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Re: st: xtivreg2 with clustered standard errors - very high firststage F


From   anders10@u.washington.edu
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: xtivreg2 with clustered standard errors - very high firststage F
Date   Wed, 26 Mar 2008 14:41:02 -0700 (PDT)

Meg,

Look at whether or not the number of clusters is more or less than the number of RHS variables.    Also check the standard errors on RHS in the first stage.

Best Regards,

Robin J Anderson

Economics Graduate Student

University of Washington

On Wed, 26 Mar 2008, Meghana Ayyagari wrote:

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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