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FW: st: RE: ivreg2 & endogenity


From   Ozgur Ozdemir <ozdemirozgur@hotmail.com>
To   Stata <statalist@hsphsun2.harvard.edu>
Subject   FW: st: RE: ivreg2 & endogenity
Date   Thu, 2 Aug 2012 08:07:50 +0000

Hi Mark,

thanks for your quick response. unfortunately I am new to ivreg2 and still learning. I have some more questions. I put the ivreg2 output below. I have 4 variables which might be potentially endogenous and I am using the lags of them as instruments. in summary, it seems, the endog test result is giving p value of 0.2470 and as far as I know that is based on the regression anmong the error term and the exegenous variables so I should not be worried about endogentiy. Wald F for weak identification is also more than 10 and again to my knowledge rule of thumb if it is more than 10 that means the instruments are not week. but not sure how I should comment on the underidentification test and also Hansen J statistics ? thanks in advance.


. xi : ivreg2 y (x1 x2  x3 x4= L.x1 L.x2 L.x3 L.x4) x5 x6 x7 x8 x9 x10 x11 x12 x13 x14 x15  i.year  industry1 industry2 industry3 industry4 i
> ndustry5 industry6 industry7 industry8 industry9 industry10 industry11 industry12 industry13 industry14 industry15, ffirst robust endog(x1 
> x2 x3 x4)
i.year            _Iyear_2000-2010    (naturally coded; _Iyear_2000 omitted)
Warning - collinearities detected
Vars dropped:       _Iyear_2010 industry15


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

Variable    | Shea Partial R2 |   Partial R2    |  F(  4,  5455)    P-value
x1          |     0.3792      |     0.5499      |      608.90       0.0000
x2          |     0.3894      |     0.5678      |      672.62       0.0000
x3          |     0.2277      |     0.2304      |      243.86       0.0000
x4          |     0.4141      |     0.4148      |      114.91       0.0000

NB: first-stage F-stat heteroskedasticity-robust

Underidentification tests
Ho: matrix of reduced form coefficients has rank=K1-1 (underidentified)
Ha: matrix has rank=K1 (identified)
Kleibergen-Paap rk LM statistic             Chi-sq(1)=643.07   P-val=0.0000
Kleibergen-Paap rk Wald statistic           Chi-sq(1)=934.00   P-val=0.0000

Weak identification test
Ho: equation is weakly identified
Kleibergen-Paap Wald rk F statistic               231.84
See main output for Cragg-Donald weak id test critical values

Weak-instrument-robust inference
Tests of joint significance of endogenous regressors B1 in main equation
Ho: B1=0 and overidentifying restrictions are valid
Anderson-Rubin Wald test     F(4,5455)=10.41     P-val=0.0000
Anderson-Rubin Wald test     Chi-sq(4)=41.94     P-val=0.0000
Stock-Wright LM S statistic  Chi-sq(4)=41.14     P-val=0.0000

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

Number of observations               N  =       5494
Number of regressors                 K  =         39
Number of instruments                L  =         39
Number of excluded instruments       L1 =          4

IV (2SLS) estimation
--------------------

Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity

                                                      Number of obs =     5494
                                                      F( 38,  5455) =    79.40
                                                      Prob > F      =   0.0000
Total (centered) SS     =  10145.90481                Centered R2   =   0.3783
Total (uncentered) SS   =        20003                Uncentered R2 =   0.6846
Residual SS             =  6308.043746                Root MSE      =    1.072

