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Saturday, December 29, 2018
Different resutls between xtreg and xtivreg2
I recently ran into an issue with xtivreg2. I find that the coefficient estimates are so much different between xtivreg2 and xtreg estimations although I have the same obs in both cases as you see below Do you know why this might be the case? Thanks very much for your help
Ken
. xi: xtivreg2 income_ln (l_nooutage=l_nooutage_other) i.year, fe robust
i.year _Iyear_2012-2016 (naturally coded; _Iyear_2012 omitted)
FIXED EFFECTS ESTIMATION
------------------------
Number of groups = 3563 Obs per group: min = 2
avg = 2.7
max = 3
IV (2SLS) estimation
--------------------
Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity
Number of obs = 9557
F( 3, 5991) = 52.73
Prob > F = 0.0000
Total (centered) SS = 1979.58912 Centered R2 = -0.0393
Total (uncentered) SS = 1979.58912 Uncentered R2 = -0.0393
Residual SS = 2057.374316 Root MSE = .5859
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| Robust
income_ln | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
l_nooutage | 2.12346 .6731734 3.15 0.002 .8040644 3.442856
_Iyear_2014 | .0671006 .0173548 3.87 0.000 .0330859 .1011154
_Iyear_2016 | .1476405 .0245762 6.01 0.000 .0994721 .195809
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Underidentification test (Kleibergen-Paap rk LM statistic): 164.081
Chi-sq(1) P-val = 0.0000
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Weak identification test (Cragg-Donald Wald F statistic): 184.444
(Kleibergen-Paap rk Wald F statistic): 181.606
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.
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Hansen J statistic (overidentification test of all instruments): 0.000
(equation exactly identified)
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Instrumented: l_nooutage
Included instruments: _Iyear_2014 _Iyear_2016
Excluded instruments: l_nooutage_other
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. xi: xtreg income_ln l_nooutage i.year, fe robust
i.year _Iyear_2012-2016 (naturally coded; _Iyear_2012 omitted)
Fixed-effects (within) regression Number of obs = 9,557
Group variable: hh_ID Number of groups = 3,563
R-sq: Obs per group:
within = 0.0299 min = 2
between = 0.0287 avg = 2.7
overall = 0.0156 max = 3
F(3,3562) = 52.80
corr(u_i, Xb) = 0.0359 Prob > F = 0.0000
(Std. Err. adjusted for 3,563 clusters in hh_ID)
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| Robust
income_ln | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
l_nooutage | -.1175234 .1064316 -1.10 0.270 -.3261965 .0911496
_Iyear_2014 | .1045732 .01321 7.92 0.000 .0786732 .1304731
_Iyear_2016 | .2107709 .0169039 12.47 0.000 .1776287 .2439131
_cons | 11.66598 .6202094 18.81 0.000 10.44998 12.88199
-------------+----------------------------------------------------------------
sigma_u | .74279106
sigma_e | .56616934
rho | .63252005 (fraction of variance due to u_i)
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