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Re: st: estat firststage blank results


From   "Brian P. Poi" <bpoi@stata.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: estat firststage blank results
Date   Tue, 14 Apr 2009 08:20:39 -0500 (CDT)

Dear Statalist,

When conducting an IV regression using -ivregress 2sls- and following that up to get statistics indicating the strength of the instruments, using -estat firststage-, the second half of the latter's results don't provide any statistics. In particular, it looks as follows:


 Minimum eigenvalue statistic = 8.91958
 Critical Values                      # of endogenous regressors:    3
 Ho: Instruments are weak             # of excluded instruments:     3
 ---------------------------------------------------------------------
                                    |    5%     10%     20%     30%
 2SLS relative bias                 |         (not available)
 -----------------------------------+---------------------------------
                                    |   10%     15%     20%     25%
 2SLS Size of nominal 5% Wald test  |         (not available)
 LIML Size of nominal 5% Wald test  |         (not available)

Why may that be? There is no clue to this from the stata manual.
Thanks for any thoughts,
Jennifer

Jennifer,

The critical values for the minimum eigenvalue statistic are based on tables of results published in Stock and Yogo (2005). For the 2SLS and LIML sizes of nominal 5% Wald tests, Stock and Yogo only considered the cases where the model has one or two endogenous regressors; since you have 3 endogenous regressors, critical values are not available. For the 2SLS relative bias with 3 endogenous regressors, Stock and Yogo's table only contains critical values for models with at least 5 excluded instruments.

   -- Brian Poi
   -- bpoi@stata.com


Reference
---------
Stock, J and Yogo, M. (2005). Testing for weak instruments in linear IV regression. In _Identification and Inference for Econometric Models: Essays in Honor of Thomas Rothenberg, ed. D. Andrews and J. Stock, 80-108. New York: Cambridge University Press.


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