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From | "Ayesha Malhotra" <ayesha.malhotra@haskayne.ucalgary.ca> |
To | "Ayesha Malhotra" <ayesha.malhotra@haskayne.ucalgary.ca> |
Subject | st: XTIVREG2: Are my instruments proper? |
Date | Mon, 26 Dec 2011 17:23:01 -0700 (MST) |
Dear Statalist, Happy Holidays! I have two sets of results below. In the first fe regression, the main endogenous variable "wlggluwmktsh" is a significant predictor and the instruments are acceptable based on the 3 tests reported by xtivreg2. In the second regression, I add year dummies. Now, the endogenous variable is NOT significant and the 3 tests for valid/strong instruments are still met. I'm not clear why the regressor becomes insignificant in the second regression. Isn't it the purpose of the first IV regression to account for omitted variable issues? Thanks in advance for your guidance. Best wishes, Ayesha Ayesha Malhotra Assistant Professor, Strategy & Global Management Haskayne School of Business, University of Calgary FIRST REGRESSION . xtivreg2 wuwmktsh wlgrivalussh wlgrivalusshsq lgintmarg lglogassetsmd lgsigmrg wlgassetgr lgassetdiversity wlgroa lgmnyctr (wlggluwmktsh > wlgciussh=wlgsigfordep l.wlggluwmktsh l.lgciussh), fe cluster(entity) Warning - singleton groups detected. 6 observation(s) not used. FIXED EFFECTS ESTIMATION ------------------------ Number of groups = 77 Obs per group: miN= 2 avg = 11.2 max = 22 IV (2SLS) estimation -------------------- Estimates efficient for homoskedasticity only Statistics robust to heteroskedasticity and clustering on entity Number of clusters (entity) = 77 Number of obs = 859 F( 11, 76) = 7.43 Prob > F = 0.0000 Total (centered) SS = 1417.794625 Centered R2 = 0.6587 Total (uncentered) SS = 1417.794625 Uncentered R2 = 0.6587 Residual SS = 483.9461722 Root MSE = .7867 ------------------------------------------------------------------------------ | Robust wuwmktsh | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+-------------------------------------------------------------wlggluwmktsh | 1.090995 .086687 12.59 0.000 .9210911 260898 Other results removed... ------------------------------------------------------------------------------ Underidentification test (Kleibergen-Paap rk LM statistic): 10.050 Chi-sq(2) P-val = 0.0066 ------------------------------------------------------------------------------ Weak identification test (Kleibergen-Paap rk Wald F statistic): 14.625 Stock-Yogo weak ID test critical values: 10% maximal IV size 13.43 15% maximal IV size 8.18 20% maximal IV size 6.40 25% maximal IV size 5.45 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): 0.980 Chi-sq(1) P-val = 0.3221 ------------------------------------------------------------------------------ Instrumented: wlggluwmktsh wlgciussh Included instruments: wlgrivalussh wlgrivalusshsq lgintmarg lglogassetsmd lgsigmrg wlgassetgr lgassetdiversity wlgroa lgmnyctr Excluded instruments: wlgsigfordep L.wlggluwmktsh L.lgciussh SECOND REGRESSION - HAS TIME DUMMIES xtivreg2 wuwmktsh wlgrivalussh wlgrivalusshsq lgintmarg lglogassetsmd lgsigmrg wlgassetgr lgassetdiversity wlgroa lgmnyctr yrdum1-yrdum23 > (wlggluwmktsh wlgciussh=wlgsigfordep l.wlggluwmktsh l.lgciussh), fe cluster(entity) Warning - singleton groups detected. 