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st: Re: ivreg2 - weak instruments?


From   sdemiralp <sdemiralp@ku.edu.tr>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: ivreg2 - weak instruments?
Date   Wed, 11 Apr 2012 07:29:44 -0700 (PDT)

I am experiencing a very similar problem. I use ivreg2 to estimate a FE model
with three endogenous variables. I use clustered errors. While each first
stage regression seems to pass the Angrist-Pischke multivariate F test of
excluded instruments with p=0.0000, when it comes to the overall test of
underidentification (Kleibergen-Paap rk LM statistic), the model fails with
p=0.19. Does that make sense? 
Thank you very much,

Selva


Here is my output file. 

IXED EFFECTS ESTIMATION
------------------------
Number of groups =       210                    Obs per group: min =        
2
                                                               avg =      
4.7
                                                               max =        
5

First-stage regressions
-----------------------

First-stage regression of managed_ratio_ch:

FIXED EFFECTS ESTIMATION
------------------------
Number of groups =       210                    Obs per group: min =        
2
                                                               avg =      
4.7
                                                               max =        
5

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity and clustering on rssd9348

Number of clusters (rssd9348) =    210                Number of obs =     
987
                                                      F( 16,   209) =   
10.55
                                                      Prob > F      =  
0.0000
Total (centered) SS     =  .4381141535                Centered R2   =  
0.3002
Total (uncentered) SS   =  .4381141535                Uncentered R2 =  
0.3002
Residual SS             =  .3065949304                Root MSE      =  
.02007

------------------------------------------------------------------------------
             |               Robust
managed~o_ch |      Coef.   Std. Err.      t    P>|t|     [95% Conf.
Interval]
-------------+----------------------------------------------------------------
core_ratio_1 |  -.1141758   .0491075    -2.33   0.021    -.2109853  
-.0173663
core_ratio~h |   .0621601   .0589716     1.05   0.293    -.0540954   
.1784155
  leverage_1 |  -.0014088   .0012026    -1.17   0.243    -.0037796    
.000962
  ln_asset_1 |  -.0819344    .024942    -3.28   0.001    -.1311046  
-.0327641
commit_ra~_1 |   .0108455   .0871669     0.12   0.901    -.1609935   
.1826845
illiquid_r~1 |   .0004838   .0003886     1.24   0.215    -.0002824     
.00125
     house_1 |  -.0006154   .0003155    -1.95   0.052    -.0012373   
6.52e-06
     delin_1 |   .0000671   .0006693     0.10   0.920    -.0012523   
.0013866
         qr6 |  -.0098983   .0059937    -1.65   0.100    -.0217141   
.0019175
         qr7 |  -.0099937   .0046444    -2.15   0.033    -.0191495   
-.000838
         qr8 |  -.0073085   .0040408    -1.81   0.072    -.0152745   
.0006574
         qr9 |  -.0076849   .0023547    -3.26   0.001    -.0123268   
-.003043
managed_~o_1 |    -.61656   .0800671    -7.70   0.000    -.7744026  
-.4587175
tarp_ratio_1 |  -.1237328   .1287304    -0.96   0.338    -.3775093   
.1300437
     risky_1 |   .0014801   .0008822     1.68   0.095    -.0002591   
.0032193
     secur_1 |   2.060793   1.502494     1.37   0.172    -.9011926   
5.022778
------------------------------------------------------------------------------
Included instruments: core_ratio_1 core_ratio_ch leverage_1 ln_asset_1
                      commit_ratio_1 illiquid_ratio_1 house_1 delin_1 qr6
qr7
                      qr8 qr9 managed_ratio_1 tarp_ratio_1 risky_1 secur_1
------------------------------------------------------------------------------
F test of excluded instruments:
  F(  4,   209) =    17.45
  Prob > F      =   0.0000
Angrist-Pischke multivariate F test of excluded instruments:
  F(  2,   209) =    34.35
  Prob > F      =   0.0000

