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Re: RE: st: RE: IVREG2 with two endogenous variables: CD/KP F-statvs.APF-stat


From   Miguel Àngel García López <MiquelAngel.Garcia@uab.cat>
To   statalist@hsphsun2.harvard.edu
Subject   Re: RE: st: RE: IVREG2 with two endogenous variables: CD/KP F-statvs.APF-stat
Date   Sat, 02 Feb 2013 00:32:54 +0100

Mark,

Thanks for your answer. 

I just partialed out all the exogenous variables and the results are very similar.

This is the output:

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

First-stage regression of disnode20061991:

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

Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity

                                                      Number of obs =      603
                                                      F(  2,   464) =    11.50
                                                      Prob > F      =   0.0000
Total (centered) SS     =  1829.551366                Centered R2   =   0.1073
Total (uncentered) SS   =  1829.551366                Uncentered R2 =   0.1073
Residual SS             =  1633.166242                Root MSE      =    1.876

------------------------------------------------------------------------------
             |               Robust
disnod~61991 |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
     dis1760 |  -.1942985    .045257    -4.29   0.000    -.2832326   -.1053645
dis1760dhi~k |  -.0141311   .0116053    -1.22   0.224    -.0369365    .0086743
------------------------------------------------------------------------------
Included instruments: dis1760 dis1760dhistlink
------------------------------------------------------------------------------
F test of excluded instruments:
  F(  2,   464) =    11.50
  Prob > F      =   0.0000
Angrist-Pischke multivariate F test of excluded instruments:
  F(  1,   464) =    20.90
  Prob > F      =   0.0000

First-stage regression of disnode20061991dhistlink:

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

Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity

                                                      Number of obs =      603
                                                      F(  2,   464) =    11.53
                                                      Prob > F      =   0.0000
Total (centered) SS     =  23977.01219                Centered R2   =   0.3992
Total (uncentered) SS   =  23977.01219                Uncentered R2 =   0.3992
Residual SS             =   14404.8532                Root MSE      =    5.572

------------------------------------------------------------------------------
             |               Robust
disnode200~k |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
     dis1760 |   .2462499   .1164858     2.11   0.035      .017345    .4751549
dis1760dhi~k |  -.4080694    .086959    -4.69   0.000    -.5789517   -.2371871
------------------------------------------------------------------------------
Included instruments: dis1760 dis1760dhistlink
------------------------------------------------------------------------------
F test of excluded instruments:
  F(  2,   464) =    11.53
  Prob > F      =   0.0000
Angrist-Pischke multivariate F test of excluded instruments:
  F(  1,   464) =    22.72
  Prob > F      =   0.0000



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

                                           (Underid)            (Weak id)
Variable     | F(  2,   464)  P-val | AP Chi-sq(  1) P-val | AP F(  1,   464)
disnode20061 |      11.50    0.0000 |       27.16   0.0000 |       20.90
disnode20061 |      11.53    0.0000 |       29.53   0.0000 |       22.72

NB: first-stage test statistics heteroskedasticity-robust

Stock-Yogo weak ID test critical values for single endogenous regressor:
                                   10% maximal IV size             16.38
                                   15% maximal IV size              8.96
                                   20% maximal IV size              6.66
                                   25% maximal IV size              5.53
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(1)=0.00     P-val=0.9997

Weak identification test
Ho: equation is weakly identified
Cragg-Donald Wald F statistic                                      27.11
Kleibergen-Paap Wald rk F statistic                                 0.00

Stock-Yogo weak ID test critical values for K1=2 and L1=2:
                                   10% maximal IV size              7.03
                                   15% maximal IV size              4.58
                                   20% maximal IV size              3.95
                                   25% maximal IV size              3.63
Source: Stock-Yogo (2005).  Reproduced by permission.
NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors.