6 observation(s) not used. Warning - collinearities detected Vars dropped: yrdum1 yrdum23 FIXED EFFECTS ESTIMATION ------------------------ Number of groups = 77 Obs per group: min = 2 avg = 11.2 max = 22 IV (2SLS) estimation -------------------- Estimates efficient for homoskedasticity only Statistics robust to heteroskedasticity and clustering on entity Number of clusters (entity) = 77 Number of obs = 859 F( 32, 76) = 6476.04 Prob > F = 0.0000 Total (centered) SS = 1417.794625 Centered R2 = 0.8120 Total (uncentered) SS = 1417.794625 Uncentered R2 = 0.8120 Residual SS = 266.5785924 Root MSE = .5839 --------------------------------------------------------------------------- | Robust wuwmktsh | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- wlggluwmktsh | .0616593 .1000854 0.62 0.538 .1345045 .2578231 Some other results removed.... yrdum2 | -30.33265 2.549937 -11.90 0.000 -35.33044 -25.33487 yrdum3 | -30.94688 2.592648 -11.94 0.000 -36.02838 -25.86539 yrdum4 | -29.49283 2.483674 -11.87 0.000 -34.36075 -24.62492 yrdum5 | -29.74965 2.509561 -11.85 0.000 -34.6683 -24.83101 yrdum6 | -29.20278 2.466175 -11.84 0.000 -34.03639 -24.36916 yrdum7 | -28.2574 2.399218 -11.78 0.000 -32.95978 -23.55502 yrdum8 | -25.69739 2.217672 -11.59 0.000 -30.04395 -21.35083 yrdum9 | -21.18458 1.941362 -10.91 0.000 -24.98958 -17.37958 yrdum10 | -21.14397 1.959225 -10.79 0.000 -24.98398 -17.30396 yrdum11 | -19.71581 2.089331 -9.44 0.000 -23.81082 -15.6208 yrdum12 | -12.39363 1.355772 -9.14 0.000 -15.05089 -9.736362 yrdum13 | -9.591614 1.271486 -7.54 0.000 -12.08368 -7.099548 yrdum14 | -7.524386 .8318182 -9.05 0.000 -9.15472 -5.894053 yrdum15 | -7.845728 .8834701 -8.88 0.000 -9.577297 -6.114158 yrdum16 | -8.041389 .9002762 -8.93 0.000 -9.805898 -6.27688 yrdum17 | -8.088559 .9122472 -8.87 0.000 -9.87653 -6.300587 yrdum18 | -10.25239 1.067351 -9.61 0.000 -12.34436 -8.160416 yrdum19 | -11.51903 1.186703 -9.71 0.000 -13.84492 -9.193134 yrdum20 | -9.931895 1.189907 -8.35 0.000 -12.26407 -7.599721 yrdum21 | -4.975506 .7196383 -6.91 0.000 -6.385971 -3.565041 yrdum22 | -4.745704 .6567907 -7.23 0.000 -6.032991 -3.458418 ------------------------------------------------------------------------------ Underidentification test (Kleibergen-Paap rk LM statistic): 11.455 Chi-sq(2) P-val = 0.0033 ------------------------------------------------------------------------------ Weak identification test (Kleibergen-Paap rk Wald F statistic): 36.383 Stock-Yogo weak ID test critical values: 10% maximal IV size 13.43 15% maximal IV size 8.18 20% maximal IV size 6.40 25% maximal IV size 5.45 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): 2.155 Chi-sq(1) P-val = 0.1421 ------------------------------------------------------------------------------ Instrumented: wlggluwmktsh wlgciussh Included instruments: wlgrivalussh wlgrivalusshsq lgintmarg lglogassetsmd lgsigmrg wlgassetgr lgassetdiversity wlgroa lgmnyctr yrdum2 yrdum3 yrdum4 yrdum5 yrdum6 yrdum7 yrdum8 yrdum9 yrdum10 yrdum11 yrdum12 yrdum13 yrdum14 yrdum15 yrdum16 yrdum17 yrdum18 yrdum19 yrdum20 yrdum21 yrdum22 Excluded instruments: wlgsigfordep L.wlggluwmktsh L.lgciussh Dropped collinear: yrdum1 yrdum23 ------------------------------------------------------------------------------ . * * 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/