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| From | "Xiao, Chong" <chong.Xiao@scheller.gatech.edu> |
| To | "<statalist@hsphsun2.harvard.edu>" <statalist@hsphsun2.harvard.edu> |
| Subject | Re: st: RE: Weak instrument tests in small panel data |
| Date | Sat, 15 Feb 2014 15:42:54 +0000 |
Mark, Thanks for your reply. Does it mean that for regressions with weak instruments, I should focus on those IV robust test results (Anderson-Rubin and other -weakiv- output) rather than the second stage estimate of standard errors in interpreting the effect of the endogenous variable? Also the Anderson-Rubin result from -weakiv- seems to differ from that generated in -ivreg2-. Why is that? Steven On Feb 14, 2014, at 7:45 AM, "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> wrote: > 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: owner-statalist@hsphsun2.harvard.edu [mailto:owner- >> statalist@hsphsun2.harvard.edu] On Behalf Of Xiao, Chong >> Sent: 13 February 2014 20:40 >> To: statalist@hsphsun2.harvard.edu >> 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 >> >> >> * >> * 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/ > > > ----- > Sunday Times Scottish University of the Year 2011-2013 > Top in the UK for student experience > Fourth university in the UK and top in Scotland (National Student Survey 2012) > > > We invite research leaders and ambitious early career researchers to > join us in leading and driving research in key inter-disciplinary themes. > Please see www.hw.ac.uk/researchleaders for further information and how > to apply. > > Heriot-Watt University is a Scottish charity > registered under charity number SC000278. > > > * > * 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/ * * 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/