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st: xtivreg2 with clustered standard errors - very high first stage F


From   "Meghana Ayyagari" <ayyagarim@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtivreg2 with clustered standard errors - very high first stage F
Date   Wed, 26 Mar 2008 17:16:25 -0400

Hi,

I am using xtivreg2 to estimate a fixed effects model. My data is a
cross-section of firms across countries. My concern is that while the
instruments seem to pass all the tests of weak instruments, the first
stage F-stat (and the corresponding Kleibergen-Paap Wald rk F
statistic) is extremely high making me wonder if there is something
wrong here. This seems to be the case only when I ask for clustered
standard errors. Could someone please help me interpret this? I am
posting the output below.

Thanks

Meg

xtivreg2 gro size (x1=z1), cluster(cnum) fe ffirst liml
FIXED EFFECTS ESTIMATION
------------------------
Number of groups =        79                    Obs per group: min =       15
                                                               avg =      78.9
                                                               max =       378

Summary results for first-stage regressions
-------------------------------------------
Variable    | Shea Partial R2 |   Partial R2    |  F(  1,    78)    P-value
gcf         |     0.0585      |     0.0585      |    17074.85       0.0000

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(1)=50.27    P-val=0.0000
Kleibergen-Paap rk Wald statistic           Chi-sq(1)=17296.53 P-val=0.0000

Weak identification test
Ho: equation is weakly identified
Kleibergen-Paap Wald rk F statistic             17074.85
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(1,78)=  3.98      P-val=0.0497
Anderson-Rubin Wald test     Chi-sq(1)=4.03      P-val=0.0448
Stock-Wright LM S statistic  Chi-sq(1)=3.46      P-val=0.0628
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