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: [email protected]
Fax: (323)- 259-2704
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