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| From | "Xiao, Chong" <chong.Xiao@scheller.gatech.edu> |
| To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
| Subject | st: Weak instrument tests in small panel data |
| Date | Thu, 13 Feb 2014 20:40:19 +0000 |
Dear statalist users: I have an unbalanced panel data that consists of about 40 groups in the cross section and 21 periods. I have two instruments and one endogenous variable that are all time-invariant. When I run the 2SLS regression, the Kleibergen-Paap F statistic is below the conventional critical value of 10, but the Shea Partial R2 is more than 10% and the Anderson-Rubin tests also show up strong. The first stage estimates for the instruments are also significant. I suspect that it is the small sample that drives the low F statistic. But could anyone provide more detailed explanations to reconcile the discrepancy between the various weak instrument test results? Thanks! Number of clusters = 47 Number of obs = 876 Anderson-Rubin Wald test F(2,46)= 6.27 P-val=0.0039 Anderson-Rubin Wald test Chi-sq(2)= 12.98 P-val=0.0015 Underidentification test (Kleibergen-Paap rk LM statistic): 10.191 Chi-sq(2) P-val = 0.0061 Weak identification test (Cragg-Donald Wald F statistic): 114.638 (Kleibergen-Paap rk Wald F statistic): 8.952 sheapr2 .20971431 Best, Steven Xiao * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/