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Re: st: RE: xtivreg2 weak-instrument-robust inference


From   Camden Roberts <[email protected]>
To   [email protected]
Subject   Re: st: RE: xtivreg2 weak-instrument-robust inference
Date   Tue, 13 Jul 2010 11:36:00 -0400

Dr. Schaffer,

Thank you for the response, I really appreciate it.  For what it is
worth, I have included my output below in case there are any further
insights anyone could provide.

. xtivreg2 lntotpremclass_avg notimpactedNOBlnchget
notimpactedNOBlnclaimsuspt notimpactedNOBllntotprem
notimpactedNOBllntotlim  notimpactedNOBuncertainty1 notimpactedNOB03
notimpactedNOBperiod4 notimpactedNOBperiod5 impactedNOBlnchget
impactedNOBlnclaimsuspt impactedNOBllntotprem impactedNOBllntotlim
impactedNOBuncertainty1 impactedNOB03 impactedNOBperiod4
impactedNOBperiod5 (lntotlimclass_avg=notimpactedNOBlnclaimsuspt
notimpactedNOBlntotprem notimpactedNOBllntotprem
impactedNOBlnclaimsuspt impactedNOBlntotprem impactedNOBllntotprem
lnavg_totalassets lnavg_discontop lnavg_estdoubtrecv lnavg_investcap
lnavg_debttoequity lnavg_pensionexp lnavg_netprofitmargin  lnavg_quick
notimpactedNOBuncertainty1 notimpactedNOB03 notimpactedNOBperiod4
notimpactedNOBperiod5  impactedNOBuncertainty1 impactedNOB03
impactedNOBperiod4 impactedNOBperiod5), first  gmm2 fe
Warning - singleton groups detected.  1 observation(s) not used.
Warning - duplicate variables detected
Duplicates:    notimpactedNOBlnclaimsuspt notimpactedNOBllntotprem
impactedNOBlnclaimsuspt impactedNOBllntotprem
               notimpactedNOBuncertainty1 notimpactedNOB03
notimpactedNOBperiod4 notimpactedNOBperiod5
impactedNOBuncertainty1 impactedNOB03 impactedNOBperiod4
impactedNOBperiod5

FIXED EFFECTS ESTIMATION
------------------------
Number of groups =        14                    Obs per group: min =         7
                                                               avg =      14.3
                                                               max =        16

First-stage regressions
-----------------------

First-stage regression of lntotlimclass_avg:

FIXED EFFECTS ESTIMATION
------------------------
Number of groups =        14                    Obs per group: min =         7
                                                               avg =      14.3
                                                               max =        16

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics consistent for homoskedasticity only

                                                      Number of obs =      200
                                                      F( 26,   160) =    33.51
                                                      Prob > F      =   0.0000
Total (centered) SS     =  20.97721972                Centered R2   =   0.8448
Total (uncentered) SS   =  20.97721972                Uncentered R2 =   0.8448
Residual SS             =  3.254944993                Root MSE      =    .1426

