{smcl} {com}{sf}{ul off}{txt}{.-} name: {res} {txt}log: {res}/Users/baum/doc/Stata devel/ Cert scripts/cs_ivreg2.smcl {txt}log type: {res}smcl {txt}opened on: {res}14 Aug 2009, 20:12:06 {txt}r; t=0.00 20:12:06 {com}. di c(version) {res}11 {txt}r; t=0.00 20:12:06 {com}. query born {txt}13 Jul 2009 r; t=0.01 20:12:06 {com}. which ivreg2 {txt}/Users/baum/library/application support/stata/ado/plus/i/ivreg2.ado {res}*! ivreg2 2.2.09 17jul2008 *! authors cfb & mes *! see end of file for version comments {txt}r; t=0.01 20:12:06 {com}. which ranktest {txt}/Users/baum/library/application support/stata/ado/plus/r/ranktest.ado {res}*! ranktest 1.1.03 4May2008 *! author mes, based on code by fk {txt}r; t=0.03 20:12:06 {com}. ivreg2, version {txt}02.2.09 r; t=0.02 20:12:06 {com}. assert "`e(version)'" == "02.2.09" {txt}r; t=0.00 20:12:06 {com}. use http://fmwww.bc.edu/ec-p/data/hayashi/griliches76.dta,clear {txt}(Wages of Very Young Men, Zvi Griliches, J.Pol.Ec. 1976) r; t=0.36 20:12:06 {com}. * Hayashi Table 3.3 p.255 uses Blackburn-Neumark sample . summ {txt} Variable {c |} Obs Mean Std. Dev. Min Max {hline 13}{c +}{hline 56} {space 9}rns {c |}{res} 758 .2691293 .4438001 0 1 {txt}{space 7}rns80 {c |}{res} 758 .292876 .4553825 0 1 {txt}{space 9}mrt {c |}{res} 758 .5145119 .5001194 0 1 {txt}{space 7}mrt80 {c |}{res} 758 .8984169 .3022988 0 1 {txt}{space 8}smsa {c |}{res} 758 .7044855 .456575 0 1 {txt}{hline 13}{c +}{hline 56} {space 6}smsa80 {c |}{res} 758 .7124011 .452942 0 1 {txt}{space 9}med {c |}{res} 758 10.91029 2.74112 0 18 {txt}{space 10}iq {c |}{res} 758 103.8562 13.61867 54 145 {txt}{space 9}kww {c |}{res} 758 36.57388 7.302247 12 56 {txt}{space 8}year {c |}{res} 758 69.03166 2.631794 66 73 {txt}{hline 13}{c +}{hline 56} {space 9}age {c |}{res} 758 21.83509 2.981756 16 30 {txt}{space 7}age80 {c |}{res} 758 33.01187 3.085504 28 38 {txt}{space 11}s {c |}{res} 758 13.40501 2.231828 9 18 {txt}{space 9}s80 {c |}{res} 758 13.70712 2.214693 9 18 {txt}{space 8}expr {c |}{res} 758 1.735429 2.105542 0 11.444 {txt}{hline 13}{c +}{hline 56} {space 6}expr80 {c |}{res} 758 11.39426 4.210745 .692 22.045 {txt}{space 6}tenure {c |}{res} 758 1.831135 1.67363 0 10 {txt}{space 4}tenure80 {c |}{res} 758 7.362797 5.05024 0 22 {txt}{space 10}lw {c |}{res} 758 5.686739 .4289494 4.605 7.051 {txt}{space 8}lw80 {c |}{res} 758 6.826555 .4099268 4.749 8.032 {txt}r; t=0.02 20:12:06 {com}. assert _N == 758 {txt}r; t=0.00 20:12:06 {com}. xi i.year {txt}i.year{col 19}_Iyear_66-73{col 39}(naturally coded; _Iyear_66 omitted) r; t=0.37 20:12:07 {com}. * line 4 of table via ivreg . which ivreg {txt}/Applications/Stata/ado/base/i/ivreg.ado {res}*! version 5.4.0 17mar2009 {txt}r; t=0.01 20:12:07 {com}. ivreg lw expr tenure rns smsa _I* (iq s = med kww mrt age) {txt}Instrumental variables (2SLS) regression Source {c |} SS df MS Number of obs ={res} 758 {txt}{hline 13}{char +}{hline 30} F( 12, 745) ={res} 37.64 {txt} Model {char |} {res} 31.7548087 12 2.64623406 {txt}Prob > F = {res} 0.0000 {txt}Residual {char |} {res} 107.531341 745 .144337371 {txt}R-squared = {res} 0.2280 {txt}{hline 13}{char +}{hline 30} Adj R-squared = {res} 0.2155 {txt} Total {char |} {res} 139.28615 757 .183997556 {txt}Root MSE = {res} .37992 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} lw{col 14}{c |} Coef.{col 26} Std. Err.