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(2,464)=       4.17     P-val=0.0161
Anderson-Rubin Wald test           Chi-sq(2)=     10.83     P-val=0.0044
Stock-Wright LM S statistic        Chi-sq(2)=     10.18     P-val=0.0062

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

Number of observations               N  =        603
Number of regressors                 K  =          2
Number of endogenous regressors      K1 =          2
Number of instruments                L  =          2
Number of excluded instruments       L1 =          2
Number of partialled-out regressors/IVs =        137
NB: K & L do not included partialled-out variables

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

Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity

                                                      Number of obs =      603
                                                      F(  2,   464) =     2.92
                                                      Prob > F      =   0.0549
Total (centered) SS     =   14.9535792                Centered R2   =  -0.1450
Total (uncentered) SS   =   14.9535792                Uncentered R2 =  -0.1450
Residual SS             =  17.12178632                Root MSE      =    .1685

------------------------------------------------------------------------------
             |               Robust
lnp~20111991 |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
disnod~61991 |  -.0422962   .0157094    -2.69   0.007    -.0730861   -.0115064
disnode200~k |   .0033454    .002269     1.47   0.140    -.0011017    .0077925
------------------------------------------------------------------------------
Underidentification test (Kleibergen-Paap rk LM statistic):              0.000
                                                   Chi-sq(1) P-val =    0.9997
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic):               27.106
                         (Kleibergen-Paap rk Wald F statistic):          0.000
Stock-Yogo weak ID test critical values: 10% maximal IV size              7.03
                                         15% maximal IV size              4.58
                                         20% maximal IV size              3.95
                                         25% maximal IV size              3.63
Source: Stock-Yogo (2005).  Reproduced by permission.
NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors.
------------------------------------------------------------------------------
Hansen J statistic (overidentification test of all instruments):         0.000
                                                 (equation exactly identified)
------------------------------------------------------------------------------
Instrumented:         disnode20061991 disnode20061991dhistlink
Included instruments:
Excluded instruments: dis1760 dis1760dhistlink
Partialled-out:       dhistlink lnpob1991 lnkm2 disCBD discoast alti tri lat1
                      long1 taxa_atur1991 taxa_ocup1991 porc_ocup1991man
                      porc_pob1991m25 porc_pob1991uni porc_pob1991estr lnpob1981
                      lnpob1970 lnpob1960 lnpob1950 lnpob1940 lnpob1930
                      lnpob1920 lnpob1910 lnpob1900 _Iam129_2 _Iam129_3

Miquel

----- Missatge original -----
De: "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
Data: Divendres, Febrer 1, 2013 11:57 pm
Assumpte: RE: st: RE: IVREG2 with two endogenous variables: CD/KP F-statvs.APF-stat

