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st: xtivreg2 weak-instrument-robust inference


From   Camden Roberts <statacr@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: xtivreg2 weak-instrument-robust inference
Date   Mon, 12 Jul 2010 19:49:23 -0400

Hello all,

I am attempting to use the xtivreg2 command and have a question about
the weak-instrument-robust inference statistics.  In particular, when
I estimate the model I receive the following missing statistics:

Weak-instrument-robust inference
Tests of joint significance of endogenous regressors B1 in main equation
Ho: B1=0 and overidentifying restrictions are valid
Anderson-Rubin Wald test     F(0,159)= .         P-val=     .
Anderson-Rubin Wald test     Chi-sq(0)=.         P-val=     .
Stock-Wright LM S statistic  Chi-sq(0)=186.00    P-val=     .

With the exception of these missing statistics, the other tests for
identification seem to suggest that the model is identified.  The
output for these tests is below:

------------------------------------------------------------------------------
Partial R-squared of excluded instruments:   0.4127
Test of excluded instruments:
  F( 10,   160) =    11.24
  Prob > F      =   0.0000

Summary results for first-stage regressions
-------------------------------------------

Variable    | Shea Partial R2 |   Partial R2    |  F( 10,   160)    P-value
lntotlimclas|     0.4127      |     0.4127      |       11.24       0.0000

Underidentification tests
Ho: matrix of reduced form coefficients has rank=K1-1 (underidentified)
Ha: matrix has rank=K1 (identified)
Anderson canon. corr. N*CCEV LM statistic   Chi-sq(10)=76.75   P-val=0.0000
Cragg-Donald N*CDEV Wald statistic          Chi-sq(10)=130.68  P-val=0.0000

Weak identification test
Ho: equation is weakly identified
Cragg-Donald Wald F-statistic                      11.24
See main output for Cragg-Donald weak id test critical values

Underidentification test (Anderson canon. corr. LM statistic):          76.755
                                                   Chi-sq(10) P-val =   0.0000

If anyone has an idea of why I may be having this problem, I would
greatly appreciate any assistance you could provide.


Thank you all,


Camden Roberts
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