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 i am confused by post-estimation results with warning message "Warning: estimated covariance matrix......" and it also does not provide result of endogeniety test...
Code:
ivreg2 lninval (bm=msphund) popd polity2 lnpn religion i.colonyg i.ccode, cluster(ccode) endog(bm)
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( 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
popd | -.000797 .0045606 -0.17 0.861 -.0097356 .0081416
polity2 | -.0221709 .0163135 -1.36 0.174 -.0541447 .0098029
lnpn | .6344185 .1019784 6.22 0.000 .4345445 .8342925
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: popd polity2 lnpn 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
------------------------------------------------------------------------------Code:
ivreg2 lninval (bm=msphund) popd polity2 lnpn 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
popd | -.000797 .0045606 -0.17 0.861 -.0097356 .0081416
polity2 | -.0221709 .0163135 -1.36 0.174 -.0541447 .0098029
lnpn | .6344185 .1019784 6.22 0.000 .4345445 .8342925
------------------------------------------------------------------------------
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: popd polity2 lnpn
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
------------------------------------------------------------------------------Code:
ivreg2 lninval (bm=msphund) popd polity2 lnpn, cluster(ccode) endog(bm)
Code:
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) = 45.28
Prob > F = 0.0000
Total (centered) SS = 8782.392021 Centered R2 = 0.7913
Total (uncentered) SS = 102392.8999 Uncentered R2 = 0.9821
Residual SS = 1833.020807 Root MSE = 1.248
------------------------------------------------------------------------------
| Robust
lninval | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
bm | -.0651777 .0147802 -4.41 0.000 -.0941463 -.0362092
popd | .0018691 .002672 0.70 0.484 -.0033679 .0071062
polity2 | .0688006 .02927 2.35 0.019 .0114326 .1261687
lnpn | .9762861 .0767105 12.73 0.000 .8259362 1.126636
_cons | -.5384446 .9718781 -0.55 0.580 -2.443291 1.366401
------------------------------------------------------------------------------
Underidentification test (Kleibergen-Paap rk LM statistic): 15.840
Chi-sq(1) P-val = 0.0001
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic): 131.399
(Kleibergen-Paap rk Wald F statistic): 28.588
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: 22.242
Chi-sq(1) P-val = 0.0000
Regressors tested: bm
------------------------------------------------------------------------------
Instrumented: bm
Included instruments: popd polity2 lnpn
Excluded instruments: msphund
------------------------------------------------------------------------------Code:
xi: ivreg2 lninval (bm=msphund) popd polity2 lnpn religion i.colonyg i.ccode, cluster(ccode) endog(bm)
Code:
i.colonyg _Icolonyg_1-6 (naturally coded; _Icolonyg_1 omitted)
i.ccode _Iccode_1-43 (naturally coded; _Iccode_1 omitted)
Warning - collinearities detected
Vars dropped: _Iccode_14 _Iccode_16 _Iccode_33 _Iccode_36 _Iccode_38
_Iccode_40 _Iccode_43
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
popd | -.000797 .0045606 -0.17 0.861 -.0097356 .0081416
polity2 | -.0221709 .0163135 -1.36 0.174 -.0541447 .0098029
lnpn | .6344185 .1019784 6.22 0.000 .4345445 .8342925
religion | -1.545679 .655505 -2.36 0.018 -2.830446 -.2609131
_Icolonyg_2 | .6188915 1.295867 0.48 0.633 -1.92096 3.158743
