I am trying to run an IV regression with the ivreg2 command
I want to instument esg with president congress and state_government and als want to add an interaction term between the predicted esg and advertising.
This is my code and it runs perfectly fine, however I am not sure what included and excluded instruments at the emnd of my output means.
would be awesome, if you could help me with that.
Patrick
Code:
. ivreg2 firm_beta_w (esg_single c.esg_single#c.advertising_lag1 = president congress state_government c.president#c.advertising_lag1 c.congress#c.advertising_lag1 c.state_govern
> ment#c.advertising_lag1) diversification_lag1 RnD_lag1 advertising_lag1 leverage_lag1 capex_lag1 cash_lag1 size_lag1 earnings_variability_lag1 state_tax_lag1 cash_flow_lag1 i.i
> ndustry_key i.year, cluster (double_cluster)
IV (2SLS) estimation
--------------------
Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity and clustering on double_cluster
Number of clusters (double_cluster) = 5078 Number of obs = 5078
F( 52, 5077) = 5.92
Prob > F = 0.0000
Total (centered) SS = 906.7431706 Centered R2 = -2.2984
Total (uncentered) SS = 7018.699109 Uncentered R2 = 0.5739
Residual SS = 2990.819343 Root MSE = .7674
-------------------------------------------------------------------------------------------------
| Robust
firm_beta_w | Coef. Std. Err. z P>|z| [95% Conf. Interval]
--------------------------------+----------------------------------------------------------------
esg_single | 3.641782 1.468439 2.48 0.013 .7636933 6.51987
|
c.esg_single#c.advertising_lag1 | 3.350082 2.830193 1.18 0.237 -2.196995 8.897159
|
diversification_lag1 | -.0409026 .0148831 -2.75 0.006 -.0700729 -.0117323
RnD_lag1 | -.790214 .6759942 -1.17 0.242 -2.115138 .5347103
advertising_lag1 | -2.086695 1.305185 -1.60 0.110 -4.64481 .47142
leverage_lag1 | -.2371276 .1306038 -1.82 0.069 -.4931064 .0188511
capex_lag1 | -.1735033 .0502726 -3.45 0.001 -.2720357 -.0749709
cash_lag1 | .0149469 .0095982 1.56 0.119 -.0038652 .033759
size_lag1 | -.3632411 .1132335 -3.21 0.001 -.5851746 -.1413075
earnings_variability_lag1 | .0348496 .0107851 3.23 0.001 .0137112 .0559879
state_tax_lag1 | -1.758741 .5530467 -3.18 0.001 -2.842693 -.6747892
cash_flow_lag1 | -1.536057 .4528595 -3.39 0.001 -2.423645 -.6484688
|
industry_key |
16 | -1.035736 .3438716 -3.01 0.003 -1.709712 -.3617601
19 | -.0163884 .1882117 -0.09 0.931 -.3852765 .3524997
22 | -1.027894 .2370409 -4.34 0.000 -1.492486 -.5633028
25 | -.7092032 .2650471 -2.68 0.007 -1.228686 -.1897204
28 | -.270681 .1952307 -1.39 0.166 -.6533263 .1119642
31 | -.2162985 .1606167 -1.35 0.178 -.5311016 .0985045
34 | -.6365382 .1855579 -3.43 0.001 -1.000225 -.2728514
37 | -.2419495 .1883621 -1.28 0.199 -.6111325 .1272335
40 | -.5360543 .2120863 -2.53 0.011 -.9517358 -.1203729
43 | -.4280807 .1684857 -2.54 0.011 -.7583065 -.0978548
46 | -1.266207 .2876931 -4.40 0.000 -1.830075 -.7023385
49 | -.4082653 .198143 -2.06 0.039 -.7966184 -.0199122
52 | -.8010831 .3974006 -2.02 0.044 -1.579974 -.0221922
55 | -.7300625 .3022019 -2.42 0.016 -1.322367 -.1377577
58 | -.4206561 .1896787 -2.22 0.027 -.7924196 -.0488926
61 | -.4476334 .232669 -1.92 0.054 -.9036562 .0083895
