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From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

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

Date |
Thu, 27 Mar 2008 08:46:29 -0000 |

Meg, > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Meghana Ayyagari > Sent: 26 March 2008 21:16 > To: statalist@hsphsun2.harvard.edu > Subject: st: xtivreg2 with clustered standard errors - very > high first stage F > > 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. In your example, you have a single endogenous regressor. This is helpful, because in this special case, the Kleibergen-Paap rk statistic is identical to an F test of the excluded instruments in the first-stage regression. In practice the small-sample dof corrections vary across -regress-, -ranktest-, -ivreg2-, etc., but that's irrelevant in your case. So the easiest way to check what is going on is to run the first-stage regression by hand using -cluster-, which I think in your case means xtivreg2 x1 z1, cluster(cnum) fe small and do an F test of z1. You should get a very similar F stat to the K-P rk F stat reported by -xtivreg2-. If not, please contact me off-list and we'll try to work out what's going on. Cheers, Mark Prof. Mark Schaffer Director, CERT Department of Economics School of Management & Languages Heriot-Watt University, Edinburgh EH14 4AS tel +44-131-451-3494 / fax +44-131-451-3296 email: m.e.schaffer@hw.ac.uk web: http://www.sml.hw.ac.uk/ecomes > > 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 > * > * 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/ > -- Heriot-Watt University is a Scottish charity registered under charity number SC000278 * * 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/

**References**:**st: xtivreg2 with clustered standard errors - very high first stage F***From:*"Meghana Ayyagari" <ayyagarim@gmail.com>

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