------------------------------------------------------------------------------
lntotlimcl~g |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
not~Blnchget |  -.0414577    .021775    -1.90   0.059    -.0844612    .0015458
notimpacte.. |   .0924537   .0536503     1.72   0.087    -.0135004    .1984079
notimpacte.. |    -.23722   .0588693    -4.03   0.000     -.353481    -.120959
n~Bllntotlim |   .6098831   .0625331     9.75   0.000     .4863864    .7333799
notimpacte.. |  -.0047151   .0557134    -0.08   0.933    -.1147434    .1053133
notimpac~B03 |  -.3623428   .0795988    -4.55   0.000    -.5195426    -.205143
not~Bperiod4 |  -.2170987   .0764569    -2.84   0.005    -.3680935   -.0661038
not~Bperiod5 |  -.2226961   .0985589    -2.26   0.025    -.4173403   -.0280519
impactedN~et |  -.0674339    .041296    -1.63   0.104    -.1489894    .0141215
impactedN~pt |   .2319278   .1127642     2.06   0.041     .0092296    .4546259
impactedNO.. |  -.2321764   .0859004    -2.70   0.008    -.4018213   -.0625315
i~Bllntotlim |    .664471    .104069     6.38   0.000     .4589449     .869997
impactedN~y1 |  -.0693409   .0858992    -0.81   0.421    -.2389833    .1003014
impactedN~03 |  -.3001218   .1302113    -2.30   0.022    -.5572763   -.0429673
impactedNO~4 |  -.0044267   .1007324    -0.04   0.965    -.2033633    .1945098
impactedNO~5 |   -.134695   .1098232    -1.23   0.222    -.3515849    .0821949
n~Blntotprem |   .4110068   .0483461     8.50   0.000     .3155279    .5064857
i~Blntotprem |   .3657071   .0679038     5.39   0.000     .2316038    .4998105
lnavg_tota~s |  -.0293143   .1880292    -0.16   0.876    -.4006535    .3420249
lnavg_disc~p |  -.0392525   .0422026    -0.93   0.354    -.1225985    .0440936
lnavg_estd~v |   .0115162   .0420492     0.27   0.785    -.0715268    .0945593
lnavg_inve~p |   .0876884   .1661616     0.53   0.598    -.2404643    .4158411
lnavg_debt~y |  -.0431072   .0301739    -1.43   0.155    -.1026977    .0164833
lnavg_pens~p |   .0984751   .0529745     1.86   0.065    -.0061444    .2030946
lnavg_netp~n |  -.0193907    .020282    -0.96   0.340    -.0594457    .0206643
 lnavg_quick |   .0204199   .0260387     0.78   0.434    -.0310039    .0718437
------------------------------------------------------------------------------
Included instruments: notimpactedNOBlnchget notimpactedNOBlnclaimsuspt
                      notimpactedNOBllntotprem notimpactedNOBllntotlim
                      notimpactedNOBuncertainty1 notimpactedNOB03
                      notimpactedNOBperiod4 notimpactedNOBperiod5
                      impactedNOBlnchget impactedNOBlnclaimsuspt
                      impactedNOBllntotprem impactedNOBllntotlim
                      impactedNOBuncertainty1 impactedNOB03 impactedNOBperiod4
                      impactedNOBperiod5 notimpactedNOBlntotprem
                      impactedNOBlntotprem lnavg_totalassets lnavg_discontop
                      lnavg_estdoubtrecv lnavg_investcap lnavg_debttoequity
                      lnavg_pensionexp lnavg_netprofitmargin lnavg_quick
------------------------------------------------------------------------------
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

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(0,160)= .         P-val=     .
Anderson-Rubin Wald test     Chi-sq(0)=.         P-val=     .
Stock-Wright LM S statistic  Chi-sq(0)=186.00    P-val=     .

Number of observations               N  =        200
Number of regressors                 K  =         17
Number of instruments                L  =         26
Number of excluded instruments       L1 =          0

2-Step GMM estimation
---------------------

Estimates efficient for homoskedasticity only
Statistics consistent for homoskedasticity only

                                                      Number of obs =      200
                                                      F( 17,   169) =    15.61
                                                      Prob > F      =   0.0000
Total (centered) SS     =   31.0461138                Centered R2   =   0.3902
Total (uncentered) SS   =   31.0461138                Uncentered R2 =   0.3902
Residual SS             =  18.93051061                Root MSE      =     .319

