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st: RE: IVREG2 with two endogenous variables: CD/KP F-stat vs. AP F-stat


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: IVREG2 with two endogenous variables: CD/KP F-stat vs. AP F-stat
Date   Fri, 1 Feb 2013 20:03:51 -0000

Miguel,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of Miguel Àngel García López
> Sent: 01 February 2013 09:22
> To: statalist@hsphsun2.harvard.edu
> Subject: st: IVREG2 with two endogenous variables: CD/KP F-stat vs. AP F-
> stat
> 
> Hi all,
> 
> I am using ivreg2 for running my model with two endogenous variables:
> 
> ivreg2 y1 (x1 x2 = z1 z2) x3, robust
> 
> where x2 and z2 are interactions of x1 and z1, respectively. In other words,
> x2=dummy*x1 is an interacted endogenous variable and z2=dummy*z1 is an
> interacted instrument.
> 
> When I look at the first-stage statistics I find that the KP F-stat = 0.00 while
> the individual AP F-stats are around 20.
> And I am puzzle about which F-stat I should consider.
> 
> Following previous discussions such as
> http://www.stata.com/statalist/archive/2011-04/msg00853.html, I think I
> should only use AP F-stats.
> Am I right?
> 
> Another question is why my CD F-stat is 0. Maybe because my instruments
> are highly correlated?

Can you show us the output?

It sounds like your equation is underidentified: you can identify either the coeff on x1, or the coeff on x2, but not both coeffs simultaneously (hence the zero under- and weak-identification statistics).

But it's hard to tell without seeing more.

--Mark

> 
> Thanks,
> 
> Miquel
> 
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