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From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: xtivreg2 weak-instrument-robust inference |

Date |
Tue, 13 Jul 2010 16:12:00 +0100 |

Camden, > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Camden Roberts > Sent: 13 July 2010 00:49 > To: statalist@hsphsun2.harvard.edu > Subject: st: xtivreg2 weak-instrument-robust inference > > 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. You haven't given us the regression output, but my guess would be that you are using the cluster-robust covariance estimator, and that have as many or more excluded instruments than you have clusters (or panel units). The artificial regression used for weak-ID-robust inference involves testing all the excluded instruments. If you have more excluded instruments than clusters, you will run into problems because the cluster-robust vcv won't be full rank. In that case, the maximum number of constraints you can test will be the number of clusters (minus 1, I think), which isn't enough. But this is just a guess! --Mark > 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/ > -- Heriot-Watt University is a Scottish charity registered under charity number SC000278. * * 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**:**Re: st: RE: xtivreg2 weak-instrument-robust inference***From:*Camden Roberts <statacr@gmail.com>

**References**:**st: xtivreg2 weak-instrument-robust inference***From:*Camden Roberts <statacr@gmail.com>

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