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st: Iv reg estimates are too large in stnd errors


From   Shruti Kapoor <kapoor@oxy.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Iv reg estimates are too large in stnd errors
Date   Thu, 19 Nov 2009 17:11:59 -0800

Hi All,
 
I am using ivreg for the first time and am not sure if i can do anything
to improve my results. The biggest problem i am facing is that the stnd
errors on my endogenous variable (morethan2children, even when
instrumented) is quite high. Which makes them insignificant. 
 
Is there any solution to fixing this problem. Below is what i have been
running. 
Any help or suggestion would be appreciated.
 
 
 ivreg2 wrk4pay  age agetry black white asian color yrschl urban
boyfirst (morethan2children=twoboys twogirls) [aw=wtper] if marst==2 , r
obust(sum of wgt is     1.0999e+06)
Warning - collinearities detected
Vars dropped:       white
 
IV (2SLS) estimation
 
Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity
 
                                                      Number of obs =
90511
                                                      F(  9, 90501) =
1640.98
                                                      Prob > F      =
0.0000
Total (centered) SS     =  18904.19625                Centered R2   =
0.1552
Total (uncentered) SS   =  26897.32544                Uncentered R2 =
0.4062
Residual SS             =  15970.85841                Root MSE      =
.4201
 
             |              Robust
     wrk4pay |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval]

morethan2c~n |  -.0191096   .1308071    -0.15   0.884    -.2754868
.2372676
         age |   .0166344   .0066042     2.52   0.012     .0036904
.0295785
      agetry |  -.0015381    .006236    -0.25   0.805    -.0137605
.0106843
       black |  -.2965384   .0119606   -24.79   0.000    -.3199807
-.2730961
       asian |  -.2025844   .0093118   -21.76   0.000    -.2208352
-.1843335
       color |  -.0619381    .010215    -6.06   0.000    -.0819592
-.0419171
      yrschl |   .0160991   .0017973     8.96   0.000     .0125764
.0196218
       urban |   .0629951   .0150462     4.19   0.000     .0335052
.0924851
    boyfirst |  -.0084626   .0030072    -2.81   0.005    -.0143565
-.0025686
       _cons |  -.1698414   .0221104    -7.68   0.000    -.2131771
-.1265058

Underidentification test (Kleibergen-Paap rk LM statistic):
57.237
                                                   Chi-sq(2) P-val =
0.0000

Weak identification test (Kleibergen-Paap rk Wald F statistic):
28.638
Stock-Yogo weak ID test critical values: 10% maximal IV size
19.93
                                         15% maximal IV size
11.59
                                         20% maximal IV size
8.75
                                         25% maximal IV size
7.25
Source: Stock-Yogo (2005).  Reproduced by permission.
NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors.

Hansen J statistic (overidentification test of all instruments):
0.175
                                                   Chi-sq(1) P-val =
0.6761

Instrumented:         morethan2children
Included instruments: age agetry black asian color yrschl urban boyfirst
Excluded instruments: twoboys twogirls
Dropped collinear:    white

 

Shruti Kapoor, Adjunct Instructor

Economics Department, Occidental College

Office: Fowler 214 (enter through Fowler 211)

Phone: (323)- 259-1322

e-mail: kapoor@oxy.edu

Fax: (323)- 259-2704



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