64 | -.3491936 .3374465 -1.03 0.301 -1.010577 .3121895
67 | -.1514687 .1536733 -0.99 0.324 -.4526629 .1497254
70 | -.7948838 .2461711 -3.23 0.001 -1.27737 -.3123973
73 | -.2534841 .2254281 -1.12 0.261 -.695315 .1883468
76 | -1.216448 .3143974 -3.87 0.000 -1.832656 -.6002409
79 | -.5627339 .2124819 -2.65 0.008 -.9791907 -.146277
82 | -.6367618 .1737174 -3.67 0.000 -.9772417 -.2962819
85 | -.3831806 .1771696 -2.16 0.031 -.7304266 -.0359346
|
year |
2004 | -.0751088 .104994 -0.72 0.474 -.2808932 .1306757
2005 | -.1037309 .1263353 -0.82 0.412 -.3513436 .1438817
2006 | -.1009591 .1346585 -0.75 0.453 -.3648848 .1629667
2007 | -.4010997 .1722144 -2.33 0.020 -.7386337 -.0635656
2008 | -.5051028 .2021503 -2.50 0.012 -.9013102 -.1088955
2009 | -.5523198 .229715 -2.40 0.016 -1.002553 -.1020867
2010 | -.6446896 .2584752 -2.49 0.013 -1.151292 -.1380875
2011 | -.6575347 .2649707 -2.48 0.013 -1.176868 -.1382017
2012 | -.6790412 .2618089 -2.59 0.009 -1.192177 -.1659051
2013 | -.6545134 .2603327 -2.51 0.012 -1.164756 -.1442706
2014 | -.6489779 .2600528 -2.50 0.013 -1.158672 -.1392838
2015 | -.778726 .2875821 -2.71 0.007 -1.342377 -.2150755
2016 | -.827802 .3286517 -2.52 0.012 -1.471948 -.1836564
2017 | -.9341321 .34259 -2.73 0.006 -1.605596 -.262668
2018 | -1.048702 .3522091 -2.98 0.003 -1.739019 -.3583846
2019 | -.9575414 .3478008 -2.75 0.006 -1.639218 -.2758643
|
_cons | 7.009552 1.756478 3.99 0.000 3.566918 10.45219
-------------------------------------------------------------------------------------------------
Underidentification test (Kleibergen-Paap rk LM statistic): 15.402
Chi-sq(5) P-val = 0.0088
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic): 2.494
(Kleibergen-Paap rk Wald F statistic): 2.611
Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 15.72
10% maximal IV relative bias 9.48
20% maximal IV relative bias 6.08
30% maximal IV relative bias 4.78
10% maximal IV size 21.68
15% maximal IV size 12.33
20% maximal IV size 9.10
25% maximal IV size 7.42
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): 4.223
Chi-sq(4) P-val = 0.3766
------------------------------------------------------------------------------
Instrumented: esg_single c.esg_single#c.advertising_lag1
Included instruments: diversification_lag1 RnD_lag1 advertising_lag1
leverage_lag1 capex_lag1 cash_lag1 size_lag1
earnings_variability_lag1 state_tax_lag1 cash_flow_lag1
16.industry_key 19.industry_key 22.industry_key
25.industry_key 28.industry_key 31.industry_key
34.industry_key 37.industry_key 40.industry_key
43.industry_key 46.industry_key 49.industry_key
52.industry_key 55.industry_key 58.industry_key
61.industry_key 64.industry_key 67.industry_key
70.industry_key 73.industry_key 76.industry_key
79.industry_key 82.industry_key 85.industry_key 2004.year
2005.year 2006.year 2007.year 2008.year 2009.year
2010.year 2011.year 2012.year 2013.year 2014.year
2015.year 2016.year 2017.year 2018.year 2019.year
Excluded instruments: president congress state_government
c.president#c.advertising_lag1
c.congress#c.advertising_lag1
c.state_government#c.advertising_lag1
0 Response to Instrumental Variable - Difference between included and excluded instruments
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