Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

re : st: re: 2SLS and Hausman test


From   Claude Francoeur <claude.francoeur@hec.ca>
To   statalist@hsphsun2.harvard.edu
Subject   re : st: re: 2SLS and Hausman test
Date   Wed, 28 Nov 2007 11:57:04 -0500

Thanks for the reply Kit,

I am getting results from Stata (see below) using the following syntax :

ivreg2 ad pse bonus leverage pricebook lnsize blockown (roa = beta 
corp_gov), endog (roa)

Could you give me brief explanations concerning the following questions :

The endog test does not reject the exogeneity of "roa". Is this test done 
after considering the instrumental variables (beta and corp_gov)?  In other 
words, could I have used an OLS regression? Could other variables in my 
model suffer from endogeneity? Is this testable?

How do I know if the IVs I used are correct? Can I re-use any of the 
exogeneous variables as IVS for "roa"?

Thanks very much for your help,

Claude


IV (2SLS) estimation
--------------------

Estimates efficient for homoskedasticity only
Statistics consistent for homoskedasticity only

                                                      Number of obs = 
125
                                                      F(  7,   117) = 
2.56
                                                      Prob > F      = 
0.0173
Total (centered) SS     =  .1726846849                Centered R2   = 
0.1285
Total (uncentered) SS   =  .4273419954                Uncentered R2 = 
0.6478
Residual SS             =  .1504946844                Root MSE      = 
.0347

------------------------------------------------------------------------------
       absad |      Coef.   Std. Err.      z    P>|z|     [95% Conf. 
Interval]
-------------+----------------------------------------------------------------
         roa |   .0005476   .0010238     0.53   0.593     -.001459 
.0025542
         pse |  -.0104876   .0046072    -2.28 
0.023    -.0195176   -.0014576
       bonus |   .0308946   .0310179     1.00   0.319    -.0298993 
.0916885
    leverage |  -.0180951   .0078834    -2.30 
0.022    -.0335463   -.0026439
   pricebook |   .0003074   .0014905     0.21   0.837    -.0026138 
.0032287
      lnsize |   -.001135   .0009475    -1.20   0.231     -.002992 
.000722
    blockown |  -.0001686   .0001738    -0.97   0.332    -.0005094 
.0001721
       _cons |   .1115809   .0247104     4.52   0.000     .0631495 
.1600123
------------------------------------------------------------------------------
Underidentification test (Anderson canon. corr. LM statistic): 
11.877
                                                   Chi-sq(2) P-val = 
0.0026
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic): 
6.090
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.
------------------------------------------------------------------------------
Sargan statistic (overidentification test of all instruments): 
0.927
                                                   Chi-sq(1) P-val = 
0.3357
-endog- option:
Endogeneity test of endogenous regressors: 
0.103
                                                   Chi-sq(1) P-val = 
0.7483
Regressors tested:    roa
------------------------------------------------------------------------------
Instrumented:         roa
Included instruments: pse bonus leverage pricebook lnsize blockown
Excluded instruments: beta corp_gov
------------------------------------------------------------------------------


*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index