First-stage regression of taf_ratio_ch_av:

FIXED EFFECTS ESTIMATION
------------------------
Number of groups =       210                    Obs per group: min =        
2
                                                               avg =      
4.7
                                                               max =        
5

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity and clustering on rssd9348

Number of clusters (rssd9348) =    210                Number of obs =     
987
                                                      F( 16,   209) =    
3.49
                                                      Prob > F      =  
0.0000
Total (centered) SS     =  .0823897245                Centered R2   =  
0.1853
Total (uncentered) SS   =  .0823897245                Uncentered R2 =  
0.1853
Residual SS             =  .0671216217                Root MSE      = 
.009392

------------------------------------------------------------------------------
             |               Robust
taf_rat~h_av |      Coef.   Std. Err.      t    P>|t|     [95% Conf.
Interval]
-------------+----------------------------------------------------------------
core_ratio_1 |  -.0387296   .0302408    -1.28   0.202    -.0983458   
.0208865
core_ratio~h |  -.0043928   .0101968    -0.43   0.667    -.0244946   
.0157089
  leverage_1 |   -.000837   .0005165    -1.62   0.107    -.0018553   
.0001813
  ln_asset_1 |   .0013435   .0089253     0.15   0.880    -.0162517   
.0189386
commit_ra~_1 |   .0947031   .0550451     1.72   0.087    -.0138116   
.2032179
illiquid_r~1 |  -.0000196   .0002181    -0.09   0.929    -.0004495   
.0004104
     house_1 |   .0001778   .0000938     1.90   0.059    -7.16e-06   
.0003627
     delin_1 |  -.0001103   .0001618    -0.68   0.496    -.0004292   
.0002086
         qr6 |   .0004993   .0024166     0.21   0.837    -.0042648   
.0052633
         qr7 |   .0002592    .001563     0.17   0.868     -.002822   
.0033403
         qr8 |   -.000108   .0011579    -0.09   0.926    -.0023906   
.0021746
         qr9 |  -.0017711    .000892    -1.99   0.048    -.0035295  
-.0000127
managed_~o_1 |  -.0841551   .0470226    -1.79   0.075    -.1768544   
.0085443
tarp_ratio_1 |   .0243501    .045094     0.54   0.590    -.0645473   
.1132475
     risky_1 |  -.0000277   .0002501    -0.11   0.912    -.0005208   
.0004655
     secur_1 |  -6.216941   2.092633    -2.97   0.003    -10.34231  
-2.091567
------------------------------------------------------------------------------
Included instruments: core_ratio_1 core_ratio_ch leverage_1 ln_asset_1
                      commit_ratio_1 illiquid_ratio_1 house_1 delin_1 qr6
qr7
                      qr8 qr9 managed_ratio_1 tarp_ratio_1 risky_1 secur_1
------------------------------------------------------------------------------
F test of excluded instruments:
  F(  4,   209) =     3.75
  Prob > F      =   0.0057
Angrist-Pischke multivariate F test of excluded instruments:
  F(  2,   209) =     6.59
  Prob > F      =   0.0017

First-stage regression of tarp_ratio_ch:

FIXED EFFECTS ESTIMATION
------------------------
Number of groups =       210                    Obs per group: min =        
2
                                                               avg =      
4.7
                                                               max =        
5

OLS estimation
--------------

Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity and clustering on rssd9348

Number of clusters (rssd9348) =    210                Number of obs =     
987
                                                      F( 16,   209) =   
86.95
                                                      Prob > F      =  
0.0000
Total (centered) SS     =  .0303474345                Centered R2   =  
0.6754
Total (uncentered) SS   =  .0303474345                Uncentered R2 =  
0.6754
Residual SS             =   .009851877                Root MSE      = 
.003598

