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st: RE: Weak instrument tests in small panel data
From
"Schaffer, Mark E" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: RE: Weak instrument tests in small panel data
Date
Fri, 14 Feb 2014 12:44:33 +0000
Steven,
My guess is that you have a model where the iid assumption fails, and so there is a big difference between the standard first-stage F statistic (Cragg-Donald) and a cluster-robust first-stage F statistic (Kleibergen-Paap). This is probably also why the partial R2 from the first stage also looks large.
FYI the Anderson-Rubin test is not a test for weak instruments, but a weak-instrument-robust test of H0: beta=0 (where beta is the coefficient on the endogenous regressor). If you want to go down this route, you might have a look at -weakiv- by Magnusson-Finlay-Schaffer, available from SSC in the usual way.
HTH,
Mark
> -----Original Message-----
> From: [email protected] [mailto:owner-
> [email protected]] On Behalf Of Xiao, Chong
> Sent: 13 February 2014 20:40
> To: [email protected]
> Subject: st: Weak instrument tests in small panel data
>
> Dear statalist users:
>
> I have an unbalanced panel data that consists of about 40 groups in the cross
> section and 21 periods. I have two instruments and one endogenous variable
> that are all time-invariant.
> When I run the 2SLS regression, the Kleibergen-Paap F statistic is below the
> conventional critical value of 10, but the Shea Partial R2 is more than 10% and
> the Anderson-Rubin tests
> also show up strong. The first stage estimates for the instruments are also
> significant. I suspect that it is the small sample that drives the low F statistic.
> But could anyone
> provide more detailed explanations to reconcile the discrepancy between the
> various weak instrument test results? Thanks!
>
> Number of clusters = 47 Number of obs = 876
> Anderson-Rubin Wald test F(2,46)= 6.27 P-val=0.0039
> Anderson-Rubin Wald test Chi-sq(2)= 12.98 P-val=0.0015
> Underidentification test (Kleibergen-Paap rk LM statistic): 10.191
> Chi-sq(2) P-val = 0.0061
> Weak identification test (Cragg-Donald Wald F statistic): 114.638
> (Kleibergen-Paap rk Wald F statistic): 8.952
>
> sheapr2 .20971431
>
> Best,
> Steven Xiao
>
>
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