i am estimating following model using panel data with dummy control variables like religion colonial legacy and country fixed effects. i have one endogenous regressor and instrument variable. Although the results include weak instrument test but it does not contain the endogeniety test and i am also confused by warning message "Warning: estimated covariance matrix......" therefore as mentioned in the ivre2 manual i reestimated the model with partial (varlist) option..now i have all the post-estimation results but the coefficients for dummy variables which are important control variables are not given in the coefficient table ...i dont understand what happens with these control variables and how can i interpret results for dropped control variables in the partial out model.....
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ivreg2 lninval (bm=msphund) lnpn polity2 popd religion i.colonyg i.ccode, cluster(ccode) endog(bm)
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Warning - collinearities detected Vars dropped: 14.ccode 16.ccode 33.ccode 36.ccode 40.ccode 43.ccode IV (2SLS) estimation -------------------- Estimates efficient for homoskedasticity only Statistics robust to heteroskedasticity and clustering on ccode Number of clusters (ccode) = 42 Number of obs = 1176 F( 45, 41) = 4.02 Prob > F = 0.0000 Total (centered) SS = 8782.392021 Centered R2 = 0.9527 Total (uncentered) SS = 102392.8999 Uncentered R2 = 0.9959 Residual SS = 415.5114745 Root MSE = .5944 ------------------------------------------------------------------------------ | Robust lninval | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- bm | -.0550026 .0148295 -3.71 0.000 -.0840679 -.0259372 lnpn | .6344185 .1019784 6.22 0.000 .4345445 .8342925 polity2 | -.0221709 .0163135 -1.36 0.174 -.0541447 .0098029 popd | -.000797 .0045606 -0.17 0.861 -.0097356 .0081416 religion | -1.545679 .655505 -2.36 0.018 -2.830446 -.2609131 | colonyg | France | .6188915 1.295867 0.48 0.633 -1.92096 3.158743 GB | 1.185666 1.627479 0.73 0.466 -2.004134 4.375467 Italy | .8160768 1.44639 0.56 0.573 -2.018796 3.65095 Portugal | .8450834 1.63738 0.52 0.606 -2.364123 4.054289 Spain | -1.075271 1.421021 -0.76 0.449 -3.860421 1.70988 | ccode | 2 | -.1374123 .2565583 -0.54 0.592 -.6402574 .3654327 3 | -.1817275 .3549695 -0.51 0.609 -.877455 .5139999 4 | .4715192 .7613694 0.62 0.536 -1.020737 1.963776 5 | -.344699 .3413542 -1.01 0.313 -1.013741 .324343 6 | .9443374 .6825825 1.38 0.167 -.3934998 2.282175 7 | -.3731629 .2848706 -1.31 0.190 -.931499 .1851732 8 | -.9599937 .3675614 -2.61 0.009 -1.680401 -.2395866 9 | .4102447 .7871616 0.52 0.602 -1.132564 1.953053 10 | -2.560205 .9727601 -2.63 0.008 -4.46678 -.6536305 11 | -.4878504 1.429966 -0.34 0.733 -3.290532 2.314831 12 | -1.076217 .3745986 -2.87 0.004 -1.810417 -.3420175 13 | .09228 .2410625 0.38 0.702 -.3801938 .5647538 14 | 0 (omitted) 15 | -.9769211 .3463366 -2.82 0.005 -1.655728 -.2981138 16 | 0 (omitted) 17 | -1.456316 .3746422 -3.89 0.000 -2.190601 -.7220305 18 | .0666229 .3060478 0.22 0.828 -.5332199 .6664656 19 | -.5456202 .4413525 -1.24 0.216 -1.410655 .3194149 20 | .6744012 .6622356 1.02 0.309 -.6235566 1.972359 21 | -.7752258 .2783507 -2.79 0.005 -1.320783 -.2296683 22 | .6843882 .1415277 4.84 0.000 .4069989 .9617774 23 | -.0550631 .3391241 -0.16 0.871 -.719734 .6096079 24 | -.588617 .4212288 -1.40 0.162 -1.41421 .2369764 25 | -.5324383 .6261119 -0.85 0.395 -1.759595 .6947185 26 | 1.18508 .8053307 1.47 0.141 -.393339 2.763499 27 | -2.671196 .5901045 -4.53 0.000 -3.82778 -1.514612 28 | 1.662388 2.332419 0.71 0.476 -2.90907 6.233846 29 | .7522117 .2014798 3.73 0.000 .3573185 1.147105 30 | .2789614 .4216059 0.66 0.508 -.5473709 1.105294 31 | .291211 .7230231 0.40 0.687 -1.125888 1.70831 32 | 1.595191 .6150546 2.59 0.009 .3897066 2.800676 33 | 0 (omitted) 34 | -4.751193 1.205532 -3.94 0.000 -7.113993 -2.388393 35 | .9146707 .5859546 1.56 0.119 -.2337793 2.063121 36 | 0 (omitted) 37 | 2.840891 .4285955 6.63 0.000 2.000859 3.680922 39 | -.6249982 .2278374 -2.74 0.006 -1.071551 -.1784452 40 | 0 (omitted) 41 | -.7446223 .6522119 -1.14 0.254 -2.022934 .5336895 42 | -.6195256 .2473664 -2.50 0.012 -1.104355 -.1346965 43 | 0 (omitted) | _cons | 3.131583 1.924318 1.63 0.104 -.640011 6.903177 ------------------------------------------------------------------------------ Underidentification test (Kleibergen-Paap rk LM statistic): 18.031 Chi-sq(1) P-val = 