_Icolonyg_3 | 1.185666 1.627479 0.73 0.466 -2.004134 4.375467
_Icolonyg_4 | .8160768 1.44639 0.56 0.573 -2.018796 3.65095
_Icolonyg_5 | .8450834 1.63738 0.52 0.606 -2.364123 4.054289
_Icolonyg_6 | -1.075271 1.421021 -0.76 0.449 -3.860421 1.70988
_Iccode_2 | -.1374123 .2565583 -0.54 0.592 -.6402574 .3654327
_Iccode_3 | -.1817275 .3549695 -0.51 0.609 -.877455 .5139999
_Iccode_4 | .4715192 .7613694 0.62 0.536 -1.020737 1.963776
_Iccode_5 | -.344699 .3413542 -1.01 0.313 -1.013741 .324343
_Iccode_6 | .9443374 .6825825 1.38 0.167 -.3934998 2.282175
_Iccode_7 | -.3731629 .2848706 -1.31 0.190 -.931499 .1851732
_Iccode_8 | -.9599937 .3675614 -2.61 0.009 -1.680401 -.2395866
_Iccode_9 | .4102447 .7871616 0.52 0.602 -1.132564 1.953053
_Iccode_10 | -2.560205 .9727601 -2.63 0.008 -4.46678 -.6536305
_Iccode_11 | -.4878504 1.429966 -0.34 0.733 -3.290532 2.314831
_Iccode_12 | -1.076217 .3745986 -2.87 0.004 -1.810417 -.3420175
_Iccode_13 | .09228 .2410625 0.38 0.702 -.3801938 .5647538
_Iccode_14 | 0 (omitted)
_Iccode_15 | -.9769211 .3463366 -2.82 0.005 -1.655728 -.2981138
_Iccode_16 | 0 (omitted)
_Iccode_17 | -1.456316 .3746422 -3.89 0.000 -2.190601 -.7220305
_Iccode_18 | .0666229 .3060478 0.22 0.828 -.5332199 .6664656
_Iccode_19 | -.5456202 .4413525 -1.24 0.216 -1.410655 .3194149
_Iccode_20 | .6744012 .6622356 1.02 0.309 -.6235566 1.972359
_Iccode_21 | -.7752258 .2783507 -2.79 0.005 -1.320783 -.2296683
_Iccode_22 | .6843882 .1415277 4.84 0.000 .4069989 .9617774
_Iccode_23 | -.0550631 .3391241 -0.16 0.871 -.719734 .6096079
_Iccode_24 | -.588617 .4212288 -1.40 0.162 -1.41421 .2369764
_Iccode_25 | -.5324383 .6261119 -0.85 0.395 -1.759595 .6947185
_Iccode_26 | 1.18508 .8053307 1.47 0.141 -.393339 2.763499
_Iccode_27 | -2.671196 .5901045 -4.53 0.000 -3.82778 -1.514612
_Iccode_28 | 1.662388 2.332419 0.71 0.476 -2.90907 6.233846
_Iccode_29 | .7522117 .2014798 3.73 0.000 .3573185 1.147105
_Iccode_30 | .2789614 .4216059 0.66 0.508 -.5473709 1.105294
_Iccode_31 | .291211 .7230231 0.40 0.687 -1.125888 1.70831
_Iccode_32 | 1.595191 .6150546 2.59 0.009 .3897066 2.800676
_Iccode_33 | 0 (omitted)
_Iccode_34 | -4.751193 1.205532 -3.94 0.000 -7.113993 -2.388393
_Iccode_35 | .9146707 .5859546 1.56 0.119 -.2337793 2.063121
_Iccode_36 | 0 (omitted)
_Iccode_37 | 2.840891 .4285955 6.63 0.000 2.000859 3.680922
_Iccode_38 | 0 (omitted)
_Iccode_39 | -.6249982 .2278374 -2.74 0.006 -1.071551 -.1784452
_Iccode_40 | 0 (omitted)
_Iccode_41 | -.7446223 .6522119 -1.14 0.254 -2.022934 .5336895
_Iccode_42 | -.6195256 .2473664 -2.50 0.012 -1.104355 -.1346965
_Iccode_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: popd polity2 lnpn religion _Icolonyg_2 _Icolonyg_3
_Icolonyg_4 _Icolonyg_5 _Icolonyg_6 _Iccode_2 _Iccode_3
_Iccode_4 _Iccode_5 _Iccode_6 _Iccode_7 _Iccode_8
_Iccode_9 _Iccode_10 _Iccode_11 _Iccode_12 _Iccode_13
_Iccode_15 _Iccode_17 _Iccode_18 _Iccode_19 _Iccode_20
_Iccode_21 _Iccode_22 _Iccode_23 _Iccode_24 _Iccode_25
_Iccode_26 _Iccode_27 _Iccode_28 _Iccode_29 _Iccode_30
_Iccode_31 _Iccode_32 _Iccode_34 _Iccode_35 _Iccode_37
_Iccode_39 _Iccode_41 _Iccode_42
Excluded instruments: msphund
Dropped collinear: _Iccode_14 _Iccode_16 _Iccode_33 _Iccode_36 _Iccode_38
_Iccode_40 _Iccode_43
------------------------------------------------------------------------------Code:
ivreg2 lninval (bm=msphund) popd polity2 lnpn religion i.colonyg i.ccode, cluster(ccode) endog(bm)
0 Response to ivreg2 panel data analysis with dummy control variables
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