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| From | Jonathan Richards <richards.868@buckeyemail.osu.edu> |
| To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
| Subject | st: ivreg2: Anderson-Rubin Wald significant, and Stock-Wright S not significant - explanation? |
| Date | Fri, 7 Sep 2012 02:41:40 +0000 |
Hey everyone-
After using ivreg2, the weak-instrument-robust test statistics, the Anderson-Rubin Wald test is significant and the Stock-Wright LM S statistic is not. Thus, based on the Anderson-Rubin Wald statistic, I should reject the null that B=0, and based on the Stock-Wright LM S, I should fail to reject. I don't know what to make of this.
Can anyone shed some light on this? I would appreciate any insight.
Thanks-
Brent
PS Here's my output:
xtivreg2 nzwages ///
> ravensR1 readinglevelR1 writinglevelR1 mathR1 ///
> daded mumed agechildr3 (NCG8 = cropstolenR1), liml first fe cluster(clustid)
FIXED EFFECTS ESTIMATION
------------------------
Number of groups = 21 Obs per group: min = 26
avg = 43.2
max = 51
First-stage regressions
-----------------------
First-stage regression of NCG8:
FIXED EFFECTS ESTIMATION
------------------------
Number of groups = 21 Obs per group: min = 26
avg = 43.2
max = 51
OLS estimation
--------------
Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity and clustering on clustid
Number of clusters (clustid) = 21 Number of obs = 907
F( 8, 20) = 11.21
Prob > F = 0.0000
Total (centered) SS = 24112.07691 Centered R2 = 0.0729
Total (uncentered) SS = 24112.07691 Uncentered R2 = 0.0729
Residual SS = 22354.95047 Root MSE = 5.046
--------------------------------------------------------------------------------
| Robust
NCG8 | Coef. Std. Err. t P>|t| [95% Conf. Interval]
---------------+----------------------------------------------------------------
ravensR1 | -.0361332 .0294914 -1.23 0.235 -.0976512 .0253847
readinglevelR1 | -.4871586 .1570078 -3.10 0.006 -.8146711 -.1596461
writinglevelR1 | -.6210914 .256217 -2.42 0.025 -1.155551 -.0866321
mathR1 | -.7838349 .4316283 -1.82 0.084 -1.684196 .1165259
daded | -.0544231 .0580238 -0.94 0.359 -.1754586 .0666125
mumed | -.011695 .050537 -0.23 0.819 -.1171132 .0937233
agechildr3 | -.0573995 .0446936 -1.28 0.214 -.1506288 .0358297
cropstolenR1 | -5.699977 1.316356 -4.33 0.000 -8.445848 -2.954107
--------------------------------------------------------------------------------
Included instruments: ravensR1 readinglevelR1 writinglevelR1 mathR1 daded mumed
agechildr3 cropstolenR1
------------------------------------------------------------------------------
Partial R-squared of excluded instruments: 0.0288
Test of excluded instruments:
F( 1, 20) = 18.75
Prob > F = 0.0003
Summary results for first-stage regressions
-------------------------------------------
Variable | Shea Partial R2 | Partial R2 | F( 1, 20) P-value
NCG8 | 0.0288 | 0.0288 | 18.75 0.0003
NB: first-stage F-stat cluster-robust
Underidentification tests
Ho: matrix of reduced form coefficients has rank=K1-1 (underidentified)
Ha: matrix has rank=K1 (identified)
Kleibergen-Paap rk LM statistic Chi-sq(1)=2.81 P-val=0.0937
Kleibergen-Paap rk Wald statistic Chi-sq(1)=19.84 P-val=0.0000
Weak identification test
Ho: equation is weakly identified
Kleibergen-Paap Wald rk F statistic 18.75
See main output for Cragg-Donald weak id test critical values
Weak-instrument-robust inference
Tests of joint significance of endogenous regressors B1 in main equation
Ho: B1=0 and overidentifying restrictions are valid
Anderson-Rubin Wald test F(1,20)= 5.77 P-val=0.0262
Anderson-Rubin Wald test Chi-sq(1)=6.10 P-val=0.0135
Stock-Wright LM S statistic Chi-sq(1)=2.66 P-val=0.1028
NB: Underidentification, weak identification and weak-identification-robust
test statistics cluster-robust
Number of clusters N_clust = 21
Number of observations N = 907
Number of regressors K = 8
Number of instruments L = 8
Number of excluded instruments L1 = 1
LIML estimation
---------------
k =1.00000
lambda =1.00000
Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity and clustering on clustid
Number of clusters (clustid) = 21 Number of obs = 907
F( 8, 20) = 11.67
Prob > F = 0.0000
Total (centered) SS = 160.1779314 Centered R2 = -0.1584
Total (uncentered) SS = 160.1779314 Uncentered R2 = -0.1584
Residual SS = 185.5557754 Root MSE = .4576
--------------------------------------------------------------------------------
| Robust
nzwages | Coef. Std. Err. z P>|z| [95% Conf. Interval]
---------------+----------------------------------------------------------------
NCG8 | -.0483625 .0287696 -1.68 0.093 -.1047499 .0080249
ravensR1 | -.0045641 .0029854 -1.53 0.126 -.0104153 .0012872
readinglevelR1 | -.0186649 .0230798 -0.81 0.419 -.0639005 .0265708
writinglevelR1 | -.103645 .0286921 -3.61 0.000 -.1598804 -.0474095
mathR1 | -.0308976 .0515261 -0.60 0.549 -.1318868 .0700917
daded | -.022506 .0047281 -4.76 0.000 -.0317729 -.0132392
mumed | -.0091565 .0058051 -1.58 0.115 -.0205343 .0022213
agechildr3 | .0055488 .005227 1.06 0.288 -.004696 .0157935
--------------------------------------------------------------------------------
Underidentification test (Kleibergen-Paap rk LM statistic): 2.809
Chi-sq(1) P-val = 0.0937
------------------------------------------------------------------------------
Weak identification test (Kleibergen-Paap rk Wald F statistic): 18.750
Stock-Yogo weak ID test critical values: 10% maximal LIML size 16.38
15% maximal LIML size 8.96
20% maximal LIML size 6.66
25% maximal LIML 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: NCG8
Included instruments: ravensR1 readinglevelR1 writinglevelR1 mathR1 daded mumed
agechildr3
Excluded instruments: cropstolenR1
------------------------------------------------------------------------------
.
end of do-file
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