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st: _rivtest_ for waek intruments


From   Filipa de Castro <filipa.castro@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: _rivtest_ for waek intruments
Date   Fri, 30 Oct 2009 07:58:49 -0600

Dear all,

Following Mark Schaeffer´s suggestion I am estimating an instrument
regression with weak instruments using
ivreg2, and using the post-estimation programme (rivtest). My output
after running rivtest is like this:

************
xi: ivreg2 goschool edad indchild oldest child45 child6 lowsixfam
edumam1 edumam2 edumam35 edumam68 edumam912 mommarried  madrejefefam
ownhome  survfam  madremigfam smalltown divorcesep agricolaheadspouse
ctapropheadspouse oladummy i.iden (hasmigr_US= instrpi* instrac2*) if
sex==1   & edad_10_13==1

rivtest, ci

Weak instrument robust tests and confidence sets for    linear IV
H0: beta[goschool:hasmigr_US] = 0


         Test       Statistic                        p-value           95%
Confidence Set

CLR  stat(.)  =    64.31   Prob > stat =   0.0000
[-1.75073,-.539857]
AR  chi2(32) =   139.39   Prob > chi2 =   0.0000
[-2.548374,-.2742049]
LM  chi2(1)  =    39.41   Prob > chi2 =0.0000
[-1.761058,-.5351977] U [ 1.438614, 2.739162]
J  chi2(31) =      99.98   Prob > chi2 =   0.0000

LM-J              H0 rejected at 5% level

Wald  chi2(1)  =    32.29   Prob > chi2 =   0.0000
[-.863005,-.420344]

Note: Wald test not robust to weak instruments. LM-J    confidence      set
not available with closed-form estimation (use  usegrid option).
************

I wonder if you could help with the following question:
I see that _rivtest_ does an hypothesis test in which Ho means that
the endogenous variable coefficient is zero. In this particular case
the coefficient of the endogenous variable is statistically different
from zero. Considering that estimation with weak instruments could
lead to biased estimates, is there a way to find the real level of the
coefficient of the endogenous variable?

Many thanks
Filipa de Castro

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