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st: RE: Interpreting ivreg2 outputs


From   DE SOUZA Eric <eric.de_souza@coleurope.eu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Interpreting ivreg2 outputs
Date   Sun, 17 Apr 2011 21:44:54 +0200

All the questions below are addressed either in the help file or in the following article which you can download for free:
http://www.stata-journal.com/article.html?article=st0030_3


Eric de Souza
College of Europe
Brugge (Bruges), Belgium
http://www.coleurope.eu


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Hussain Samad
Sent: 17 April 2011 21:34
To: statalist@hsphsun2.harvard.edu
Subject: st: Interpreting ivreg2 outputs

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
------------------------------------------------------------------------------

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