Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: RE: Blown up IV coefficient


From   "Wooldridge, Jeffrey" <[email protected]>
To   <[email protected]>
Subject   st: RE: Blown up IV coefficient
Date   Wed, 9 Mar 2011 12:24:42 -0500

For the IV estimates to be at all convincing, first run the reduced
form,

areg roaddum rank agr_share  ims_hab_pop, absorb(dcode) robust

and look at the sign of the coefficient on rank and its t statistic.
Hopefully you have a predicted sign for the effect of rank on roaddum.
If the sign is what you expect, is rank strongly statistically
significant? The statistics for weak identification provide this
information, too, but you should estimate the reduced form, anyway. It
is easier to see what is happening.

My guess is the instrument is weak. Or, the IV could actually be
endogenous (which cannot be tested, unfortunately).

Jeff 

-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Shikha Sinha
Sent: Wednesday, March 09, 2011 12:17 PM
To: [email protected]
Subject: st: Blown up IV coefficient

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
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index