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Re: st: Re: estat firststage blank results


From   "Brian P. Poi" <bpoi@stata.com>
To   Stata list <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Re: estat firststage blank results
Date   Tue, 14 Apr 2009 14:24:34 -0500 (CDT)

On Tue, 14 Apr 2009, Jennifer Beardsley wrote:


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

 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?


The critical values for the 2SLS relative bias with two endogenous regressors are only available if you have at least four excluded instruments. With one endogenous regressor, the critical values are only available if you have at least three excluded instruments.

   -- Brian Poi
   -- bpoi@stata.com
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