{col 37} t{col 46} P>|t|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 10}iq {c |}{col 14}{result}{space 2}-.0090988{col 26}{space 2} .0047453{col 37}{space 1} -1.92{col 46}{space 3}0.056{col 55}{space 3}-.0184145{col 67}{space 3} .0002169 {txt}{space 11}s {c |}{col 14}{result}{space 2} .1724253{col 26}{space 2} .0209182{col 37}{space 1} 8.24{col 46}{space 3}0.000{col 55}{space 3} .1313596{col 67}{space 3} .213491 {txt}{space 8}expr {c |}{col 14}{result}{space 2} .0492895{col 26}{space 2} .0082254{col 37}{space 1} 5.99{col 46}{space 3}0.000{col 55}{space 3} .0331417{col 67}{space 3} .0654373 {txt}{space 6}tenure {c |}{col 14}{result}{space 2} .0422171{col 26}{space 2} .0089197{col 37}{space 1} 4.73{col 46}{space 3}0.000{col 55}{space 3} .0247064{col 67}{space 3} .0597278 {txt}{space 9}rns {c |}{col 14}{result}{space 2}-.1017935{col 26}{space 2} .0344734{col 37}{space 1} -2.95{col 46}{space 3}0.003{col 55}{space 3} -.16947{col 67}{space 3}-.0341169 {txt}{space 8}smsa {c |}{col 14}{result}{space 2} .1261109{col 26}{space 2} .0311961{col 37}{space 1} 4.04{col 46}{space 3}0.000{col 55}{space 3} .0648681{col 67}{space 3} .1873538 {txt}{space 3}_Iyear_67 {c |}{col 14}{result}{space 2}-.0596171{col 26}{space 2} .0557758{col 37}{space 1} -1.07{col 46}{space 3}0.285{col 55}{space 3}-.1691136{col 67}{space 3} .0498794 {txt}{space 3}_Iyear_68 {c |}{col 14}{result}{space 2} .0486796{col 26}{space 2} .052468{col 37}{space 1} 0.93{col 46}{space 3}0.354{col 55}{space 3}-.0543231{col 67}{space 3} .1516822 {txt}{space 3}_Iyear_69 {c |}{col 14}{result}{space 2} .1528176{col 26}{space 2} .0520109{col 37}{space 1} 2.94{col 46}{space 3}0.003{col 55}{space 3} .0507122{col 67}{space 3} .2549231 {txt}{space 3}_Iyear_70 {c |}{col 14}{result}{space 2} .1744361{col 26}{space 2} .0602767{col 37}{space 1} 2.89{col 46}{space 3}0.004{col 55}{space 3} .0561036{col 67}{space 3} .2927685 {txt}{space 3}_Iyear_71 {c |}{col 14}{result}{space 2} .091666{col 26}{space 2} .0546144{col 37}{space 1} 1.68{col 46}{space 3}0.094{col 55}{space 3}-.0155504{col 67}{space 3} .1988823 {txt}{space 3}_Iyear_73 {c |}{col 14}{result}{space 2} .0932398{col 26}{space 2} .0576787{col 37}{space 1} 1.62{col 46}{space 3}0.106{col 55}{space 3}-.0199923{col 67}{space 3} .2064718 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 4.03351{col 26}{space 2} .3181616{col 37}{space 1} 12.68{col 46}{space 3}0.000{col 55}{space 3} 3.40891{col 67}{space 3} 4.65811 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {p 0 15 4}Instrumented:{space 2}iq s{p_end} {p 0 15 4}Instruments:{space 3}expr tenure rns smsa _Iyear_67 _Iyear_68 _Iyear_69 _Iyear_70 _Iyear_71 _Iyear_73 med kww mrt age{p_end} {hline 78} r; t=0.69 20:12:07 {com}. assert reldif(_b[s],0.172)< 1e-3 {txt}r; t=0.00 20:12:07 {com}. assert reldif(_se[s],0.021)< 1e-3 {txt}r; t=0.00 20:12:07 {com}. assert reldif(e(rmse),0.380)< 1e-3 {txt}r; t=0.00 20:12:07 {com}. savedresults save iv e() {txt}r; t=0.03 20:12:07 {com}. . * line 4 of table via ivreg2, small . ivreg2 lw expr tenure rns smsa _I* (iq s = med kww mrt age) , small {txt}IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 758 {txt}{col 55}F( 12, 745) = {res} 37.64 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 139.2861498{txt}{col 55}Centered R2 = {res} 0.2280 {txt}Total (uncentered) SS = {res} 24652.24662{txt}{col 55}Uncentered R2 = {res} 0.9956 {txt}Residual SS = {res} 107.5313411{txt}{col 55}Root MSE = {res} .3799 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} lw{col 14}{c |} Coef.