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st: ivreg2 doesn't report Kleinbergen-Paap statistic


From   SPRING Eva <eva.spring@unifr.ch>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: ivreg2 doesn't report Kleinbergen-Paap statistic
Date   Tue, 24 Apr 2012 13:08:45 +0200

Hello,
I am trying to estimate a model where I have one endogenous variable and two excluded instruments. The equation I type into Stata looks the following way:
ivreg2 y x1 x2 x3 x4 x5 x6 FixEffect* (x7 = z1 z2), cluster(x8) gmm2s partial(FixEffect*)  endogtest(x7) first

I was hoping to test the identification of my specification (underidentification test, weak identification test) with the Kleinbergen-Paap rk statistics. But unfortunately, Stata doesn't report this statistic. I have 450 observations, 1 endogenous regressor, 2 excluded instruments, 6 included (exogenous) regressors, 118 variables are partialed out (the FixEffect* are country dummies) and I have 131 clusters. I work with an unbalanced panal dataset. After performing some tests myself, I found out that the problem lies in the clustering. If I don't cluster, Stata reports the Kleinbergen-Paap statistics. However, this would yield wrong results and when I cluster, then I cannot test the validity of my instruments/results as Stata refuses to report the statistics I need to do this. I also updated all packages of ivreg2, but it does not change the problem. I work with Stata/SE 12.1.

What can I do? Is there another way to proceed? What can I do in order to get the Kleinbergen-Paap statistic? Or is there an alternative to this statistic? Do I have too many clusters or what is the problem?
I would be very grateful for your help as I've been reading several Stata documents (among them Baum, Schaffer, Stillmann 2003, 2007) and I've been searching the net for the past week without finding any answer or suggestion.
Greets,
Eva


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