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st: question on ivreg2


From   "Ngo,PT (pgr)" <P.T.Ngo@lse.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: question on ivreg2
Date   Tue, 30 Mar 2004 22:40:35 +0100

Dear Statalisters,

I would like to send a big thank you to Christopher Baum, Mark Schaffer and Steven Stillman for their excellent, very useful  paper "Instrumental variables and GMM: Estimation and Testing", and for developing ivreg2.

Could someone help answer questions that arose when I tried to use ivreg2? Pls forgive me if they are basic questions.

1- In the examples shown in the help file for ivreg2, the test for heteroskedasticity in IV/GMM estimation is indicated with the option fitlev (fitted values). Why is this option needed ? I obtain different results when including (cannot reject null of homoskestaticity) and omitting (reject null of homoskestaticity) the fitlev option (see output below).

2- What are centered and uncentered R-square ? I do not understand why in some of the ivreg I ran, I also obtained negative r-squares.

3- I am using ivreg2 on a two-year panel data, on variables that have been first differenced. One variable may be endogenous (criyielA) and would need to be instrumented for. In their paper, Baum et al caution against the use of  instrument with little explanatory power and propose a rule of thumb of an F-stat above 10. It is very difficult for me to find relevant excluded instruments and the F-stat is below 10. What would be your advice ?

Thanks a lot in advance for your help,

Best regards,

Thi Minh
PS: example of output below


First-stage regressions
-----------------------

First-stage regression of criyielA:

OLS regression with robust standard errors
------------------------------------------

                                                      Number of obs =     3370
                                                      F( 20,  3349) =     8.20
                                                      Prob > F      =   0.0000
Total (centered) SS     =  8667.132874                Centered R2   =   0.0414
Total (uncentered) SS   =  9010.059308                Uncentered R2 =   0.0778
Residual SS             =  8308.706362                Root MSE      =   1.5751

------------------------------------------------------------------------------
             |               Robust
    criyielA |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
cprod92_lp~e |  -1.64e-07   2.94e-07    -0.56   0.577    -7.41e-07    4.13e-07
 clriceprice |  -1.292931   .1453145    -8.90   0.000    -1.577845   -1.008017
    lanupc92 |  -.0143288   .0106115    -1.35   0.177    -.0351344    .0064769
     chhsize |   .0277972   .0179343     1.55   0.121    -.0073661    .0629605
   chhsizesq |   6.56e-12   6.50e-12     1.01   0.313    -6.19e-12    1.93e-11
       cf04s |   .3489401   .2765587     1.26   0.207    -.1933009    .8911811
       cf59s |   .1901888   .2751527     0.69   0.489    -.3492955    .7296731
     cf1014s |  -.2640732    .254593    -1.04   0.300    -.7632467    .2351003
       cm04s |   .2340304   .3009332     0.78   0.437     -.356001    .8240618
       cm59s |   .7453756   .2718197     2.74   0.006     .2124262    1.278325
     cm1014s |   .5206262   .2808137     1.85   0.064    -.0299575     1.07121
   croadnew8 |  -.1269749   .0570803    -2.22   0.026    -.2388907   -.0150591
  cmarketdis |   .0301164   .0061014     4.94   0.000     .0181536    .0420793
    croadist |  -.0026464   .0052559    -0.50   0.615    -.0129515    .0076587
     cm1555s |   .3649849   .1925192     1.90   0.058    -.0124822     .742452
  cirrignew8 |   .2189353   .0634521     3.45   0.001     .0945265    .3433441
      cpest4 |   .3339898   .0771071     4.33   0.000      .182808    .4851715
      cpest5 |  -.1898401   .0683461    -2.78   0.006    -.3238443   -.0558359
      cpest6 |   -.092264   .0772317    -1.19   0.232    -.2436902    .0591621
      cpest7 |  -.1746922   .0659641    -2.65   0.008    -.3040261   -.0453583
       _cons |   .5711068    .075765     7.54   0.000     .4225564    .7196571
------------------------------------------------------------------------------
Partial R-squared of excluded instruments:   0.0122
Test of excluded instruments:
  F(  6,  3349) =     6.71
  Prob > F      =   0.0000

Summary results for first-stage regressions:

                Shea
Variable      Partial R2      Partial R2       F(  6,  3349)    P-value
criyielA        0.0122          0.0122              6.71         0.0000

NB: first-stage F-stat heteroskedasticity-robust



GMM estimation
--------------

                                                      Number of obs =     3370
                                                      F( 15,  3354) =    33.06
                                                      Prob > F      =   0.0000
Total (centered) SS     =  76.61568406                Centered R2   =   0.0439
Total (uncentered) SS   =  107.2221951                Uncentered R2 =   0.3168
Residual SS             =  73.24985164                Root MSE      =  .147431

------------------------------------------------------------------------------
             |               Robust
  cpovgapsqi |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
    criyielA |  -.0372633   .0151439    -2.46   0.014    -.0669447   -.0075819
cprod92_lp~e |  -1.10e-07   1.62e-08    -6.77   0.000    -1.42e-07   -7.82e-08
 clriceprice |  -.0717184   .0223985    -3.20   0.001    -.1156187    -.027818
    lanupc92 |   .0008063   .0010795     0.75   0.455    -.0013095    .0029222
     chhsize |   .0211054   .0020391    10.35   0.000     .0171089    .0251019
   chhsizesq |   4.74e-12   1.58e-12     3.01   0.003     1.65e-12    7.82e-12
       cf04s |   .2742387   .0270709    10.13   0.000     .2211807    .3272968
       cf59s |   .1364704   .0249785     5.46   0.000     .0875134    .1854273
     cf1014s |   .0050872   .0224207     0.23   0.821    -.0388565    .0490309
       cm04s |   .2357753   .0265897     8.87   0.000     .1836604    .2878901
       cm59s |   .1237924   .0246343     5.03   0.000       .07551    .1720747
     cm1014s |   .0513214   .0219281     2.34   0.019     .0083432    .0942996
   croadnew8 |  -.0090448   .0052677    -1.72   0.086    -.0193692    .0012797
  cmarketdis |  -.0017687   .0007171    -2.47   0.014    -.0031742   -.0003632
    croadist |  -.0009817   .0003324    -2.95   0.003    -.0016332   -.0003301
       _cons |  -.0559418   .0106129    -5.27   0.000    -.0767427   -.0351409
------------------------------------------------------------------------------
Hansen J statistic (overidentification test of all instruments):         4.301
                                                   Chi-sq(5) P-val =   0.50693
-orthog- option:
Hansen J statistic for unrestricted equation:                            0.000
                                                   Chi-sq(1) P-val =   0.98983
C statistic (exogeneity/orthogonality of specified instruments):         4.301
                                                   Chi-sq(4) P-val =   0.36681
Instruments tested: cpest4 cpest5 cpest6 cpest7
------------------------------------------------------------------------------
Instrumented:  criyielA
Instruments:   cm1555s cirrignew8 cpest4 cpest5 cpest6 cpest7 cprod92_lprice
               clriceprice lanupc92 chhsize chhsizesq cf04s cf59s cf1014s cm04s
               cm59s cm1014s croadnew8 cmarketdis croadist
------------------------------------------------------------------------------

. ivhettest, all
IV heteroskedasticity test(s) using levels and cross products of all IVs
Ho: Disturbance is homoskedastic
    Pagan-Hall general test statistic   : 311.008  Chi-sq(224) P-value = 0.0001
    Pagan-Hall test w/assumed normality : 417.918  Chi-sq(224) P-value = 0.0000
    White/Koenker nR2 test statistic    : 469.100  Chi-sq(224) P-value = 0.0000
    Breusch-Pagan/Godfrey/Cook-Weisberg : 636.519  Chi-sq(224) P-value = 0.0000

. ivhettest, all fitlev
IV heteroskedasticity test(s) using fitted value (X-hat*beta-hat)
Ho: Disturbance is homoskedastic
    Pagan-Hall general test statistic   :   1.444  Chi-sq(1) P-value = 0.2296
    Pagan-Hall test w/assumed normality :   1.957  Chi-sq(1) P-value = 0.1619
    White/Koenker nR2 test statistic    :   1.495  Chi-sq(1) P-value = 0.2214
    Breusch-Pagan/Godfrey/Cook-Weisberg :   2.029  Chi-sq(1) P-value = 0.1543

. 

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