{col 26} Std. Err.{col 37} t{col 46} P>|t|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 10}iq {c |}{col 14}{result}{space 2}-.0090988{col 26}{space 2} .0047453{col 37}{space 1} -1.92{col 46}{space 3}0.056{col 55}{space 3}-.0184145{col 67}{space 3} .0002169 {txt}{space 11}s {c |}{col 14}{result}{space 2} .1724253{col 26}{space 2} .0209182{col 37}{space 1} 8.24{col 46}{space 3}0.000{col 55}{space 3} .1313596{col 67}{space 3} .213491 {txt}{space 8}expr {c |}{col 14}{result}{space 2} .0492895{col 26}{space 2} .0082254{col 37}{space 1} 5.99{col 46}{space 3}0.000{col 55}{space 3} .0331417{col 67}{space 3} .0654373 {txt}{space 6}tenure {c |}{col 14}{result}{space 2} .0422171{col 26}{space 2} .0089197{col 37}{space 1} 4.73{col 46}{space 3}0.000{col 55}{space 3} .0247064{col 67}{space 3} .0597278 {txt}{space 9}rns {c |}{col 14}{result}{space 2}-.1017935{col 26}{space 2} .0344734{col 37}{space 1} -2.95{col 46}{space 3}0.003{col 55}{space 3} -.16947{col 67}{space 3}-.0341169 {txt}{space 8}smsa {c |}{col 14}{result}{space 2} .1261109{col 26}{space 2} .0311961{col 37}{space 1} 4.04{col 46}{space 3}0.000{col 55}{space 3} .0648681{col 67}{space 3} .1873538 {txt}{space 3}_Iyear_67 {c |}{col 14}{result}{space 2}-.0596171{col 26}{space 2} .0557758{col 37}{space 1} -1.07{col 46}{space 3}0.285{col 55}{space 3}-.1691136{col 67}{space 3} .0498794 {txt}{space 3}_Iyear_68 {c |}{col 14}{result}{space 2} .0486796{col 26}{space 2} .052468{col 37}{space 1} 0.93{col 46}{space 3}0.354{col 55}{space 3}-.0543231{col 67}{space 3} .1516822 {txt}{space 3}_Iyear_69 {c |}{col 14}{result}{space 2} .1528176{col 26}{space 2} .0520109{col 37}{space 1} 2.94{col 46}{space 3}0.003{col 55}{space 3} .0507122{col 67}{space 3} .2549231 {txt}{space 3}_Iyear_70 {c |}{col 14}{result}{space 2} .1744361{col 26}{space 2} .0602767{col 37}{space 1} 2.89{col 46}{space 3}0.004{col 55}{space 3} .0561036{col 67}{space 3} .2927685 {txt}{space 3}_Iyear_71 {c |}{col 14}{result}{space 2} .091666{col 26}{space 2} .0546144{col 37}{space 1} 1.68{col 46}{space 3}0.094{col 55}{space 3}-.0155504{col 67}{space 3} .1988823 {txt}{space 3}_Iyear_73 {c |}{col 14}{result}{space 2} .0932398{col 26}{space 2} .0576787{col 37}{space 1} 1.62{col 46}{space 3}0.106{col 55}{space 3}-.0199923{col 67}{space 3} .2064718 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 4.03351{col 26}{space 2} .3181616{col 37}{space 1} 12.68{col 46}{space 3}0.000{col 55}{space 3} 3.40891{col 67}{space 3} 4.65811 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Anderson canon. corr. LM statistic):{res}{col 71} 47.978 {txt}{col 52}Chi-sq({res}3{txt}) P-val = {res}{col 73}0.0000 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Cragg-Donald Wald F statistic):{res}{col 71} 12.552 {txt}Stock-Yogo weak ID test critical values:{col 43}5% maximal IV relative bias{res}{col 73} 11.04 {txt}{col 42}10% maximal IV relative bias{res}{col 73} 7.56 {txt}{col 42}20% maximal IV relative bias{res}{col 73} 5.57 {txt}{col 42}30% maximal IV relative bias{res}{col 73} 4.73 {txt}{col 42}10% maximal IV size{res}{col 73} 16.87 {txt}{col 42}15% maximal IV size{res}{col 73} 9.93 {txt}{col 42}20% maximal IV size{res}{col 73} 7.54 {txt}{col 42}25% maximal IV size{res}{col 73} 6.28 {txt}Source: Stock-Yogo (2005). Reproduced by permission. