F-statistic is below Stock and Yogo's critical values. However, R squared and Shea's partial R squared are not low. There is no serial autocorrelation problem. The disturbance is homoskedastic. Sargan, Hansen and C-statistic show an instrumental variable is exogenous to the error term thus satisfies the exogeneity condition. The only problem is the instrument is weak in the relevance test although it is relevant to the endogenous variable (its first-stage regression coefficient is significant at 0.001 level.
Related Posts with How to run a 2SLS model with a weak instrument
Prior Event Rate Ratio (PERR) and its confidence intervalDear all, I am trying to calculate Prior Event Rate Ratio (PERR) and its 95% confidence interval in …
How to compare countries in panel data regression?Hi everyone I am comparing variables for 3 countries over 20 years and I would like to have a coeff…
Replacing missing value by linear intervals between tow points across time.Dear Statalist, I am current facing a bit of dilemma with missing variables. I have merge two datas…
OLS panel data regressionHi, I'm trying to run a regression with lots of controls. I'm looking for the impact of media on vot…
ciplot using listwise deletionDear Stata users, I am using Stata/IC 16.1. I have 4 binary variables (Yes=1 No=0). I want to plot …
Subscribe to:
Post Comments (Atom)
0 Response to How to run a 2SLS model with a weak instrument
Post a Comment