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st: RE: IV reg est with high standard errors


From   Shruti Kapoor <kapoor@oxy.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: RE: IV reg est with high standard errors
Date   Fri, 20 Nov 2009 09:49:06 -0800

Thank You all for your comments. Yes I am trying to do something very
similar to Angrist 1998, but for South Africa in this case. So if I
understand correctly, having high standard errors is a common problem
when one uses Ivs, however since the z-values are low and p-values high
would it still be safe to assume there is causality however with low
prediction power? 

Going back to Asutin's point about clustering, I have only one year of
data so I was not sure if I should still go ahead and cluster? I am also
not clear about what variable to use for clustering in this case. Any
suggestions? 

Thanks once again for all the help.
Shruti

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


-----Original Message-----
From: Shruti Kapoor 
Sent: Thursday, November 19, 2009 9:29 PM
To: 'statalist@hsphsun2.harvard.edu.'
Subject: IV reg est with high standard errors 

Hi All, 
 
I am doing IV regressions using ivreg2, while my OLS estimates are all
significant with the right signs etc, the 2SLS results have unusually
high standard errors. 
 
Here is a sample of the results, could you please provide me some
insight on how I can correct for the standard errors. 
The command I am using is ivreg2 wrk4pay age agetry black asian color
yrschl urban (morethan2children= twoboy twogirls)
 
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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