Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
From | Shikha Sinha <shikha.sinha414@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: RE: Blown up IV coefficient |
Date | Wed, 9 Mar 2011 13:52:47 -0500 |
Now, I am running the model without the fixed effect. First stage looks good, rank is significant and has the expected sign. OLS coefficient is (-1.868918), while IV coeff is still blown up (-19.42056), in spite of a strong IV. What could be the reason for this? Also, sometimes, sign changes in IV estimation, whats the economteric argument for the sign change? Thanks, Shikha reg roaddum rank ims_hab_pop, robust Linear regression Number of obs = 266 F( 2, 263) = 17.60 Prob > F = 0.0000 R-squared = 0.0705 Root MSE = .48247 ------------------------------------------------------------------------------ | Robust roaddum | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- rank | .0055897 .0009531 5.86 0.000 .0037131 .0074663 ims_hab_pop | -.0001736 .0005512 -0.31 0.753 -.001259 .0009117 _cons | .4812974 .5810408 0.83 0.408 -.6627865 1.625381 ------------------------------------------------------------------------------ . reg avgdalprice roaddum ims_hab_pop, robust Linear regression Number of obs = 251 F( 2, 248) = 1.02 Prob > F = 0.3609 R-squared = 0.0085 Root MSE = 12.093 ------------------------------------------------------------------------------ | Robust avgdalprice | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- roaddum | -1.868918 1.55255 -1.20 0.230 -4.926783 1.188947 ims_hab_pop | .0117034 .0144311 0.81 0.418 -.0167197 .0401265 _cons | 116.8683 15.27632 7.65 0.000 86.78041 146.9561 ------------------------------------------------------------------------------ . ivreg2 avgdalprice ims_hab_pop (roaddum=rank), robust IV (2SLS) estimation -------------------- Estimates efficient for homoskedasticity only Statistics robust to heteroskedasticity Number of obs = 251 F( 2, 248) = 4.33 Prob > F = 0.0142 Total (centered) SS = 36580.18327 Centered R2 = -0.5124 Total (uncentered) SS = 4167930 Uncentered R2 = 0.9867 Residual SS = 55324.45189 Root MSE = 14.85 ------------------------------------------------------------------------------ | Robust avgdalprice | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- roaddum | -19.42056 6.622308 -2.93 0.003 -32.40005 -6.441074 ims_hab_pop | .016525 .0172844 0.96 0.339 -.0173519 .0504019 _cons | 121.521 18.02514 6.74 0.000 86.19241 156.8496 ------------------------------------------------------------------------------ Underidentification test (Kleibergen-Paap rk LM statistic): 18.413 Chi-sq(1) P-val = 0.0000 ------------------------------------------------------------------------------ Weak identification test (Cragg-Donald Wald F statistic): 17.930 (Kleibergen-Paap rk Wald F statistic): 32.974 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 Excluded instruments: rank ------------------------------------------------------------------------------ On Wed, Mar 9, 2011 at 1:32 PM, Wooldridge, Jeffrey <wooldri1@msu.edu> wrote: > No, sorry. You of course had it right. That's what I get for copying and pasting and not editing very well. > > I suspected rank would not be statistically significant. Seems hard to justify IV in that case. > > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Shikha Sinha > Sent: Wednesday, March 09, 2011 1:25 PM > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: RE: Blown up IV coefficient > > Jeff, thanks. > > Should the reduced-form also include the dependent variable > (agr_share) as mentioned by you? > areg roaddum rank ims_hab_pop, absorb(dcode) robust > > Sign on rank is expected, but it is statistically insignificant... > > Thanks, > Shikha > > On Wed, Mar 9, 2011 at 12:24 PM, Wooldridge, Jeffrey <wooldri1@msu.edu> wrote: >> 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: owner-statalist@hsphsun2.harvard.edu >> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Shikha Sinha >> Sent: Wednesday, March 09, 2011 12:17 PM >> To: statalist@hsphsun2.harvard.edu >> 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/ >> > > * > * 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/ > * * 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/