[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

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 --- On Mon, 4/13/09, Jennifer Beardsley <jenn_beardsley@yahoo.com> wrote: From: Jennifer Beardsley <jenn_beardsley@yahoo.com> Subject: st: Re: estat firststage blank results To: "Stata list" <statalist@hsphsun2.harvard.edu> Date: Monday, April 13, 2009, 9:31 PM Dear Martin, Interesting, I had not known about this -trace- command. I followed your suggestion, below is the area where "not available" shows up (it shows up three times). I bolded and redded it, but not sure if formatting is retained on statalist. If not, a simple ctrl-search can find the 3 instances of "not available". Looking at the output, it looks quite complex to me, please let me know if you can interpret from this. Thanks, Jennifer Minimum eigenvalue statistic = 8.50405 - di - di as text _col(3) "Critical Values" _col(40) "# of endogenous regressors:" as > res %5.0f `nendog' = di as text _col(3) "Critical Values" _col(40) "# of endogenous regressors:" as > res %5.0f 3 Critical Values # of endogenous regressors: 3 - di as text _col(3) "Ho: Instruments are weak" _col(40) "# of excluded instrumen > ts: " as res %5.0f `nexclexog' = di as text _col(3) "Ho: Instruments are weak" _col(40) "# of excluded instrumen > ts: " as res %5.0f 4 Ho: Instruments are weak # of excluded instruments: 4 - di as text _col(3) "{hline 35}{c TT}{hline 33}" --------------------------------------------------------------------- - di as text _col(38) "{c |}" _col(43) "5% 10% 20% 30%" | 5% 10% 20% 30% - di as text _col(3) "2SLS relative bias" _col(38) "{c |}" _c 2SLS relative bias | - if `mineigcv'[1,1] < . { = if __00000H[1,1] < . { di as res _col(41) %5.2f `mineigcv'[1,1] _col(49) %5.2f `mineigcv'[1,2] _col(57 > ) %5.2f `mineigcv'[1,3] _col(65) %5.2f `mineigcv'[1,4] } - else { - di as text _col(48) "(not available)" (not available) - } - di as text _col(3) "{hline 35}{c +}{hline 33}" -----------------------------------+--------------------------------- - di as text _col(38) "{c |}" _col(42) "10% 15% 20% 25%" | 10% 15% 20% 25% - di as text _col(3) "2SLS Size of nominal 5% Wald test" _col(38) "{c |}" _c 2SLS Size of nominal 5% Wald test | - if `mineigcv'[2,1] < . { = if __00000H[2,1] < . { di as res _col(41) %5.2f `mineigcv'[2,1] _col(49) %5.2f `mineigcv'[2,2] _col(57 > ) %5.2f `mineigcv'[2,3] _col(65) %5.2f `mineigcv'[2,4] } - else { - di as text _col(48) "(not available)" (not available) - } - di as text _col(3) "LIML Size of nominal 5% Wald test" _col(38) "{c |}" _c LIML Size of nominal 5% Wald test | - if `mineigcv'[2,1] < . { = if __00000H[2,1] < . { di as res _col(41) %5.2f `mineigcv'[3,1] _col(49) %5.2f `mineigcv'[3,2] _col(57 > ) %5.2f `mineigcv'[3,3] _col(65) %5.2f `mineigcv'[3,4] } - else { - di as text _col(48) "(not available)" (not available) - } - di as text _col(3) "{hline 35}{c BT}{hline 33}" --------------------------------------------------------------------- From "Martin Weiss" <martin.weiss1@gmx.de> To <statalist@hsphsun2.harvard.edu> Subject st: Re: estat firststage blank results Date Tue, 14 Apr 2009 02:25:47 +0200 <> -set trace on- with -set tracehilite "not available"- and report the area where the phrase appears in bold... HTH Martin _______________________ ----- Original Message ----- From: "Jennifer Beardsley" <jenn_beardsley@yahoo.com> To: <statalist@hsphsun2.harvard.edu> Sent: Tuesday, April 14, 2009 2:18 AM Subject: st: estat firststage blank results 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 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

- Prev by Date:
**Re: st: Re: estat firststage blank results** - Next by Date:
**st: -regexm- problem** - Previous by thread:
**Re: st: Re: estat firststage blank results** - Next by thread:
**st: -regexm- problem** - Index(es):

© Copyright 1996–2015 StataCorp LP | Terms of use | Privacy | Contact us | What's new | Site index |