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st: Diagnostic results of ivreg2


From   Abekah Nkrumah <ankrumah@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Diagnostic results of ivreg2
Date   Wed, 28 Mar 2012 13:46:33 +0100

Hi All,

I am running an IV for a continuous dependent variable. The endogenous
variable is also continuous so am using the use-written ivreg2 command
and I correct for intra-cluster correlation by using the cluster
robust option. My first-stage results suggest that the following
diagnostic tests are fine: (1) underidentification test via Kleibergen
Paap Wald statistsic  (2) overidentification test via the Hansen J
statistic (3) weak instrument test via the Crag-Donald F-statistic and
the Stock-Yogo relative bias thresholds (4) The F statistic for the
joint significance of the instruments in the first stage is also more
than 10 for purposes of Staiger and Stoke's  rule (5) Weak instrument
robust test via the Anderson -Rubin wald test.

However the test of endogeneity fails, suggesting that the endogenous
regressor is not endogenous. I am however optimistic from a
theoretical perceptive that the purported endogenous regressor is
indeed endogenous. I am not too sure what may be happening? Could this
be taken as symptoms of weak or invalid instruments even though it
passes all the relevant  statistical test? I will appreciate your help

Gordon
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