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st: Re: lag endog variables as instruments in ivreg2


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Re: lag endog variables as instruments in ivreg2
Date   Sun, 28 Jun 2009 12:19:02 +0200

<>

"I am estimating my model with 2sls using ivreg2 in Stata and have used
lag values of my endogenous variables as instruments. "

Have you considered -xtabond- (official Stata) or -xtabond2- (user-written)?


HTH
Martin
_______________________
----- Original Message ----- From: "mameezah" <haqm1202@gmail.com>
To: <statalist@hsphsun2.harvard.edu>
Cc: <tabreezsp@yahoo.com>
Sent: Sunday, June 28, 2009 12:06 PM
Subject: st: lag endog variables as instruments in ivreg2


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 .000 -.1129414 -.079607 v40 | -.0169613 .0020569 -8.25 000 -.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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