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From |
Urska Kosi <urska.kosi@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: ivreg2 & diagnostic statistics |

Date |
Fri, 20 May 2011 18:12:57 +0200 |

Dear statalist, I have been encountering some problems with ivreg2 command. In particular with the following diagnostic statistics: I have a model with cost of debt as dependent variable. Because loan terms are assumed to be determined jointly, so I use ivreg2 command. I have two endogenous regressors and I use one instrument for the first and 2 instruments for the second. I use cluster option (clustering on firms). I would like to get the Cragg-Donald F statistic (using ffirst option). Since I use cluster option with ivreg2, Kleinberg-Paap F statistic should be reported but I my case even this one cannot be calculated. Is this because I have 2 endogenous variables? Any suggestion how to obtain either the Cragg-Donald or Kleinberg-Paap F statistic? Similar, I would like to get the Anderson LM statistic (using ffirst option). Since I use cluster option, Kleinberg-Paap LM statistic should be reported but I my case even this one cannot be calculated. Is this because I have 2 endogenous variables? Any suggestion how to obtain either the Anderson or Kleinberg-Paap LM statistic? Here is how the output looks like: Summary results for first-stage regressions ------------------------------------------- Variable | Shea Partial R2 | Partial R2 | F( 3, 2268) P-value maturity | 0.0020 | 0.0023 | 3.17 0.0235 secured | 0.1845 | 0.2170 | 6.28 0.0003 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(2)=. P-val= . Kleibergen-Paap rk Wald statistic Chi-sq(2)=. P-val= . Weak identification test Ho: equation is weakly identified Kleibergen-Paap Wald rk F statistic . 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(3,2268)=13.50 P-val=0.0000 Anderson-Rubin Wald test Chi-sq(3)=41.30 P-val=0.0000 Stock-Wright LM S statistic Chi-sq(3)=41.80 P-val=0.0000 NB: Underidentification, weak identification and weak-identification-robust test statistics cluster-robust Number of clusters N_clust = 2269 Number of observations N = 9027 Number of regressors K = 172 Number of instruments L = 173 Number of excluded instruments L1 = 3 I appreciate any suggestions or advice about my concerns. Thanks a lot, Urska * * 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: ivreg2 & diagnostic statistics***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

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