> Miquel,
> 
> The results are little odd and I can't work out why.
> 
> The (unrobust) Cragg-Donald statistic suggests that the equation is 
> identified but the (robust) K-P statistic suggests it is 
> underidentified.  I am not sure why that would be.
> 
> Plus the individual (robust) A-P test statistics suggest that the 
> individual coeffs on the two endogenous variables are separately 
> identified, but the (similarly-robust) K-P underidentification test 
> says they aren't jointly identified.
> 
> I see you're using the -partial- option.  What happens if you 
> partial out all the exogenous regressors?
> 
> --Mark
> 
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu [owner-
> > statalist@hsphsun2.harvard.edu] On Behalf Of Miguel Àngel García 
> López> Sent: 01 February 2013 21:17
> > To: statalist@hsphsun2.harvard.edu
> > Subject: Re: st: RE: IVREG2 with two endogenous variables: CD/KP 
> F-stat
> > vs.APF-stat
> > 
> > Hi Mark,
> > 
> > You're right, the Kleibergen-Paap rk LM statistic indicates that 
> the equation is
> > underidentified.
> > So, which coefficient am I identifying? x1=disnode20061991 or
> > x2=disnode20061991dhistink (this is the interacted endogenous 
> variable)?> 
> > Thanks a lot!
> > 
> > Here is the output:
> > 
> > 
> > First-stage regressions
> > -----------------------
> > 
> > First-stage regression of disnode20061991:
> > 
> > OLS estimation
> > --------------
> > 
> > Estimates efficient for homoskedasticity only Statistics robust to
> > heteroskedasticity
> > 
> >                                                       Number of 
> obs =      603
> >                                                       F( 26,   
> 464) =     2.21
> >                                                       Prob > F    
>  =   0.0006
> > Total (centered) SS     =  2045.649523                Centered R2 
>  =   0.2016
> > Total (uncentered) SS   =  2045.649523                Uncentered 
> R2 =   0.2016
> > Residual SS             =  1633.166249                Root MSE    
>  =    1.876
> > 
> > ------------------------------------------------------------------
> ------------
> >              |               Robust
> > disnod~61991 |      Coef.   Std. Err.      t    P>|t|     [95% 
> Conf. Interval]
> > -------------+----------------------------------------------------
> ------
> > -------------+------
> >    dhistlink |  -.0549742   .3248397    -0.17   0.866    -
> .6933134     .583365
> >    lnpob1991 |   .0061794    .141505     0.04   0.965    -
> .2718907    .2842495
> >        lnkm2 |   .1863085    .166866     1.12   0.265    -
> .1415981    .5142151
> >       disCBD |  -.0709631   .0430135    -1.65   0.100    -
> .1554885    .0135622
> >     discoast |  -.0602264   .0400691    -1.50   0.134    -
> .1389658    .0185131
> >         alti |  -.0023203   .0027915    -0.83   0.406    -
> .0078058    .0031652
> >          tri |  -.0115232   .0067075    -1.72   0.086    -
> .0247041    .0016577
> >         lat1 |   5.500978   3.274879     1.68   0.094    -
> .9344523    11.93641
> >        long1 |  -.9525434    2.43592    -0.39   0.696    -
> 5.739344    3.834257
> > taxa_at~1991 |   6.955092   4.800384     1.45   0.148    -
> 2.478093    16.38828
> > taxa_oc~1991 |    .008856   3.143292     0.00   0.998    -
> 6.167996    6.185708
> > porc_ocup1~n |   -3.03856   1.642994    -1.85   0.065    -
> 6.267191    .1900711
> > porc_pob1~25 |  -1.580318   3.761586    -0.42   0.675    -
> 8.972172    5.811537
> > porc_pob19~i |   8.381571   3.778023     2.22   0.027     
> .9574171    15.80572
> > porc_pob19~r |  -2.879711   4.192779    -0.69   0.493     -
> 11.1189    5.359476
> >    lnpob1981 |  -.0628442   .0730382    -0.86   0.390    -
> .2063707    .0806824
> >    lnpob1970 |  -.1758226   .1700468    -1.03   0.302    -
> .5099798    .1583347
> >    lnpob1960 |   .5060852   .5099257     0.99   0.321    -
> .4959645    1.508135
> >    lnpob1950 |  -.3825519   .4967032    -0.77   0.442    -
> 1.358618    .5935145
> >    lnpob1940 |  -.3062138   .7478307    -0.41   0.682    -
> 1.775768    1.163341
> >    lnpob1930 |   .6099881   1.073278     0.57   0.570    -
> 1.499099    2.719075
> >    lnpob1920 |  -1.898675    1.43143    -1.33   0.185    -
> 4.711564    .9142143
> >    lnpob1910 |   1.829188   1.056597     1.73   0.084    -
> .2471203    3.905495
> >    lnpob1900 |  -.1280441   .0932029    -1.37   0.170    -
> .3111962    .0551081
> >      dis1760 |  -.1942985    .045257    -4.29   0.000    -
> .2832326   -.1053645
> > dis1760dhi~k |  -.0141311   .0116053    -1.22   0.224    -
