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From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: ivreg2 weak-id statistic and quadratic terms |

Date |
Mon, 20 Feb 2012 22:35:34 -0000 |

Hi Miroslav, hi all. I've checked this with the toy auto dataset. I can replicate this behaviour. Miroslav - either before or after rescaling your covariates, do the estimated coefficients vary hugely in scale? In my toy auto dataset example, I am pretty sure that it is driven by scaling problems. For example, after sysuse auto, clear gen double weight2=weight^2 ivreg2 price (mpg=turn) weight weight2 gives a large weak ID stat of 11.5. But there are big scaling problems in the first-stage and main estimations, with coeffs that are something like a factor of 10^8 different in magnitude. If I estimate and just partial out the constant, ivreg2 price (mpg=turn) weight weight2, partial(_cons) the ill-conditioning is less pronounced and I get a weak ID stat of 0.73. If I partial out all the exogenous covariates, ivreg2 price (mpg=turn) weight weight2, partial(weight weight2) the ill-conditioning is gone and I again get a weak ID stat of 0.73. I will investigate further and will report back to the list if I find anything more. It may be that -ivreg2- could handle these cases more robustly. --Mark (ivreg2 coauthor) > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Miros Lav > Sent: 20 February 2012 21:25 > To: statalist@hsphsun2.harvard.edu > Subject: st: ivreg2 weak-id statistic and quadratic terms > > 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/ > -- Heriot-Watt University is a Scottish charity registered under charity number SC000278. Heriot-Watt University is the Sunday Times Scottish University of the Year 2011-2012 * * 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/

**Follow-Ups**:**st: Which inverter? (was: RE: RE: ivreg2 weak-id statistic and quadratic terms)***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**References**:**st: ivreg2 weak-id statistic and quadratic terms***From:*Miros Lav <ranjit.rosof.b189@googlemail.com>

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