Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: First stage F stats - xtivreg


From   Agnese Romiti <[email protected]>
To   [email protected]
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 <[email protected]>:
> Agnese Romiti <[email protected]>:
> 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 <[email protected]> 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 <[email protected]>:
>>> Agnese Romiti <[email protected]>:
>>> 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 <[email protected]> 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
> *
> *   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/
>

*
*   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/


© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index