> .0369365    .0086743
> > ------------------------------------------------------------------
> ------------
> > Included instruments: dhistlink lnpob1991 lnkm2 disCBD discoast 
> alti tri lat1
> >                       long1 taxa_atur1991 taxa_ocup1991 
> porc_ocup1991man>                       porc_pob1991m25 
> porc_pob1991uni porc_pob1991estr lnpob1981
> >                       lnpob1970 lnpob1960 lnpob1950 lnpob1940 
> lnpob1930>                       lnpob1920 lnpob1910 lnpob1900 
> dis1760 dis1760dhistlink
> > ------------------------------------------------------------------
> ------------
> > F test of excluded instruments:
> >   F(  2,   464) =    11.50
> >   Prob > F      =   0.0000
> > Angrist-Pischke multivariate F test of excluded instruments:
> >   F(  1,   464) =    20.90
> >   Prob > F      =   0.0000
> > 
> > First-stage regression of disnode20061991dhistlink:
> > 
> > OLS estimation
> > --------------
> > 
> > Estimates efficient for homoskedasticity only Statistics robust to
> > heteroskedasticity
> > 
> >                                                       Number of 
> obs =      603
> >                                                       F( 26,   
> 464) =     2.67
> >                                                       Prob > F    
>  =   0.0000
> > Total (centered) SS     =  28055.52566                Centered R2 
>  =   0.4866
> > Total (uncentered) SS   =  28055.52566                Uncentered 
> R2 =   0.4866
> > Residual SS             =  14404.85354                Root MSE    
>  =    5.572
> > 
> > ------------------------------------------------------------------
> ------------
> >              |               Robust
> > disnode200~k |      Coef.   Std. Err.      t    P>|t|     [95% 
> Conf. Interval]
> > -------------+----------------------------------------------------
> ------
> > -------------+------
> >    dhistlink |   2.515352   1.115445     2.26   0.025     
> .3234024    4.707301
> >    lnpob1991 |   .3581472   .3807795     0.94   0.347    -
> .3901187    1.106413
> >        lnkm2 |  -.8305778   .4571589    -1.82   0.070    -
> 1.728936    .0677805
> >       disCBD |    .035202   .1068078     0.33   0.742    -
> .1746849    .2450889
> >     discoast |  -.0824591   .0797964    -1.03   0.302    -
> .2392662    .0743481
> >         alti |   .0139589   .0089892     1.55   0.121    -
> .0037056    .0316234
> >          tri |  -.0481706   .0227555    -2.12   0.035    -
> .0928872   -.0034541
> >         lat1 |  -1.303162   8.268787    -0.16   0.875    -
> 17.55207    14.94575
> >        long1 |   4.330386   6.440689     0.67   0.502    -
> 8.326146    16.98692
> > taxa_at~1991 |  -13.02405   17.44058    -0.75   0.456    -
> 47.29635    21.24825
> > taxa_oc~1991 |   -.380474    8.68993    -0.04   0.965    -
> 17.45697    16.69602
> > porc_ocup1~n |   3.577323   3.999994     0.89   0.372    -
> 4.283023    11.43767
> > porc_pob1~25 |  -18.19801   11.58473    -1.57   0.117    -
> 40.96303    4.567024
> > porc_pob19~i |   -2.35895   9.349228    -0.25   0.801    -
> 20.73102    16.01312
> > porc_pob19~r |  -2.417754   7.014291    -0.34   0.730    -
> 16.20147    11.36596
> >    lnpob1981 |  -.5197725   .4901694    -1.06   0.290    -
> 1.482999    .4434545
> >    lnpob1970 |  -.4056388   1.066181    -0.38   0.704     -
> 2.50078    1.689502
> >    lnpob1960 |   .1810121   1.474015     0.12   0.902     -
> 2.71556    3.077584
> >    lnpob1950 |   .8724695   .9530778     0.92   0.360    -
> 1.000414    2.745353
> >    lnpob1940 |   .0072886   1.337592     0.01   0.996    -
> 2.621199    2.635776
> >    lnpob1930 |   .1341517    1.96242     0.07   0.946     -
> 3.72218    3.990484
> >    lnpob1920 |  -2.063717   3.313446    -0.62   0.534    -
> 8.574937    4.447502
> >    lnpob1910 |       2.01   2.898491     0.69   0.488    -
> 3.685795    7.705795
> >    lnpob1900 |  -.1108913    .319602    -0.35   0.729     -
> .738938    .5171553
> >      dis1760 |   .2462499   .1164858     2.11   0.035      
> .017345    .4751549
> > dis1760dhi~k |  -.4080694    .086959    -4.69   0.000    -
> .5789517   -.2371871
> > ------------------------------------------------------------------
> ------------
> > Included instruments: dhistlink lnpob1991 lnkm2 disCBD discoast 
> alti tri lat1
> >                       long1 taxa_atur1991 taxa_ocup1991 
> porc_ocup1991man>                       porc_pob1991m25 
> porc_pob1991uni porc_pob1991estr lnpob1981
> >                       lnpob1970 lnpob1960 lnpob1950 lnpob1940 