------------------------------------------------------------------------------
lntotpremc~g |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
lntotlimcl~g |   2.326373   .2109605    11.03   0.000     1.912898    2.739848
not~Blnchget |   .0933379   .0477317     1.96   0.051    -.0002145    .1868902
notimpacte.. |  -.2315362   .1232914    -1.88   0.060     -.473183    .0101106
notimpacte.. |   .6563093   .1128591     5.82   0.000     .4351095    .8775091
n~Bllntotlim |  -1.552661   .1828108    -8.49   0.000    -1.910963   -1.194358
notimpacte.. |   -.032614   .1162611    -0.28   0.779    -.2604816    .1952536
notimpac~B03 |   .7392444   .1539487     4.80   0.000     .4375105    1.040978
not~Bperiod4 |    .276797   .1151437     2.40   0.016     .0511194    .5024745
not~Bperiod5 |   .2025452   .1635763     1.24   0.216    -.1180585    .5231489
impactedN~et |   .1760424   .0889913     1.98   0.048     .0016226    .3504622
impactedN~pt |  -.4269839   .2455661    -1.74   0.082    -.9082846    .0543169
impactedNO.. |   .7653095   .1609672     4.75   0.000     .4498195    1.080799
i~Bllntotlim |  -1.730799   .2568545    -6.74   0.000    -2.234225   -1.227374
impactedN~y1 |   .1134413   .1793928     0.63   0.527    -.2381621    .4650447
impactedN~03 |   .6359842   .2498756     2.55   0.011      .146237    1.125731
impactedNO~4 |  -.1672743   .1807224    -0.93   0.355    -.5214837    .1869351
impactedNO~5 |   .1720849   .2060627     0.84   0.404    -.2317907    .5759604
------------------------------------------------------------------------------
Underidentification test (Anderson canon. corr. LM statistic):          76.755
                                                   Chi-sq(10) P-val =   0.0000
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic):               11.241
Stock-Yogo weak ID test critical values:  5% maximal IV relative bias    20.74
                                         10% maximal IV relative bias    11.49
                                         20% maximal IV relative bias     6.61
                                         30% maximal IV relative bias     4.86
                                         10% maximal IV size             38.54
                                         15% maximal IV size             20.88
                                         20% maximal IV size             14.78
                                         25% maximal IV size             11.65
Source: Stock-Yogo (2005).  Reproduced by permission.
------------------------------------------------------------------------------
Sargan statistic (overidentification test of all instruments):          12.918
                                                   Chi-sq(9) P-val =    0.1664
------------------------------------------------------------------------------
Instrumented:         lntotlimclass_avg
Included instruments: notimpactedNOBlnchget notimpactedNOBlnclaimsuspt
                      notimpactedNOBllntotprem notimpactedNOBllntotlim
                      notimpactedNOBuncertainty1 notimpactedNOB03
                      notimpactedNOBperiod4 notimpactedNOBperiod5
                      impactedNOBlnchget impactedNOBlnclaimsuspt
                      impactedNOBllntotprem impactedNOBllntotlim
                      impactedNOBuncertainty1 impactedNOB03 impactedNOBperiod4
                      impactedNOBperiod5
Excluded instruments: notimpactedNOBlntotprem impactedNOBlntotprem
                      lnavg_totalassets lnavg_discontop lnavg_estdoubtrecv
                      lnavg_investcap lnavg_debttoequity lnavg_pensionexp
                      lnavg_netprofitmargin lnavg_quick
Duplicates:           notimpactedNOBlnclaimsuspt notimpactedNOBllntotprem
                      impactedNOBlnclaimsuspt impactedNOBllntotprem
                      notimpactedNOBuncertainty1 notimpactedNOB03
                      notimpactedNOBperiod4 notimpactedNOBperiod5
                      impactedNOBuncertainty1 impactedNOB03 impactedNOBperiod4
                      impactedNOBperiod5
------------------------------------------------------------------------------

.
Thank you all again.

Respectfully,

Camden


On Tue, Jul 13, 2010 at 11:12 AM, Schaffer, Mark E
<[email protected]> wrote:
> Camden,
>
>> -----Original Message-----
>> From: [email protected]
>> [mailto:[email protected]] On Behalf Of
>> Camden Roberts
>> Sent: 13 July 2010 00:49
>> To: [email protected]
>> 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
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>

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