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 13.268 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.0013 {txt}{hline 78} Instrumented:{col 23}iq s Included instruments:{col 23}expr tenure rns smsa _Iyear_67 _Iyear_68 _Iyear_69 {col 23}_Iyear_70 _Iyear_71 _Iyear_73 Excluded instruments:{col 23}med kww mrt age {hline 78} r; t=0.80 20:12:08 {com}. assert reldif(_b[s],0.172)<1e-3 {txt}r; t=0.00 20:12:08 {com}. assert reldif(_se[s],0.021)<1e-3 {txt}r; t=0.00 20:12:08 {com}. assert reldif(_b[iq],-0.009)<1e-3 {txt}r; t=0.00 20:12:08 {com}. assert reldif(_se[iq],0.0047)<1e-3 {txt}r; t=0.00 20:12:08 {com}. assert reldif(_b[expr],0.049)<1e-3 {txt}r; t=0.00 20:12:08 {com}. assert reldif(_se[expr],0.0082)<1e-3 {txt}r; t=0.00 20:12:08 {com}. assert reldif(_b[tenure],0.042)<1e-3 {txt}r; t=0.00 20:12:08 {com}. assert reldif(_se[tenure],0.0095)<1e-3 {txt}r; t=0.00 20:12:08 {com}. assert reldif(e(rmse),0.379)<1e-3 {txt}r; t=0.00 20:12:08 {com}. * 1.0.6: insts order now differs between ivreg, ivreg2 . * savedresults comp iv e(), include(macros: insts instd depvar scalar: rmse matrix: b V) tol(1e-7) verbose . savedresults comp iv e(), include(macros: instd depvar scalar: rmse matrix: b V) tol(1e-7) verbose {txt}comparing macro e(instd) comparing macro e(depvar) comparing scalar e(rmse) comparing matrix e(b) comparing matrix e(V) r; t=0.00 20:12:08 {com}. . * 1.0.21: perform same comparison with [aw] . g wt = 1/age {txt}r; t=0.00 20:12:08 {com}. ivreg lw expr tenure rns smsa _I* (iq s = med kww mrt age) [aw=wt], robust {txt}(sum of wgt is 3.5357e+01) Instrumental variables (2SLS) regression Number of obs ={res} 758 {txt}F( 12, 745) ={res} 41.70 {txt}Prob > F = {res} 0.0000 {txt}R-squared = {res} 0.2559 {txt}Root MSE = {res} .36861 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 14}{text}{c |}{col 14} Robust {col 1}{text} lw{col 14}{c |} Coef.{col 26} Std. Err.{col 37} t{col 46} P>|t|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 10}iq {c |}{col 14}{result}{space 2}-.0074948{col 26}{space 2} .0045845{col 37}{space 1} -1.63{col 46}{space 3}0.103{col 55}{space 3}-.0164949{col 67}{space 3} .0015054 {txt}{space 11}s {c |}{col 14}{result}{space 2} .1649811{col 26}{space 2} .0194354{col 37}{space 1} 8.49{col 46}{space 3}0.000{col 55}{space 3} .1268264{col 67}{space 3} .2031357 {txt}{space 8}expr {c |}{col 14}{result}{space 2} .0478406{col 26}{space 2} .0078976{col 37}{space 1} 6.06{col 46}{space 3}0.000{col 55}{space 3} .0323364{col 67}{space 3} .0633449 {txt}{space 6}tenure {c |}{col 14}{result}{space 2} .037868{col 26}{space 2} .0093315{col 37}{space 1} 4.06{col 46}{space 3}0.000{col 55}{space 3} .0195488{col 67}{space 3} .0561872 {txt}{space 9}rns {c |}{col 14}{result}{space 2}-.0984184{col 26}{space 2} .0332218{col 37}{space 1} -2.96{col 46}{space 3}0.003{col 55}{space 3}-.1636379{col 67}{space 3}-.0331989 {txt}{space 8}smsa {c |}{col 14}{result}{space 2} .1300172{col 26}{space 2} .0302039{col 37}{space 1} 4.30{col 46}{space 3}0.000{col 55}{space 3} .0707223{col 67}{space 3} .1893121 {txt}{space 3}_Iyear_67 {c |}{col 14}{result}{space 2}-.0662887{col 26}{space 2} .0516902{col 37}{space 1} -1.28{col 