Notice: On March 31, it was **announced** that Statalist is moving from an email list to a **forum**. The old list will shut down on April 23, and its replacement, **statalist.org** is already up and running.

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

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 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**st: RE: xtivreg2 weak-instrument-robust inference***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

- Prev by Date:
**st: is something wrong with fvvarlist "i(3 4).role"?** - Next by Date:
**Re: st: is something wrong with fvvarlist "i(3 4).role"?** - Previous by thread:
**st: is something wrong with fvvarlist "i(3 4).role"?** - Next by thread:
**st: RE: xtivreg2 weak-instrument-robust inference** - Index(es):