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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 16:47:48 +0200

Austin,

The reason whereby I have chosen the region-year as cluster unit was
due to the fact that individuals - around 8 percent of them - move
across regions over time, so the region  was not unique for them.

Many thanks again for your help and the ref.
Agnese

2011/6/21 Austin Nichols <austinnichols@gmail.com>:
> Agnese Romiti <romitiagnese@gmail.com>
> In that case the cluster-robust SE will be biased downward slightly,
> resulting in overrejection and your first-stage F stat overstated, but
> I expect it will still outperform the SE and F clustering by
> region-year.  You would have to do simulations matching your exact
> setup to be sure; see e.g.
> http://www.stata.com/meeting/13uk/nichols_crse.pdf
>
> On Tue, Jun 21, 2011 at 3:27 AM, Agnese Romiti <romitiagnese@gmail.com> wrote:
>> 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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