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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   Tue, 21 Jun 2011 09:27:35 +0200

Hi,
Thanks again
In my data I have 19 regions, and around 18 percent of the data in the
largest region.

Agnese


2011/6/21 Austin Nichols <austinnichols@gmail.com>:
> 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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