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st: Blown up IV coefficient


From   Shikha Sinha <[email protected]>
To   [email protected]
Subject   st: Blown up IV coefficient
Date   Wed, 9 Mar 2011 12:16:45 -0500

Dear all,

I am estimating an instrumental variable model by using -ivreg2 in
Stata. The IV estimates are way more than OLS estimate (4.006567).
Could you advise what could be possible reasons for such a blown up IV
coeff (49.97424 )? or my interpretation of coeff is incorrect.

 areg agr_share roaddum ims_hab_pop, robust absorb(dcode)

Linear regression, absorbing indicators                Number of obs =     266
                                                       F(  2,   250) =    0.66
                                                       Prob > F      =  0.5182
                                                       R-squared     =  0.0680
                                                       Adj R-squared =  0.0121
                                                       Root MSE      =  26.294

------------------------------------------------------------------------------
             |               Robust
   agr_share |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
     roaddum |   4.006567   3.572553     1.12   0.263     -3.02957     11.0427
 ims_hab_pop |    .001926   .0344155     0.06   0.955    -.0658552    .0697071
       _cons |   34.78717   36.38659     0.96   0.340    -36.87615    106.4505
-------------+----------------------------------------------------------------
       dcode |   absorbed                                      (14 categories)

. xi: ivreg2 agr_share  ims_hab_pop i.dcode (roaddum=rank), robust
i.dcode           _Idcode_1-14        (_Idcode_1 for dcode==UP09 omitted)

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

Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity

                                                      Number of obs =      266
                                                      F( 15,   250) =     0.88
                                                      Prob > F      =   0.5891
Total (centered) SS     =  185457.6241                Centered R2   =  -0.5185
Total (uncentered) SS   =       590824                Uncentered R2 =   0.5233
Residual SS             =   281625.775                Root MSE      =    32.54

------------------------------------------------------------------------------
             |               Robust
   agr_share |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
     roaddum |   49.97424   35.09856     1.42   0.154    -18.81768    118.7662
 ims_hab_pop |  -.0354515   .0511597    -0.69   0.488    -.1357226    .0648196
   _Idcode_2 |   -39.0505   25.58464    -1.53   0.127    -89.19546    11.09446
   _Idcode_3 |  -41.62481   26.03165    -1.60   0.110    -92.64591    9.396298
   _Idcode_4 |  -16.54727   20.19038    -0.82   0.412    -56.11968    23.02513
   _Idcode_5 |  -41.45807   29.51111    -1.40   0.160    -99.29878    16.38264
   _Idcode_6 |  -32.93124   16.32568    -2.02   0.044      -64.929   -.9334909
   _Idcode_7 |  -8.880318   13.20529    -0.67   0.501    -34.76221    17.00157
   _Idcode_8 |  -44.38007   24.23395    -1.83   0.067    -91.87774    3.117595
   _Idcode_9 |  -44.81575   24.87717    -1.80   0.072    -93.57409    3.942605
  _Idcode_10 |  -21.14303   12.84912    -1.65   0.100    -46.32684    4.040777
  _Idcode_11 |  -22.56438   9.922245    -2.27   0.023    -42.01162   -3.117138
  _Idcode_12 |  -12.55903   12.52187    -1.00   0.316    -37.10144    11.98338
  _Idcode_13 |  -14.25003   9.233117    -1.54   0.123    -32.34661    3.846547
  _Idcode_14 |  -26.27491   11.42556    -2.30   0.021    -48.66859   -3.881229
       _cons |   74.88709   53.28162     1.41   0.160    -29.54296    179.3171
------------------------------------------------------------------------------
Underidentification test (Kleibergen-Paap rk LM statistic):              1.825
                                                   Chi-sq(1) P-val =    0.1767
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic):                2.977
                         (Kleibergen-Paap rk Wald F statistic):          2.488
Stock-Yogo weak ID test critical values: 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.
------------------------------------------------------------------------------
Hansen J statistic (overidentification test of all instruments):         0.000
                                                 (equation exactly identified)
------------------------------------------------------------------------------
Instrumented:         roaddum
Included instruments: ims_hab_pop _Idcode_2 _Idcode_3 _Idcode_4 _Idcode_5
                      _Idcode_6 _Idcode_7 _Idcode_8 _Idcode_9 _Idcode_10
                      _Idcode_11 _Idcode_12 _Idcode_13 _Idcode_14
Excluded instruments: rank
------------------------------------------------------------------------------

Thanks,
Shikha
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