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Re: st: First stage F stats - xtivreg


From   Agnese Romiti <romitiagnese@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: First stage F stats - xtivreg
Date   Mon, 20 Jun 2011 23:19:20 +0200

Many thanks Austin,

I'm actually clustering the standard errors at region-year level
rather than at region because I have one regressor with variability at
region-year level. Is that correct?
Do you think that the high first stage F stats might be a signal of a
bad instrument?Like a failure of the exogeneity requirement?

Agnese


2011/6/20 Austin Nichols <austinnichols@gmail.com>:
> Agnese Romiti <romitiagnese@gmail.com>:
> Are you clustering by region to account for the likely correlation of
> errors within region?
> Also see
> http://www.stata.com/meeting/boston10/boston10_nichols.pdf
> for an alternative model that allows your dep var to be nonnegative.
>
> On Mon, Jun 20, 2011 at 3:49 AM, Agnese Romiti <romitiagnese@gmail.com> wrote:
>> Dear Statalist users,
>>
>> I'm running a fixed effect model with IV (xtivreg2) , my dependent
>> variable is a measure of labor supply at the individual level (working
>> hours). Whereas I have an endogenous variable with variation only at
>> regional-year level.
>> My question is about the First stage statistics, the Weak
>> identification test results in an F statistics extremely high which
>> makes me worry about something wrong, i.e. F=3289.
>> Do you have any clue about potential reasons driving this odd result?
>>
>> Many thanks in advance for your help.
>>
>> Agnese
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