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Re: st: First stage F stats - xtivreg


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: First stage F stats - xtivreg
Date   Mon, 20 Jun 2011 20:57:14 -0400

Agnese Romiti <romitiagnese@gmail.com>:
No, you should cluster by region to correctly account for possible
serial correlation,
assuming you have sufficiently many regions in your data; how many are there?
What percent of the data is in the largest region?

On Mon, Jun 20, 2011 at 5:19 PM, Agnese Romiti <romitiagnese@gmail.com> wrote:
> 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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