0.0000 ------------------------------------------------------------------------------ Weak identification test (Cragg-Donald Wald F statistic): 228.980 (Kleibergen-Paap rk Wald F statistic): 36.294 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. ------------------------------------------------------------------------------ Warning: estimated covariance matrix of moment conditions not of full rank. overidentification statistic not reported, and standard errors and model tests should be interpreted with caution. Possible causes: number of clusters insufficient to calculate robust covariance matrix singleton dummy variable (dummy with one 1 and N-1 0s or vice versa) partial option may address problem. ------------------------------------------------------------------------------ Instrumented: bm Included instruments: lnpn polity2 popd religion 2.colonyg 3.colonyg 4.colonyg 5.colonyg 6.colonyg 2.ccode 3.ccode 4.ccode 5.ccode 6.ccode 7.ccode 8.ccode 9.ccode 10.ccode 11.ccode 12.ccode 13.ccode 15.ccode 17.ccode 18.ccode 19.ccode 20.ccode 21.ccode 22.ccode 23.ccode 24.ccode 25.ccode 26.ccode 27.ccode 28.ccode 29.ccode 30.ccode 31.ccode 32.ccode 34.ccode 35.ccode 37.ccode 39.ccode 41.ccode 42.ccode Excluded instruments: msphund Dropped collinear: 14.ccode 16.ccode 33.ccode 36.ccode 40.ccode 43.ccode ------------------------------------------------------------------------------ . end of do-file
Code:
ivreg2 lninval (bm=msphund) lnpn polity2 popd religion i.colonyg i.ccode, cluster(ccode) endog(bm) partial(religion i.colonyg i.ccode)
Code:
Warning - collinearities detected Vars dropped: 14.ccode 16.ccode 33.ccode 36.ccode 40.ccode 43.ccode IV (2SLS) estimation -------------------- Estimates efficient for homoskedasticity only Statistics robust to heteroskedasticity and clustering on ccode Number of clusters (ccode) = 42 Number of obs = 1176 F( 4, 41) = 15.74 Prob > F = 0.0000 Total (centered) SS = 427.3671414 Centered R2 = 0.0277 Total (uncentered) SS = 427.3671414 Uncentered R2 = 0.0277 Residual SS = 415.5114745 Root MSE = .5944 ------------------------------------------------------------------------------ | Robust lninval | Coef. Std. Err. z P>|z| [95% Conf. Interval] -------------+---------------------------------------------------------------- bm | -.0550026 .0148295 -3.71 0.000 -.0840679 -.0259372 lnpn | .6344185 .1019784 6.22 0.000 .4345445 .8342925 polity2 | -.0221709 .0163135 -1.36 0.174 -.0541447 .0098029 popd | -.000797 .0045606 -0.17 0.861 -.0097356 .0081416 ------------------------------------------------------------------------------ Underidentification test (Kleibergen-Paap rk LM statistic): 18.031 Chi-sq(1) P-val = 0.0000 ------------------------------------------------------------------------------ Weak identification test (Cragg-Donald Wald F statistic): 228.980 (Kleibergen-Paap rk Wald F statistic): 36.294 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. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 0.000 (equation exactly identified) -endog- option: Endogeneity test of endogenous regressors: 10.926 Chi-sq(1) P-val = 0.0009 Regressors tested: bm ------------------------------------------------------------------------------ Instrumented: bm Included instruments: lnpn polity2 popd Excluded instruments: msphund Partialled-out: religion 2.colonyg 3.colonyg 4.colonyg 5.colonyg 6.colonyg 2.ccode 3.ccode 4.ccode 5.ccode 6.ccode 7.ccode 8.ccode 9.ccode 10.ccode 11.ccode 12.ccode 13.ccode 15.ccode 17.ccode 18.ccode 19.ccode 20.ccode 21.ccode 22.ccode 23.ccode 24.ccode 25.ccode 26.ccode 27.ccode 28.ccode 29.ccode 30.ccode 31.ccode 32.ccode 34.ccode 35.ccode 37.ccode 39.ccode 41.ccode 42.ccode _cons nb: total SS, model F and R2s are after partialling-out; any small-sample adjustments include partialled-out variables in regressor count K Dropped collinear: 14.ccode 16.ccode 33.ccode 36.ccode 40.ccode 43.ccode ------------------------------------------------------------------------------ . end of do-file .
does it mean that the coefficient will not be changed for those that are dropped in the partial out model... can i merge the results for instance the coefficients table from the first model and postestimation results from the partial out model and then provide a note "post-estimation statistics are obtained using Frisch-Waugh-Lovell Theorem to partial out the exogenous regressors"
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