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Re: st: Re: estat firststage blank results


From   Jennifer Beardsley <jenn_beardsley@yahoo.com>
To   Stata list <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Re: estat firststage blank results
Date   Tue, 14 Apr 2009 11:52:48 -0700 (PDT)

Dear Martin, I don't know why my message below didn't post, so I'll try again (see further below).

Dear Brian, many thanks for your response as well. However, you said that the 2sls relative bias statistic is available for 1 or 2 endogenous regressors, not for any more. Note though that in one of my main regressions, I have only 2 end. regressors, but no 2sls relative bias statistic. My equation looks like this: 

.. ivregress 2sls
> lnexpendpa sex_x age_ age2 adult_equiv dist_healthcent primary_enroll 
> (road_per_t_pop yield_temp = rain rain_cv )
> if  year==2000

And the -estat firststage- results look like this:


.. estat firststage

  Shea's partial R-squared
  --------------------------------------------------
               |     Shea's             Shea's
      Variable |  Partial R-sq.   Adj. Partial R-sq.
  -------------+------------------------------------
  road_per_t~p |     0.0065             0.0061
    yield_temp |     0.0057             0.0053
  --------------------------------------------------


  Minimum eigenvalue statistic = 31.4186     

  Critical Values                      # of endogenous regressors:    2
  Ho: Instruments are weak             # of excluded instruments:     2
  ---------------------------------------------------------------------
                                     |    5%     10%     20%     30%
  2SLS relative bias                 |         (not available)
  -----------------------------------+---------------------------------
                                     |   10%     15%     20%     25%
  2SLS Size of nominal 5% Wald test  |   7.03    4.58    3.95    3.63
  LIML Size of nominal 5% Wald test  |   7.03    4.58    3.95    3.63
  ---------------------------------------------------------------------

Any idea why even 2 endog regressors won't produce a 2sls relatie bias statistic?

Best,Jennifer

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