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st: lag endog variables as instruments in ivreg2


From   mameezah <haqm1202@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: lag endog variables as instruments in ivreg2
Date   Sun, 28 Jun 2009 20:06:12 +1000

Dear Statalisters,
Possibly my question is more of an econometric than something to do
with using Stata. However, running out of my other means I thought to
use Stata listers to clarify some of my confusion.

I am estimating my model with 2sls using ivreg2 in Stata and have used
lag values of my endogenous variables as instruments. I am a bit
concern of Anderson canon. corr. LR statistic  of 5378.702. It would
be helpful to have your valuable comment on this statistics and also
using lag of endogenous variable/s as instrument in 2sls.

In this regard, I have included the stata output of my estimated model
below for your convenience.

Thanks in advance for any of your valuable input.

Mamiza Haq
University of Queensland


Below is the output:
 ivreg2 r7 v33 v37 v40 v43 m15   y97 y98 y99 y00 y01 y02 y03 y04 y05
y06 (v29 v45
>  = l.v29  l.v45 v25),  endog(v29 v45) robust
IV (2SLS) regression with robust standard errors
------------------------------------------------
                                                      Number of obs =     3952
                                                      F( 17,  3934) =    53.13
                                                      Prob > F      =   0.0000
Total (centered) SS     =  585.3429765                Centered R2   =   0.2912
Total (uncentered) SS   =  683.5763175                Uncentered R2 =   0.3931
Residual SS             =  414.8672882                Root MSE      =     .324
------------------------------------------------------------------------------
             |               Robust
          r7 |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
         v29 |   .1501156   .0241436     6.22   0.000      .102795    .1974361
         v45 |   .2575129   .0681073     3.78   0.000     .1240252    .3910007
         v33 |   .0207883   .0105656     1.97   0.049     .0000801    .0414965
         v37 |  -.0962742   .0085038   -11.32   0.000    -.1129414    -.079607
         v40 |  -.0169613   .0020569    -8.25   0.000    -.0209927     -.01293
         v43 |  -.2082114   .0455637    -4.57   0.000    -.2975146   -.1189082
         m15 |   .0183414   .0008159    22.48   0.000     .0167423    .0199404
         y97 |   .0363958   .0215968     1.69   0.092    -.0059332    .0787247
         y98 |   .0892018   .0261002     3.42   0.001     .0380464    .1403572
         y99 |   .0253146   .0213949     1.18   0.237    -.0166186    .0672478
         y00 |   .0049437   .0190883     0.26   0.796    -.0324687    .0423561
         y01 |   .0129248   .0197953     0.65   0.514    -.0258733     .051723
         y02 |   .0272125   .0197594     1.38   0.168    -.0115152    .0659401
         y03 |   .0449799    .019871     2.26   0.024     .0060334    .0839264
         y04 |   .1097093   .0217121     5.05   0.000     .0671543    .1522643
         y05 |   .1857581   .0252958     7.34   0.000     .1361793     .235337
         y06 |   .1453426   .0238486     6.09   0.000     .0986003    .1920849
       _cons |  -1.026569   .0678847   -15.12   0.000     -1.15962   -.8935171
------------------------------------------------------------------------------
Anderson canon. corr. LR statistic (identification/IV relevance test):5378.702
                                                   Chi-sq(2) P-val =    0.0000
------------------------------------------------------------------------------
Hansen J statistic (overidentification test of all instruments):         2.998
                                                   Chi-sq(1) P-val =    0.0834
-endog- option:
Endogeneity test of endogenous regressors:                               7.722
                                                   Chi-sq(2) P-val =    0.0210
Regressors tested:    v29 v45
------------------------------------------------------------------------------
Instrumented:         v29 v45
Included instruments: v33 v37 v40 v43 m15 y97 y98 y99 y00 y01 y02 y03 y04 y05
                      y06
Excluded instruments: L.v29 L.v45 v25
------------------------------------------------------------------------------
. test y97 y98 y99 y00 y01 y02 y03 y04 y05 y06
 ( 1)  y97 = 0
 ( 2)  y98 = 0
 ( 3)  y99 = 0
 ( 4)  y00 = 0
 ( 5)  y01 = 0
 ( 6)  y02 = 0
 ( 7)  y03 = 0
 ( 8)  y04 = 0
 ( 9)  y05 = 0
 (10)  y06 = 0
           chi2( 10) =  135.27
         Prob > chi2 =    0.0000
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