I am actually doing a IV regression with one single endogenous regressior (penetration_row) and two instrumental variables (real_exchange_final & tariff_rate_row). I am using the command ivreghdfe and get the following output:
Code:
ivreghdfe share_zombiesBH2 (L3.penetration_row = L4.tariff_rate_row L4.real_exchange_final) L3.ln_at L3.age L3.F_E L3.tnic3hhi L3.dtfp4 L3.tangibility, first absorb(year sic) cluster(gvkey)
First-stage regression of L3.penetration_row:
Statistics robust to heteroskedasticity and clustering on gvkey
Number of obs = 9497
Number of clusters (gvkey) = 1285
-------------------------------------------------------------------------------------
| Robust
L3.penetration_row | Coef. Std. Err. t P>|t| [95% Conf. Interval]
--------------------+----------------------------------------------------------------
tariff_rate_row |
L4. | -.5737043 .3361944 -1.71 0.088 -1.232718 .085309
|
real_exchange_final |
L4. | .0243828 .004553 5.36 0.000 .0154579 .0333077
|
ln_at |
L3. | -.0003283 .000159 -2.06 0.039 -.00064 -.0000166
|
age |
L3. | .0000254 .0000657 0.39 0.699 -.0001034 .0001542
|
F_E |
L3. | .0006308 .0000899 7.02 0.000 .0004547 .000807
|
tnic3hhi |
L3. | -.001099 .0009947 -1.10 0.269 -.0030489 .0008508
|
dtfp4 |
L3. | .0265433 .0017163 15.47 0.000 .0231791 .0299075
|
tangibility |
L3. | -.0040824 .0022 -1.86 0.064 -.0083949 .0002301
-------------------------------------------------------------------------------------
F test of excluded instruments:
F( 2, 1284) = 14.34
Prob > F = 0.0000
Sanderson-Windmeijer multivariate F test of excluded instruments:
F( 2, 1284) = 14.34
Prob > F = 0.0000
Summary results for first-stage regressions
-------------------------------------------
(Underid) (Weak id)
Variable | F( 2, 1284) P-val | SW Chi-sq( 2) P-val | SW F( 2, 1284)
L3.penetrati | 14.34 0.0000 | 28.84 0.0000 | 14.34
NB: first-stage test statistics cluster-robust
Stock-Yogo weak ID F test critical values for single endogenous regressor:
10% maximal IV size 19.93
15% maximal IV size 11.59
20% maximal IV size 8.75
25% maximal IV size 7.25
Source: Stock-Yogo (2005). Reproduced by permission.
NB: Critical values are for i.i.d. errors only.
Underidentification test
Ho: matrix of reduced form coefficients has rank=K1-1 (underidentified)
Ha: matrix has rank=K1 (identified)
Kleibergen-Paap rk LM statistic Chi-sq(2)=161.09 P-val=0.0000
Weak identification test
Ho: equation is weakly identified
Cragg-Donald Wald F statistic 421.18
Kleibergen-Paap Wald rk F statistic 14.34
Stock-Yogo weak ID test critical values for K1=1 and L1=2:
10% maximal IV size 19.93
15% maximal IV size 11.59
20% maximal IV size 8.75
25% maximal IV size 7.25
Source: Stock-Yogo (2005). Reproduced by permission.
NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors.
Weak-instrument-robust inference
Tests of joint significance of endogenous regressors B1 in main equation
Ho: B1=0 and orthogonality conditions are valid
Anderson-Rubin Wald test F(2,1284)= 3.70 P-val=0.0251
Anderson-Rubin Wald test Chi-sq(2)= 7.43 P-val=0.0244
Stock-Wright LM S statistic Chi-sq(2)= 59.52 P-val=0.0000
NB: Underidentification, weak identification and weak-identification-robust
test statistics cluster-robust
Number of clusters N_clust = 1285
Number of observations N = 9497
Number of regressors K = 7
Number of endogenous regressors K1 = 1
Number of instruments L = 8
Number of excluded instruments L1 = 2
IV (2SLS) estimation
--------------------
Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity and clustering on gvkey
Number of clusters (gvkey) = 1285 Number of obs = 9497
F( 7, 1284) = 20.97
Prob > F = 0.0000
Total (centered) SS = 4.652722306 Centered R2 = -0.0218
Total (uncentered) SS = 4.652722306 Uncentered R2 = -0.0218
Residual SS = 4.754029143 Root MSE = .02243
---------------------------------------------------------------------------------
| Robust
share_zombies~2 | Coef. Std. Err. t P>|t| [95% Conf. Interval]
----------------+----------------------------------------------------------------
penetration_row |
L3. | .2754187 .0562641 4.90 0.000 .165039 .3857983
|
ln_at |
L3. | .000142 .0001487 0.95 0.340 -.0001498 .0004338
|
age |
L3. | -.0000765 .0000626 -1.22 0.222 -.0001994 .0000463
|
F_E |
L3. | -.0001973 .0001446 -1.36 0.173 -.000481 .0000863
|
tnic3hhi |
L3. | -.0025562 .0010006 -2.55 0.011 -.0045192 -.0005931
|
dtfp4 |
L3. | .0244666 .0030023 8.15 0.000 .0185765 .0303566
|
tangibility |
L3. | -.0002343 .0021431 -0.11 0.913 -.0044387 .00397
---------------------------------------------------------------------------------
Underidentification test (Kleibergen-Paap rk LM statistic): 161.088
Chi-sq(2) P-val = 0.0000
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic): 421.176
(Kleibergen-Paap rk Wald F statistic): 14.342
Stock-Yogo weak ID test critical values: 10% maximal IV size 19.93
15% maximal IV size 11.59
20% maximal IV size 8.75
25% maximal IV size 7.25
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): 13.598
Chi-sq(1) P-val = 0.0002
------------------------------------------------------------------------------
Instrumented: L3.penetration_row
Included instruments: L3.ln_at L3.age L3.F_E L3.tnic3hhi L3.dtfp4
L3.tangibility
Excluded instruments: L4.tariff_rate_row L4.real_exchange_final
Partialled-out: _cons
nb: total SS, model F and R2s are after partialling-out;
any small-sample adjustments include partialled-out
variables in regressor count K
------------------------------------------------------------------------------
Absorbed degrees of freedom:
-----------------------------------------------------+
Absorbed FE | Categories - Redundant = Num. Coefs |
-------------+---------------------------------------|
year | 19 0 19 |
sic | 19 1 18 |
-----------------------------------------------------+Thanks for your help
Roman
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