1. The Cragg-Donald Wald F statistic is > 10 - however,
2. One of the Stock-Yogo weak ID test critical values is greater than the Cragg-Donald Wald F statistic
I am not sure how I should interpret this result i.e. are the IVs that I selected weak or adequate? I am pasting my code below. Any clarifications would be greatly appreciated. Thank you.
Code:
. xtivreg2 Ln_EBIT_ROA Ln_Revenue Ln_LTD_to_Sales Ln_Intangible_Assets CoAge wGDPpc wCPI wDCF wExp
> gr wGDPgr wCons No_of_Regions Ln_PS_RD (l1.Ln_GSD = Ln_Int_exp Ln_FSTS_by_Indgrp_Yr) if CoAge>
> =0 & NATION=="UNITED STATES" & NATIONCODE==840 & FSTS>=10 & FSTS <=100 & GENERALINDUSTRYCLASSIFI
> CATION ==1 & Year_<2020 & Year_<YearInactive & Discr_GS_Rev!=1, fe endog (l1.Ln_GSD)
Warning - singleton groups detected. 36 observation(s) not used.
FIXED EFFECTS ESTIMATION
------------------------
Number of groups = 148 Obs per group: min = 2
avg = 5.8
max = 17
IV (2SLS) estimation
--------------------
Estimates efficient for homoskedasticity only
Statistics consistent for homoskedasticity only
Number of obs = 861
F( 13, 700) = 4.91
Prob > F = 0.0000
Total (centered) SS = 240.0292164 Centered R2 = -0.0099
Total (uncentered) SS = 240.0292164 Uncentered R2 = -0.0099
Residual SS = 242.4170823 Root MSE = .5831
--------------------------------------------------------------------------------------
Ln_EBIT_ROA | Coef. Std. Err. z P>|z| [95% Conf. Interval]
---------------------+----------------------------------------------------------------
Ln_GSD |
L1. | -1.080281 .4164248 -2.59 0.009 -1.896459 -.2641034
|
Ln_Revenue | .5031523 .136515 3.69 0.000 .2355878 .7707168
Ln_LTD_to_Sales | -.1659439 .034025 -4.88 0.000 -.2326317 -.0992562
Ln_Intangible_Assets | -.0631 .0425919 -1.48 0.138 -.1465785 .0203786
CoAge | -.0303457 .0139135 -2.18 0.029 -.0576157 -.0030758
wGDPpc | .0000707 .0000312 2.27 0.023 9.60e-06 .0001318
wCPI | -.0052788 .0276587 -0.19 0.849 -.0594889 .0489313
wDCF | 2.93e-14 1.54e-13 0.19 0.849 -2.72e-13 3.31e-13
wExpgr | .009156 .0113405 0.81 0.419 -.013071 .031383
wGDPgr | -.0151599 .0337094 -0.45 0.653 -.0812292 .0509094
wCons | 2.55e-14 5.83e-14 0.44 0.662 -8.88e-14 1.40e-13
No_of_Regions | .0875564 .0813537 1.08 0.282 -.0718939 .2470068
Ln_PS_RD | -.054201 .0683068 -0.79 0.427 -.1880798 .0796779
--------------------------------------------------------------------------------------
Underidentification test (Anderson canon. corr. LM statistic): 34.438
Chi-sq(2) P-val = 0.0000
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic): 17.738
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.
------------------------------------------------------------------------------
Sargan statistic (overidentification test of all instruments): 0.765
Chi-sq(1) P-val = 0.3818
-endog- option:
Endogeneity test of endogenous regressors: 4.278
Chi-sq(1) P-val = 0.0386
Regressors tested: L.Ln_GSD
------------------------------------------------------------------------------
Instrumented: L.Ln_GSD
Included instruments: Ln_Revenue Ln_LTD_to_Sales Ln_Intangible_Assets CoAge
wGDPpc wCPI wDCF wExpgr wGDPgr wCons No_of_Regions
Ln_PS_RD
Excluded instruments: Ln_Int_exp Ln_FSTS_by_Indgrp_Yr
------------------------------------------------------------------------------
0 Response to 2SLS/ Interpreting Cragg-Donald Wald F statistic and Stock-Yogo weak ID test critical values
Post a Comment