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st: ivreg2 & diagnostic statistics


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
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