Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down on April 23, and its replacement, statalist.org is already up and running.


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

st: ivreg2 weak-id statistic and quadratic terms


From   Miros Lav <ranjit.rosof.b189@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: ivreg2 weak-id statistic and quadratic terms
Date   Mon, 20 Feb 2012 22:24:57 +0100

Dear all,

I am using ivreg2 to estimate a model where a control variable enters
with a quadratic term. A simplified version of the command is as
follows

ivreg2 y   (a=instrument)  x x^2, r cluster(id).

Estimating this model results in a very large Kleinbergen-Paap weak-id
F statistic.

However, generating z=x/1000 and z^2=z*z and estimating the model

ivreg2 y   (a=instrument)  z z^2, r cluster(id)

results in a very low Kleinbergen-Paap weak-id F statistic.

(The z-statistics and significance levels in the first and second
stage regressions are the same as in the previous model.)

Does anyone have an idea why these two equivalent models result in
very different Kleinbergen-Paap weak-id F statistic?

Thanks for your help!

Miroslav
*
*   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 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index