I ran the following for the weak instrument test:
ivreg2 2sls y (x=z) $covariates i.fixedeffects [aw=perweight], cluster (state)
weakivtest
weakivtest
(obs=200,682)
Montiel-Pflueger robust weak instrument test
--------------------------------------------
Effective F statistic: 0.765
Confidence level alpha: 5%
--------------------------------------------
--------------------------------------------
Critical Values TSLS LIML
--------------------------------------------
% of Worst Case Bias
tau=5% 37.418 37.418
tau=10% 23.109 23.109
tau=20% 15.062 15.062
tau=30% 12.039 12.039
--------------------------------------------
weakiv
(sum of wgt is 2.0218e+11)
Estimating confidence sets over 100 grid points
----+--- 1 ---+--- 2 ---+--- 3 ---+--- 4 ---+--- 5
.................................................. 50
.................................................. 100
Weak instrument robust tests and confidence sets for linear IV
H0: beta = 0
------------------------------------------------------------------------------
Test | Statistic p-value | Conf. level Conf. Set
------+---------------------------------+-------------------------------------
AR | chi2(1) = 6.60 0.0102 | 95%
[ ... ,-.421622] U [ .820618, ... ]
------+---------------------------------+-------------------------------------
Wald | chi2(1) = 0.32 0.5687 | 95% [-7.93717, 4.361]
------------------------------------------------------------------------------
Confidence sets estimated for 100 points in [-14.0863, 10.5101].
Number of obs N = 200682.
Method = lagrange multiplier (LM).
Tests robust to heteroskedasticity and clustering on state (N_clust=37).
Wald statistic in last row is based on ivreg2 estimation and is not robust to weak instruments.
Can you help me to understand whether my instrument is weak or not?
When I did weaakivtest, the effective F-stat is very low. How to interpret that? How to interpret AR chi2(1) and the p-value? Also, I get open end confidence interval, which shows the instrument is weak?
I searched in the forums for interpretations, I didn't get much results. any help is appreciated!
Related Posts with Weak Instrument Test
profileplot - change line colours based on a third variableI want to show the change of a numerical score in 68 indivials at two time points, before and after …
How to perform this propensity score matchI have a panel data and want to examine the relation between the passage of legislation (LawDummy, i…
Women wage dataHello! Can anybody help me how can I download the sample data of heckamane "women wage data"? Thank …
Can I use diff-in-diff for my research setting?I want to use the legislation adoption at the state level to perform a diff-in-diff in my panel data…
Descriptive statistics; graph illustrating effects on Y before and after treatment (Stata 16)Dear Statalisters, I have an unbalanced panel dataset with approx. 12,300 observations and am analy…
Subscribe to:
Post Comments (Atom)
0 Response to Weak Instrument Test
Post a Comment