------------------------------------------------------------------------------
             |               Robust
           y |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
          x1 |   .4208927   .1533017     2.75   0.006     .1204269    .7213586
          x2 |  -1.401601   .4784664    -2.93   0.003    -2.339377   -.4638237
          x3 |   .5369656   .1013611     5.30   0.000     .3383016    .7356296
          x4 |   .0150771   .1499296     0.10   0.920    -.2787796    .3089337
          x5 |   .1971591   .0604691     3.26   0.001     .0786418    .3156764
          x6 |   1.610886   .0505437    31.87   0.000     1.511822    1.709949
          x7 |   .0033538   .0020311     1.65   0.099     -.000627    .0073346
          x8 |  -.0961036   .0331389    -2.90   0.004    -.1610547   -.0311525
          x9 |  -.0323573   .0179385    -1.80   0.071    -.0675162    .0028015
         x10 |   .1767141   .0582928     3.03   0.002     .0624622    .2909659
         x11 |    .066056   .0259094     2.55   0.011     .0152745    .1168374
         x12 |  -.0238117   .0089914    -2.65   0.008    -.0414345   -.0061888
         x13 |    .403002   .0753469     5.35   0.000     .2553248    .5506792
         x14 |  -16.08782   6.892246    -2.33   0.020    -29.59637   -2.579264
         x15 |   .1660394   .0168025     9.88   0.000     .1331071    .1989717
 _Iyear_2001 |   -.789929   .0726803   -10.87   0.000    -.9323797   -.6474783
 _Iyear_2002 |   -.722612   .0704957   -10.25   0.000    -.8607811    -.584443
 _Iyear_2003 |  -.5715681   .0716072    -7.98   0.000    -.7119156   -.4312205
 _Iyear_2004 |  -.4202427   .0726249    -5.79   0.000    -.5625849   -.2779005
 _Iyear_2005 |  -.2821438   .0764437    -3.69   0.000    -.4319707   -.1323169
 _Iyear_2006 |   -.329362    .073308    -4.49   0.000    -.4730431   -.1856809
 _Iyear_2007 |  -.2143846   .0716904    -2.99   0.003    -.3548952    -.073874
 _Iyear_2008 |   -.239012   .0728622    -3.28   0.001    -.3818194   -.0962047
 _Iyear_2009 |  -.1307312   .0772359    -1.69   0.091    -.2821108    .0206484
   industry1 |  -.2370206   .0844791    -2.81   0.005    -.4025966   -.0714446
   industry2 |  -.4670082   .0802934    -5.82   0.000    -.6243804    -.309636
   industry3 |   .3948047    .101585     3.89   0.000     .1957018    .5939076
   industry4 |   .0529189   .0808414     0.65   0.513    -.1055273    .2113651
   industry5 |   .1684467   .0417607     4.03   0.000     .0865974    .2502961
   industry6 |  -.9214761   .1204198    -7.65   0.000    -1.157494   -.6854577
   industry7 |   -.632609    .077908    -8.12   0.000    -.7853058   -.4799122
   industry8 |  -.7662738   .0570088   -13.44   0.000     -.878009   -.6545386
   industry9 |   .1785934   .0623475     2.86   0.004     .0563946    .3007922
  industry10 |   .3139048   .0646155     4.86   0.000     .1872608    .4405488
  industry11 |   .6298456   .0783227     8.04   0.000     .4763358    .7833553
  industry12 |   .3870012   .0724386     5.34   0.000     .2450241    .5289784
  industry13 |  -.7891128   .0845906    -9.33   0.000    -.9549075   -.6233182
  industry14 |  -.9416489   .1512921    -6.22   0.000    -1.238176   -.6451219
       _cons |   -1.77156   .2013795    -8.80   0.000    -2.166256   -1.376863
------------------------------------------------------------------------------
Underidentification test (Kleibergen-Paap rk LM statistic):            643.068
                                                   Chi-sq(1) P-val =    0.0000
------------------------------------------------------------------------------
Weak identification test (Kleibergen-Paap rk Wald F statistic):        231.843
Stock-Yogo weak ID test critical values:                       <not available>
------------------------------------------------------------------------------
Hansen J statistic (overidentification test of all instruments):         0.000
                                                 (equation exactly identified)
-endog- option:
Endogeneity test of endogenous regressors:                               5.419
                                                   Chi-sq(4) P-val =    0.2470
Regressors tested:    x1 x2 x3 x4
------------------------------------------------------------------------------
Instrumented:         x1 x2 x3 x4
Included instruments: x5 x6 x7 x8 x9 x10 x11 x12 x13 x14 x15 _Iyear_2001
                      _Iyear_2002 _Iyear_2003 _Iyear_2004 _Iyear_2005
                      _Iyear_2006 _Iyear_2007 _Iyear_2008 _Iyear_2009 industry1
                      industry2 industry3 industry4 industry5 industry6
                      industry7 industry8 industry9 industry10 industry11
                      industry12 industry13 industry14
Excluded instruments: L.x1 L.x2 L.x3 L.x4
Dropped collinear:    _Iyear_2010 industry15
------------------------------------------------------------------------------

 
 
 
kind regards
Ozgur Ozdemir
T: +44 (0) 75 0332 9865
E: ozdemirozgur@hotmail.com
Skype : ozgurozdemir2005


> Subject: st: RE: ivreg2 & endogenity
> Date: Tue, 31 Jul 2012 19:07:04 +0100
> From: M.E.Schaffer@hw.ac.uk
> To: statalist@hsphsun2.harvard.edu
> 
> Ozgur,
> 
> You can do either - it's up to you. In the first case, your null is that both x4 and x5 are exogenous. In the second case, you are doing two separate tests; in one, the null is that x4 is exogenous; in the other, the null is that x5 is exogenous.
> 
> It's analogous to testing the coeffs on, say, x1 and x2. You can test that they are jointly 0, or you can do separate tests of whether one or the other is 0.
> 
> HTH,
> Mark
> 
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> > statalist@hsphsun2.harvard.edu] On Behalf Of Ozgur Ozdemir
> > Sent: 29 July 2012 17:40
> > To: Stata
> > Subject: st: ivreg2 & endogenity
> > 
> > 
> > 
> > Hi,
> > 
> > I would like to test the endogenity of 2 variables using their 1-year lags as
> > instruments. The model is
> > 
> > ivreg2 y x1 x2 (x4 x5 = L.x4 L.x5), r
> > 
> > the variables x4 and x5 might be endogenous.
> > 
> > 
> > and would like to test whether x4 and/or x5 is endogenous. However not
> > sure if I need to do test together
> > ivreg2 y x1 x2 (x4 x5 = L.x4 L.x5), r endogtest(x4 x5)
> > 
> > 
> > or separately one by one like the following
> > ivreg2 y x1 x2 (x4 x5 = L.x4 L.x5), r endogtest(x4)
> > ivreg2 y x1 x2 (x4 x5 = L.x4 L.x5), r endogtest(x5)
> > 
> > 
> > 
> > 
> > kind regards
> > Ozgur
> > 
> > *
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> > * http://www.ats.ucla.edu/stat/stata/
> 
> 
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