46}{space 3}0.200{col 55}{space 3}-.1677645{col 67}{space 3} .0351871 {txt}{space 3}_Iyear_68 {c |}{col 14}{result}{space 2} .0472949{col 26}{space 2} .0485352{col 37}{space 1} 0.97{col 46}{space 3}0.330{col 55}{space 3}-.0479872{col 67}{space 3} .142577 {txt}{space 3}_Iyear_69 {c |}{col 14}{result}{space 2} .1459345{col 26}{space 2} .0460964{col 37}{space 1} 3.17{col 46}{space 3}0.002{col 55}{space 3} .0554403{col 67}{space 3} .2364288 {txt}{space 3}_Iyear_70 {c |}{col 14}{result}{space 2} .1619464{col 26}{space 2} .0604136{col 37}{space 1} 2.68{col 46}{space 3}0.008{col 55}{space 3} .0433453{col 67}{space 3} .2805476 {txt}{space 3}_Iyear_71 {c |}{col 14}{result}{space 2} .083768{col 26}{space 2} .0542397{col 37}{space 1} 1.54{col 46}{space 3}0.123{col 55}{space 3}-.0227128{col 67}{space 3} .1902489 {txt}{space 3}_Iyear_73 {c |}{col 14}{result}{space 2} .090334{col 26}{space 2} .0600688{col 37}{space 1} 1.50{col 46}{space 3}0.133{col 55}{space 3}-.0275903{col 67}{space 3} .2082583 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 3.977557{col 26}{space 2} .3195744{col 37}{space 1} 12.45{col 46}{space 3}0.000{col 55}{space 3} 3.350183{col 67}{space 3} 4.60493 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {p 0 15 4}Instrumented:{space 2}iq s{p_end} {p 0 15 4}Instruments:{space 3}expr tenure rns smsa _Iyear_67 _Iyear_68 _Iyear_69 _Iyear_70 _Iyear_71 _Iyear_73 med kww mrt age{p_end} {hline 78} r; t=0.25 20:12:09 {com}. savedresults save ivaw e() {txt}r; t=0.00 20:12:09 {com}. ivreg2 lw expr tenure rns smsa _I* (iq s = med kww mrt age) [aw=wt], small robust {txt}(sum of wgt is 3.5357e+01) IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics robust to heteroskedasticity {col 55}Number of obs = {res} 758 {txt}{col 55}F( 12, 745) = {res} 41.70 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 136.0434966{txt}{col 55}Centered R2 = {res} 0.2559 {txt}Total (uncentered) SS = {res} 24388.57213{txt}{col 55}Uncentered R2 = {res} 0.9958 {txt}Residual SS = {res} 101.2247036{txt}{col 55}Root MSE = {res} .3686 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 14}{text}{c |}{col 14} Robust {col 1}{text} lw{col 14}{c |} Coef.{col 26} Std. Err.{col 37} t{col 46} P>|t|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 10}iq {c |}{col 14}{result}{space 2}-.0074948{col 26}{space 2} .0045845{col 37}{space 1} -1.63{col 46}{space 3}0.103{col 55}{space 3}-.0164949{col 67}{space 3} .0015054 {txt}{space 11}s {c |}{col 14}{result}{space 2} .1649811{col 26}{space 2} .0194354{col 37}{space 1} 8.49{col 46}{space 3}0.000{col 55}{space 3} .1268264{col 67}{space 3} .2031357 {txt}{space 8}expr {c |}{col 14}{result}{space 2} .0478406{col 26}{space 2} .0078976{col 37}{space 1} 6.06{col 46}{space 3}0.000{col 55}{space 3} .0323364{col 67}{space 3} .0633449 {txt}{space 6}tenure {c |}{col 14}{result}{space 2} .037868{col 26}{space 2} .0093315{col 37}{space 1} 4.06{col 46}{space 3}0.000{col 55}{space 3} .0195488{col 67}{space 3} .0561872 {txt}{space 9}rns {c |}{col 14}{result}{space 2}-.0984184{col 26}{space 2} .0332218{col 37}{space 1} -2.96{col 46}{space 3}0.003{col 55}{space 3}-.1636379{col 67}{space 3}-.0331989 {txt}{space 8}smsa {c |}{col 14}{result}{space 2} .1300172{col 26}{space 2} .0302039{col 37}{space 1} 4.30{col 46}{space 3}0.000{col 55}{space 3} .0707223{col 67}{space 