistic): .
> >>>>
> >>>> Chi-sq(2) P-val = .
> >>>>
> >>>> -------------------------------------------------------------------
> >>>> -----------
> >>>>
> >>>> Weak identification test (Kleibergen-Paap rk Wald F statistic): .
> >>>>
> >>>> Stock-Yogo weak ID test critical values: 10% maximal IV size 19.93
> >>>>
> >>>> 15% maximal IV size 11.59
> >>>>
> >>>> 20% maximal IV size 8.75
> >>>>
> >>>> 25% maximal IV size 7.25
> >>>>
> >>>> 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): 0.017
> >>>>
> >>>>
> >>>> Chi-sq(1) P-val = 0.8959
> >>>>
> >>>> -------------------------------------------------------------------
> >>>> -----------
> >>>>
> >>>> Instrumented: average_share_dems_votes7
> >>>>
> >>>> Included instruments: _Icurrentde_1990 _Icurrentde_2000
> >>>>
> >>>> Excluded instruments: pctslfemplydownbiznotincp
> >>>> pctpop16to64wdisability
> >>>>
> >>>> -------------------------------------------------------------------
> >>>> -----------
> >>>>
> >>>> Please let me know if you need any further details. Thanks for any
> >>>> and all suggestions,
> >>>>
> >>>> Sutirtha Bagchi
> >>>>
> >>>> *
> >>>> * 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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