> lnpob1930>                       lnpob1920 lnpob1910 lnpob1900 
> dis1760 dis1760dhistlink
> > ------------------------------------------------------------------
> ------------
> > F test of excluded instruments:
> >   F(  2,   464) =    11.53
> >   Prob > F      =   0.0000
> > Angrist-Pischke multivariate F test of excluded instruments:
> >   F(  1,   464) =    22.72
> >   Prob > F      =   0.0000
> > 
> > 
> > 
> > Summary results for first-stage regressions
> > -------------------------------------------
> > 
> >                                            (Underid)            
> (Weak id)
> > Variable     | F(  2,   464)  P-val | AP Chi-sq(  1) P-val | AP 
> F(  1,   464)
> > disnode20061 |      11.50    0.0000 |       27.16   0.0000 |      
> 20.90
> > disnode20061 |      11.53    0.0000 |       29.53   0.0000 |      
> 22.72
> > 
> > NB: first-stage test statistics heteroskedasticity-robust
> > 
> > Stock-Yogo weak ID test critical values for single endogenous 
> regressor:>                                    10% maximal IV size  
>           16.38
> >                                    15% maximal IV size            
>  8.96
> >                                    20% maximal IV size            
>  6.66
> >                                    25% maximal IV size            
>  5.53
> > 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(1)=0.00     P-
> val=0.9997> 
> > Weak identification test
> > Ho: equation is weakly identified
> > Cragg-Donald Wald F statistic                                     
> 27.11
> > Kleibergen-Paap Wald rk F statistic                               
>  0.00
> > 
> > Stock-Yogo weak ID test critical values for K1=2 and L1=2:
> >                                    10% maximal IV size            
>  7.03
> >                                    15% maximal IV size            
>  4.58
> >                                    20% maximal IV size            
>  3.95
> >                                    25% maximal IV size            
>  3.63
> > Source: Stock-Yogo (2005).  Reproduced by permission.
> > NB: Critical values are for Cragg-Donald F statistic and i.i.d. 
> errors.> 
> > 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(2,464)=       4.17     P-
> val=0.0161> Anderson-Rubin Wald test           Chi-sq(2)=     10.83 
>    P-val=0.0044
> > Stock-Wright LM S statistic        Chi-sq(2)=     10.18     P-
> val=0.0062> 
> > NB: Underidentification, weak identification and weak-
> identification-robust
> >     test statistics heteroskedasticity-robust
> > 
> > Number of observations               N  =        603
> > Number of regressors                 K  =         26
> > Number of endogenous regressors      K1 =          2
> > Number of instruments                L  =         26
> > Number of excluded instruments       L1 =          2
> > Number of partialled-out regressors/IVs =        113
> > NB: K & L do not included partialled-out variables
> > 
> > IV (2SLS) estimation
> > --------------------
> > 
> > Estimates efficient for homoskedasticity only Statistics robust to
> > heteroskedasticity
> > 
> >                                                       Number of 
> obs =      603
> >                                                       F( 26,   
> 464) =    17.35
> >                                                       Prob > F    
>  =   0.0000
> > Total (centered) SS     =  32.85467898                Centered R2 
>  =   0.4789
> > Total (uncentered) SS   =  32.85467898                Uncentered 
> R2 =   0.4789
> > Residual SS             =  17.12178597                Root MSE    
>  =    .1685
> > 
> > ------------------------------------------------------------------
> ------------
> >              |               Robust
> > lnp~20111991 |      Coef.   Std. Err.      z    P>|z|     [95% 
> Conf. Interval]
> > -------------+----------------------------------------------------
> ------
> > -------------+------
> > disnod~61991 |  -.0422962   .0157094    -2.69   0.007    -
> .0730861   -.0115064
> > disnode200~k |   .0033454    .002269     1.47   0.140    -
> .0011017    .0077925
> >    dhistlink |  -.0193715   .0301388    -0.64   0.520    -
> .0784425    .0396996
> >    lnpob1991 |  -.1716033   .0175352    -9.79   0.000    -
> .2059716   -.1372351
> >        lnkm2 |   .0772166   .0201062     3.84   0.000     
> .0378092    .1166241
> >       disCBD |  -.0014151   .0038103    -0.37   0.710    -
> .0088832     .006053
> >     discoast |  -.0020445   .0030389    -0.67   0.501    -
> .0080007    .0039116
> >         alti |  -.0003639   .0002803    -1.30   0.194    -
