Jennifer,
The critical values for the minimum eigenvalue statistic are based on tables of results published in Stock and Yogo (2005). For the 2SLS and LIML sizes of nominal 5% Wald tests, Stock and Yogo only considered the cases where the model has one or two endogenous regressors; since you have 3 endogenous regressors, critical values are not available. For the 2SLS relative bias with 3 endogenous regressors, Stock and Yogo's table only contains critical values for models with at least 5 excluded instruments.
-- Brian Poi
-- [email protected]
--- On Mon, 4/13/09, Jennifer Beardsley <[email protected]> wrote:
From: Jennifer Beardsley <[email protected]>
Subject: st: Re: estat firststage blank results
To: "Stata list" <[email protected]>
Date: Monday, April 13, 2009, 9:31 PM
Dear Martin,
Interesting, I had not known about this -trace- command. I followed your suggestion, below is the area where "not available" shows up (it shows up three times). I bolded and redded it, but not sure if formatting is retained on statalist. If not, a simple ctrl-search can find the 3 instances of "not available". Looking at the output, it looks quite complex to me, please let me know if you can interpret from this.
Thanks,
Jennifer
Minimum eigenvalue statistic = 8.50405
- di
- di as text _col(3) "Critical Values" _col(40) "# of endogenous regressors:" as
> res %5.0f `nendog'
= di as text _col(3) "Critical Values" _col(40) "# of endogenous regressors:" as
> res %5.0f 3
Critical Values # of endogenous regressors: 3
- di as text _col(3) "Ho: Instruments are weak" _col(40) "# of excluded instrumen
> ts: " as res %5.0f `nexclexog'
= di as text _col(3) "Ho: Instruments are weak" _col(40) "# of excluded instrumen
> ts: " as res %5.0f 4
Ho: Instruments are weak # of excluded instruments: 4
- di as text _col(3) "{hline 35}{c TT}{hline 33}"
---------------------------------------------------------------------
- di as text _col(38) "{c |}" _col(43) "5% 10% 20% 30%"
| 5% 10% 20% 30%
- di as text _col(3) "2SLS relative bias" _col(38) "{c |}" _c
2SLS relative bias | - if `mineigcv'[1,1] < . {
= if __00000H[1,1] < . {
di as res _col(41) %5.2f `mineigcv'[1,1] _col(49) %5.2f `mineigcv'[1,2] _col(57
> ) %5.2f `mineigcv'[1,3] _col(65) %5.2f `mineigcv'[1,4]
}
- else {
- di as text _col(48) "(not available)"
(not available)
- }
- di as text _col(3) "{hline 35}{c +}{hline 33}"
-----------------------------------+---------------------------------
- di as text _col(38) "{c |}" _col(42) "10% 15% 20% 25%"
| 10% 15% 20% 25%
- di as text _col(3) "2SLS Size of nominal 5% Wald test" _col(38) "{c |}" _c
2SLS Size of nominal 5% Wald test | - if `mineigcv'[2,1] < . {
= if __00000H[2,1] < . {
di as res _col(41) %5.2f `mineigcv'[2,1] _col(49) %5.2f `mineigcv'[2,2] _col(57
> ) %5.2f `mineigcv'[2,3] _col(65) %5.2f `mineigcv'[2,4]
}
- else {
- di as text _col(48) "(not available)"
(not available)
- }
- di as text _col(3) "LIML Size of nominal 5% Wald test" _col(38) "{c |}" _c
LIML Size of nominal 5% Wald test | - if `mineigcv'[2,1] < . {
= if __00000H[2,1] < . {
di as res _col(41) %5.2f `mineigcv'[3,1] _col(49) %5.2f `mineigcv'[3,2] _col(57
> ) %5.2f `mineigcv'[3,3] _col(65) %5.2f `mineigcv'[3,4]
}
- else {
- di as text _col(48) "(not available)"
(not available)
- }
- di as text _col(3) "{hline 35}{c BT}{hline 33}"
---------------------------------------------------------------------
From
"Martin Weiss" <[email protected]>
To
<[email protected]>
Subject
st: Re: estat firststage blank results
Date
Tue, 14 Apr 2009 02:25:47 +0200
<>
-set trace on- with -set tracehilite "not available"- and report the area where the phrase appears in bold... HTH
Martin
_______________________
----- Original Message ----- From: "Jennifer Beardsley" <[email protected]> To: <[email protected]>
Sent: Tuesday, April 14, 2009 2:18 AM
Subject: st: estat firststage blank results
Dear Statalist,
When conducting an IV regression using -ivregress 2sls- and following that up to get statistics indicating the strength of the instruments, using -estat firststage-, the second half of the latter's results don't provide any statistics. In particular, it looks as follows: Minimum eigenvalue statistic = 8.91958
Critical Values # of endogenous regressors: 3
Ho: Instruments are weak # of excluded instruments: 3
---------------------------------------------------------------------
| 5% 10% 20% 30%
2SLS relative bias | (not available)
-----------------------------------+---------------------------------
| 10% 15% 20% 25%
2SLS Size of nominal 5% Wald test | (not available)
LIML Size of nominal 5% Wald test | (not available)
Why may that be? There is no clue to this from the stata manual.
Thanks for any thoughts,
Jennifer
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