------------------------------------------------------------------------------
             |               Robust
tarp_ratio~h |      Coef.   Std. Err.      t    P>|t|     [95% Conf.
Interval]
-------------+----------------------------------------------------------------
core_ratio_1 |  -.0094204   .0083818    -1.12   0.262    -.0259441   
.0071034
core_ratio~h |   .0018119   .0045222     0.40   0.689     -.007103   
.0107269
  leverage_1 |  -.0003055    .000225    -1.36   0.176    -.0007491    
.000138
  ln_asset_1 |  -.0170686   .0037394    -4.56   0.000    -.0244405  
-.0096968
commit_ra~_1 |  -.0041764   .0153924    -0.27   0.786    -.0345207   
.0261679
illiquid_r~1 |  -.0000448   .0000612    -0.73   0.465    -.0001654   
.0000758
     house_1 |  -.0001395   .0000633    -2.20   0.029    -.0002642  
-.0000147
     delin_1 |   .0000859   .0001097     0.78   0.434    -.0001304   
.0003022
         qr6 |   .0012991   .0010841     1.20   0.232    -.0008381   
.0034363
         qr7 |  -.0003277    .000765    -0.43   0.669    -.0018358   
.0011804
         qr8 |  -.0002455   .0005772    -0.43   0.671    -.0013834   
.0008923
         qr9 |  -.0001685   .0003369    -0.50   0.617    -.0008328   
.0004957
managed_~o_1 |   .0096373   .0071035     1.36   0.176    -.0043663   
.0236409
tarp_ratio_1 |  -.8548846    .038516   -22.20   0.000    -.9308142   
-.778955
     risky_1 |   .0003544   .0001179     3.01   0.003      .000122   
.0005869
     secur_1 |   .4395913   .2525309     1.74   0.083    -.0582429   
.9374254
------------------------------------------------------------------------------
Included instruments: core_ratio_1 core_ratio_ch leverage_1 ln_asset_1
                      commit_ratio_1 illiquid_ratio_1 house_1 delin_1 qr6
qr7
                      qr8 qr9 managed_ratio_1 tarp_ratio_1 risky_1 secur_1
------------------------------------------------------------------------------
F test of excluded instruments:
  F(  4,   209) =   123.81
  Prob > F      =   0.0000
Angrist-Pischke multivariate F test of excluded instruments:
  F(  2,   209) =   247.39
  Prob > F      =   0.0000



Summary results for first-stage regressions
-------------------------------------------

                                           (Underid)            (Weak id)
Variable     | F(  4,   209)  P-val | AP Chi-sq(  2) P-val | AP F(  2,  
209)
managed_rati |      17.45    0.0000 |       70.09   0.0000 |       34.35
taf_ratio_ch |       3.75    0.0057 |       13.46   0.0012 |        6.59
tarp_ratio_c |     123.81    0.0000 |      504.83   0.0000 |      247.39

NB: first-stage test statistics cluster-robust

Stock-Yogo weak ID test critical values for single endogenous regressor:
                                   10% maximal LIML size            8.68
                                   15% maximal LIML size            5.33
                                   20% maximal LIML size            4.42
                                   25% maximal LIML size            3.92
Source: Stock-Yogo (2005).  Reproduced by permission.
NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors.

Underidentification test
Ho: matrix of reduced form coefficients has rank=K1-1 (underidentified)
Ha: matrix has rank=K1 (identified)
Kleibergen-Paap rk LM statistic          Chi-sq(2)=3.26     P-val=0.1964

Weak identification test
Ho: equation is weakly identified
Cragg-Donald Wald F statistic                                      24.31
Kleibergen-Paap Wald rk F statistic                                 3.08

Stock-Yogo weak ID test critical values for K1=3 and L1=4:
                                                               <not
available>
Weak-instrument-robust inference
Tests of joint significance of endogenous regressors B1 in main equation
Ho: B1=0 and orthogonality conditions are valid
Anderson-Rubin Wald test           F(4,209)=      15.58     P-val=0.0000
Anderson-Rubin Wald test           Chi-sq(4)=     63.57     P-val=0.0000
Stock-Wright LM S statistic        Chi-sq(4)=      7.73     P-val=0.1021