> .0009132    .0001854
> >          tri |   .0002327   .0007257     0.32   0.748    -
> .0011896     .001655
> >         lat1 |   .2161914     .27737     0.78   0.436    -
> .3274437    .7598266
> >        long1 |  -.3242189   .1943732    -1.67   0.095    -
> .7051834    .0567457
> > taxa_at~1991 |  -.0633292   .4341575    -0.15   0.884    -
> .9142623    .7876039
> > taxa_oc~1991 |   .5256404   .2733951     1.92   0.055    -
> .0102043    1.061485
> > porc_ocup1~n |  -.2804171   .1410424    -1.99   0.047    -
> .5568552   -.0039791
> > porc_pob1~25 |  -2.038739   .4678653    -4.36   0.000    -
> 2.955738   -1.121739
> > porc_pob19~i |    1.98907   .4010011     4.96   0.000     
> 1.203123    2.775018
> > porc_pob19~r |   1.207574   .3368401     3.59   0.000     
> .5473792    1.867768
> >    lnpob1981 |  -.0206563   .0138923    -1.49   0.137    -
> .0478848    .0065722
> >    lnpob1970 |  -.0664541    .031215    -2.13   0.033    -
> .1276344   -.0052739
> >    lnpob1960 |    .035141   .0807666     0.44   0.663    -
> .1231586    .1934405
> >    lnpob1950 |   .0388572   .0753196     0.52   0.606    -
> .1087665    .1864808
> >    lnpob1940 |  -.0780994   .0883634    -0.88   0.377    -
> .2512886    .0950897
> >    lnpob1930 |   .0474178   .1058593     0.45   0.654    -
> .1600626    .2548983
> >    lnpob1920 |   .2845001   .1418916     2.01   0.045     
> .0063977    .5626024
> >    lnpob1910 |  -.2330463   .1296206    -1.80   0.072    -
> .4870979    .0210054
> >    lnpob1900 |  -.0073257   .0135746    -0.54   0.589    -
> .0339315      .01928
> > ------------------------------------------------------------------
> ------------
> > Underidentification test (Kleibergen-Paap rk LM statistic):       
>       0.000
> >                                                    Chi-sq(1) P-
> val =    0.9997
> > ------------------------------------------------------------------
> ------------
> > Weak identification test (Cragg-Donald Wald F statistic):         
>      27.106
> >                          (Kleibergen-Paap rk Wald F statistic):   
>       0.000
> > Stock-Yogo weak ID test critical values: 10% maximal IV size      
>        7.03
> >                                          15% maximal IV size      
>        4.58
> >                                          20% maximal IV size      
>        3.95
> >                                          25% maximal IV size      
>        3.63
> > Source: Stock-Yogo (2005).  Reproduced by permission.
> > NB: Critical values are for Cragg-Donald F statistic and i.i.d. 
> errors.> -----------------------------------------------------------
> -------------------
> > Hansen J statistic (overidentification test of all instruments):  
>       0.000
> >                                                  (equation 
> exactly identified)
> > ------------------------------------------------------------------
> ------------
> > Instrumented:         disnode20061991 disnode20061991dhistlink
> > Included instruments: dhistlink lnpob1991 lnkm2 disCBD discoast 
> alti tri lat1
> >                       long1 taxa_atur1991 taxa_ocup1991 
> porc_ocup1991man>                       porc_pob1991m25 
> porc_pob1991uni porc_pob1991estr lnpob1981
> >                       lnpob1970 lnpob1960 lnpob1950 lnpob1940 
> lnpob1930>                       lnpob1920 lnpob1910 lnpob1900 
> Excluded instruments: dis1760
> > dis1760dhistlink
> > Partialled-out:       _Iam129_2 _Iam129_3 _Iam129_4 _Iam129_5 
> _Iam129_6> 
> > 
> > Miquel
> > 
> > ----- Missatge original -----
> > De: "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
> > Data: Divendres, Febrer 1, 2013 9:03 pm
> > Assumpte: st: RE: IVREG2 with two endogenous variables: CD/KP F-
> stat vs.
> > 	APF-stat
> > 
> > > Miguel,
> > >
> > > > -----Original Message-----
> > > > From: owner-statalist@hsphsun2.harvard.edu [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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> 
> ----- 
> Sunday Times Scottish University of the Year 2011-2013
> Top in the UK for student experience
> Fourth university in the UK and top in Scotland (National Student 
> Survey 2012)
> 
> We invite research leaders and ambitious early career researchers 
> to 
> join us in leading and driving research in key inter-disciplinary 
> themes. 
> Please see www.hw.ac.uk/researchleaders for further information and 
> howto apply.
> 
> Heriot-Watt University is a Scottish charity
> registered under charity number SC000278.
> 
> 
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