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 ------------------------------------------------------------------------------
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