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st: re: Question Regarding the First-Stage Regression of xtivreg2


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: Question Regarding the First-Stage Regression of xtivreg2
Date   Thu, 16 Jul 2009 13:11:48 -0400

<>

from -help ivreg2- (SSC):

The first-stage output also includes two statistics that provide weak- instrument robust inference for testing the significance of the endogenous regressors in the structural equation being estimated. The first statistic is the Anderson-Rubin (1949) test (not to be confused with the Anderson-Rubin overidentification test for LIML estimation; see above). The second is the closely related Stock-Wright (2000) S statistic. The null hypothesis tested in both cases is that the coefficients of the endogenous regressors in the structural equation are jointly equal to zero, and, in addition, that the overidentifying restrictions are valid. Both tests are robust to the presence of weak instruments. The tests are equivalent to estimating the reduced form of the equation (with the full set of instruments as regressors) and testing that the coefficients of the excluded instruments are jointly equal to zero. In the form reported by ivreg2,the Anderson-Rubin statistic is a Wald test and the Stock-Wright S statistic is a GMM- distance test. Both statistics are distributed as chi-squared with L1 degrees of freedom, where L1=number of excluded instruments.


The A-R Wald test and Stock-Wright S statistic can be calculated even for exactly identified equations.
See http://ideas.repec.org/a/tsj/stataj/v7y2007i4p465-506.html
or its working paper version (freely available).

-xtivreg2- from SSC is a 'wrapper' for -ivreg2-, so you should consult the -ivreg2- documentation for its features.

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html



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