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Re: st: ivreg2 doesn't report Kleinbergen-Paap statistic


From   Mukaddes Yanik <mukaddesyanik@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: ivreg2 doesn't report Kleinbergen-Paap statistic
Date   Tue, 24 Apr 2012 05:46:03 -0700 (PDT)

I am experiencing a similar problem. I don't think it is particularly related to clustering because I do get this statistic in some other specifications that are also estimated with clustering. But when I try some other variables, Kleibergen-Paap rk LM statistic is missing. In my case, I have two endogenous variables and when (Kleibergen-Paap rk LM statistic) is missing, F test of excluded instruments is not calculated either (it is reported as 0.00) even though Angrist-Pischke multivariate F test of excluded instruments is reported and significantly different from zero. 


--- On Tue, 4/24/12, SPRING Eva <eva.spring@unifr.ch> wrote:

> From: SPRING Eva <eva.spring@unifr.ch>
> Subject: st: ivreg2 doesn't report Kleinbergen-Paap statistic
> To: "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
> Date: Tuesday, April 24, 2012, 7:08 AM
> 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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