Dear all,
Following Mark Schaeffer´s suggestion I am estimating an instrument
regression with weak instruments using
ivreg2, and using the post-estimation programme (rivtest). My output
after running rivtest is like this:
************
xi: ivreg2 goschool edad indchild oldest child45 child6 lowsixfam
edumam1 edumam2 edumam35 edumam68 edumam912 mommarried madrejefefam
ownhome survfam madremigfam smalltown divorcesep agricolaheadspouse
ctapropheadspouse oladummy i.iden (hasmigr_US= instrpi* instrac2*) if
sex==1 & edad_10_13==1
rivtest, ci
Weak instrument robust tests and confidence sets for linear IV
H0: beta[goschool:hasmigr_US] = 0
Test Statistic p-value 95%
Confidence Set
CLR stat(.) = 64.31 Prob > stat = 0.0000
[-1.75073,-.539857]
AR chi2(32) = 139.39 Prob > chi2 = 0.0000
[-2.548374,-.2742049]
LM chi2(1) = 39.41 Prob > chi2 =0.0000
[-1.761058,-.5351977] U [ 1.438614, 2.739162]
J chi2(31) = 99.98 Prob > chi2 = 0.0000
LM-J H0 rejected at 5% level
Wald chi2(1) = 32.29 Prob > chi2 = 0.0000
[-.863005,-.420344]
Note: Wald test not robust to weak instruments. LM-J confidence set
not available with closed-form estimation (use usegrid option).
************
I wonder if you could help with the following question:
I see that _rivtest_ does an hypothesis test in which Ho means that
the endogenous variable coefficient is zero. In this particular case
the coefficient of the endogenous variable is statistically different
from zero. Considering that estimation with weak instruments could
lead to biased estimates, is there a way to find the real level of the
coefficient of the endogenous variable?
Many thanks
Filipa de Castro
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