I was trying to estimate an IV regression (2SLS)
I have few dummies in my model, the dependent is a binary variable of benefit's claim and I am instrumenting the amount. I use weights to correct for sampling issues.
I got this error at the end of my 2nd stage results table
Code:
ivreg2 nclaim age age2 married ib3.edu i.eu_nat i.pgemplst_gen i.howner i.singlep i.dis_dummy i.female i.east ib2.citysize i.haskids (ben_amt= prvtransfers needs) [pw=hweight] if head==1, first ----------------------------------------------------------------------------------------------------------- Underidentification test (Kleibergen-Paap rk LM statistic): 146.799 Chi-sq(2) P-val = 0.0000 ------------------------------------------------------------------------------ Weak identification test (Cragg-Donald Wald F statistic): 1545.588 (Kleibergen-Paap rk Wald F statistic): 165.936 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. ------------------------------------------------------------------------------ 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: singleton dummy variable (dummy with one 1 and N-1 0s or vice versa) partial option may address problem. ------------------------------------------------------------------------------ Instrumented: ben_amt Included instruments: age age2 married 0.edu1 1.edu2 2.edu3 4.edu4 1.howner 1.singlep 1.dis_dummy 1.female 1.east 1.citysize 3.citysize 1.haskids Excluded instruments: prvtransfers needs ------------------------------------------------------------------------------
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