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From |
Hussain Samad <hsamad2000@yahoo.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Interpreting ivreg2 outputs |

Date |
Sun, 17 Apr 2011 12:33:44 -0700 (PDT) |

Dear Statalist: I'm trying to understand the output of ivreg2 command, especially various tests. I very much appreciate if someone can explain. I have included necessary outputs below. Please let me know if my understanding is correct or explain otherwise. Endogeneity test: P-val =0.0182, so exogeneity of the regressors is rejected at 5% level (that is, they are endogenous). Correct? Overidentification test (Hansen J statistics): P-val =0.1643, so overidentification restriction is satisfied (H0 cannot be rejected at 5% level). Correct? Underidentification test (Kleibergen-Paap rk LM statistic): P-val = 0.2358, so model is underidentified (H0 cannot be rejected at 5% level). Correct? If so, what can be done to correct it? Weak instrument test (Kleibergen-Paap rk Wald F statistic): This is what I am most confused about. Which of the Stock-Yogo critical values I compare with the F-stat? And what decision can be made based on my output? In case instruments are weak, what to do about it? Please guide. Redundancy of instruments: I know I can simply regress the endogenous variables on the instruments and check t-stats. But how can I come to a decision from the ivreg2 output? Or, what commands I should use after ivreg2? I know there are lot of questions. But I do not know where else to go except for here. Again, thanks a lot for your help. -Hussain Command: ivreg2 lgpcexpfmv agehead sexhead educhead maxeducm maxeducf lgland lgnland lgvpop vwage* vpaved vprimschl vsecschl vmarket velec vgb vngo vsnet chardumm riverdum phighland1 rainfall (memprime mfonly=vprime*), endog(memprime mfonly) cluster(vill) ffirst; Outputs: Summary results for first-stage regressions ------------------------------------------- Variable | Shea Partial R2 | Partial R2 | F( 6, 290) P-value memprime | 0.0382 | 0.0765 | 82.04 0.0000 mfonly | 0.0012 | 0.0024 | 1.58 0.1514 NB: first-stage F-stat cluster-robust Underidentification tests Ho: matrix of reduced form coefficients has rank=K1-1 (underidentified) Ha: matrix has rank=K1 (identified) Kleibergen-Paap rk LM statistic Chi-sq(5)=6.80 P-val=0.2358 Kleibergen-Paap rk Wald statistic Chi-sq(5)=8.42 P-val=0.1345 Weak identification test Ho: equation is weakly identified Kleibergen-Paap Wald rk F statistic 1.39 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(6,290)= 1.60 P-val=0.1474 Anderson-Rubin Wald test Chi-sq(6)=9.68 P-val=0.1390 Stock-Wright LM S statistic Chi-sq(6)=7.32 P-val=0.2924 NB: Underidentification, weak identification and weak-identification-robust test statistics cluster-robust Number of clusters N_clust = 291 Number of observations N = 5207 Number of regressors K = 26 Number of instruments L = 30 Number of excluded instruments L1 = 6 IV (2SLS) estimation -------------------- . . OUTPUT OMITTED ……………………… . . ------------------------------------------------------------------------------ Underidentification test (Kleibergen-Paap rk LM statistic): 6.802 Chi-sq(5) P-val = 0.2358 ------------------------------------------------------------------------------ Weak identification test (Kleibergen-Paap rk Wald F statistic): 1.391 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 15.72 10% maximal IV relative bias 9.48 20% maximal IV relative bias 6.08 30% maximal IV relative bias 4.78 10% maximal IV size 21.68 15% maximal IV size 12.33 20% maximal IV size 9.10 25% maximal IV size 7.42 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): 6.507 Chi-sq(4) P-val = 0.1643 -endog- option: Endogeneity test of endogenous regressors: 8.013 Chi-sq(2) P-val = 0.0182 Regressors tested: memprime mfonly ------------------------------------------------------------------------------ Instrumented: memprime mfonly Included instruments: agehead sexhead educhead maxeducm maxeducf lgland lgnland lgvpop vwagem vwagef vwagec vpaved vprimschl vsecschl vmarket velec vgb vngo vsnet chardumm riverdum phighland1 rainfall Excluded instruments: vprime vprimeagehead vprimesexhead vprimeeduchead vprimelgland vprimelgnland ------------------------------------------------------------------------------ * * 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: Interpreting ivreg2 outputs***From:*DE SOUZA Eric <eric.de_souza@coleurope.eu>

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