NB: Underidentification, weak identification and weak-identification-robust
    test statistics cluster-robust

Number of clusters             N_clust  =        210
Number of observations               N  =        987
Number of regressors                 K  =         15
Number of endogenous regressors      K1 =          3
Number of instruments                L  =         16
Number of excluded instruments       L1 =          4

CUE estimation
--------------

Estimates efficient for arbitrary heteroskedasticity and clustering on
rssd9348
Statistics robust to heteroskedasticity and clustering on rssd9348

Number of clusters (rssd9348) =    210                Number of obs =     
987
                                                      F( 15,   209) =    
8.49
                                                      Prob > F      =  
0.0000
Total (centered) SS     =  .7346479492                Centered R2   =  
0.0823
Total (uncentered) SS   =  .7346479492                Uncentered R2 =  
0.0823
Residual SS             =  .6741731309                Root MSE      =  
.02946

------------------------------------------------------------------------------
             |               Robust
loan_ratio~h |      Coef.   Std. Err.      z    P>|z|     [95% Conf.
Interval]
-------------+----------------------------------------------------------------
managed~o_ch |  -.1320594   .1425158    -0.93   0.354    -.4113853   
.1472664
taf_rat~h_av |   1.667921   .5665844     2.94   0.003     .5574363   
2.778406
tarp_ratio~h |   .5547087   .2799986     1.98   0.048     .0059214   
1.103496
core_ratio_1 |   .1950304   .0801773     2.43   0.015     .0378859    
.352175
core_ratio~h |   .3758764   .1066273     3.53   0.000     .1668907   
.5848621
  leverage_1 |   .0066694   .0017859     3.73   0.000     .0031692   
.0101696
  ln_asset_1 |  -.0893153    .036743    -2.43   0.015    -.1613302  
-.0173004
commit_ra~_1 |   .0226384   .1109812     0.20   0.838    -.1948808   
.2401575
illiquid_r~1 |  -.0034237    .000788    -4.35   0.000    -.0049681  
-.0018793
     house_1 |  -.0001013    .000468    -0.22   0.829    -.0010187    
.000816
     delin_1 |  -.0026814   .0006613    -4.05   0.000    -.0039777  
-.0013852
         qr6 |   .0181987   .0087961     2.07   0.039     .0009588   
.0354387
         qr7 |    .021555   .0065191     3.31   0.001     .0087779   
.0343321
         qr8 |    .010135   .0047161     2.15   0.032     .0008917   
.0193783
         qr9 |   .0048483   .0031053     1.56   0.118    -.0012379   
.0109345
------------------------------------------------------------------------------
Underidentification test (Kleibergen-Paap rk LM statistic):             
3.255
                                                   Chi-sq(2) P-val =   
0.1964
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic):              
24.310
                         (Kleibergen-Paap rk Wald F statistic):         
3.078
Stock-Yogo weak ID test critical values:                       <not
available>
------------------------------------------------------------------------------
Hansen J statistic (overidentification test of all instruments):        
0.971
                                                   Chi-sq(1) P-val =   
0.3244
-endog- option:
Endogeneity test of endogenous regressors:                              
3.742
                                                   Chi-sq(1) P-val =   
0.0531
Regressors tested:    taf_ratio_ch_av
------------------------------------------------------------------------------
Instrumented:         managed_ratio_ch taf_ratio_ch_av tarp_ratio_ch
Included instruments: core_ratio_1 core_ratio_ch leverage_1 ln_asset_1
                      commit_ratio_1 illiquid_ratio_1 house_1 delin_1 qr6
qr7
                      qr8 qr9
Excluded instruments: managed_ratio_1 tarp_ratio_1 risky_1 secur_1
Dropped collinear:    qr1 qr2 qr3 qr4 qr5 qr10 qr11 qr12 qr13 qr14 qr15 qr16
                      qr17
------------------------------------------------------------------------------

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