3} .1893121 {txt}{space 3}_Iyear_67 {c |}{col 14}{result}{space 2}-.0662887{col 26}{space 2} .0516902{col 37}{space 1} -1.28{col 46}{space 3}0.200{col 55}{space 3}-.1677645{col 67}{space 3} .0351871 {txt}{space 3}_Iyear_68 {c |}{col 14}{result}{space 2} .0472949{col 26}{space 2} .0485352{col 37}{space 1} 0.97{col 46}{space 3}0.330{col 55}{space 3}-.0479872{col 67}{space 3} .142577 {txt}{space 3}_Iyear_69 {c |}{col 14}{result}{space 2} .1459345{col 26}{space 2} .0460964{col 37}{space 1} 3.17{col 46}{space 3}0.002{col 55}{space 3} .0554403{col 67}{space 3} .2364288 {txt}{space 3}_Iyear_70 {c |}{col 14}{result}{space 2} .1619464{col 26}{space 2} .0604136{col 37}{space 1} 2.68{col 46}{space 3}0.008{col 55}{space 3} .0433453{col 67}{space 3} .2805476 {txt}{space 3}_Iyear_71 {c |}{col 14}{result}{space 2} .083768{col 26}{space 2} .0542397{col 37}{space 1} 1.54{col 46}{space 3}0.123{col 55}{space 3}-.0227128{col 67}{space 3} .1902489 {txt}{space 3}_Iyear_73 {c |}{col 14}{result}{space 2} .090334{col 26}{space 2} .0600688{col 37}{space 1} 1.50{col 46}{space 3}0.133{col 55}{space 3}-.0275903{col 67}{space 3} .2082583 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 3.977557{col 26}{space 2} .3195744{col 37}{space 1} 12.45{col 46}{space 3}0.000{col 55}{space 3} 3.350183{col 67}{space 3} 4.60493 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Kleibergen-Paap rk LM statistic):{res}{col 71} 44.038 {txt}{col 52}Chi-sq({res}3{txt}) P-val = {res}{col 73}0.0000 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Kleibergen-Paap rk Wald F statistic):{res}{col 71} 12.641 {txt}Stock-Yogo weak ID test critical values:{col 43}5% maximal IV relative bias{res}{col 73} 11.04 {txt}{col 42}10% maximal IV relative bias{res}{col 73} 7.56 {txt}{col 42}20% maximal IV relative bias{res}{col 73} 5.57 {txt}{col 42}30% maximal IV relative bias{res}{col 73} 4.73 {txt}{col 42}10% maximal IV size{res}{col 73} 16.87 {txt}{col 42}15% maximal IV size{res}{col 73} 9.93 {txt}{col 42}20% maximal IV size{res}{col 73} 7.54 {txt}{col 42}25% maximal IV size{res}{col 73} 6.28 {txt}Source: Stock-Yogo (2005). Reproduced by permission. NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors. {hline 78} {help ivreg2##overidtests:Hansen J statistic} (overidentification test of all instruments):{res}{col 71} 11.636 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.0030 {txt}{hline 78} Instrumented:{col 23}iq s Included instruments:{col 23}expr tenure rns smsa _Iyear_67 _Iyear_68 _Iyear_69 {col 23}_Iyear_70 _Iyear_71 _Iyear_73 Excluded instruments:{col 23}med kww mrt age {hline 78} r; t=0.40 20:12:09 {com}. savedresults comp ivaw e(), include(macros: instd depvar scalar: rmse matrix: b V) tol(1e-7) verbose {txt}comparing macro e(instd) comparing macro e(depvar) comparing scalar e(rmse) comparing matrix e(b) comparing matrix e(V) r; t=0.00 20:12:09 {com}. . . * line 4 of table to match sargan (large sample stat) . ivreg2 lw expr tenure rns smsa _I* (iq s = med kww mrt age) {txt}IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 758 {txt}{col 55}F( 12, 745) = {res} 37.64 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 139.2861498{txt}{col 55}Centered R2 = {res} 0.2280 {txt}Total (uncentered) SS = {res} 24652.24662{txt}{col 55}Uncentered R2 = {res} 0.9956 {txt}Residual SS = {res} 107.5313411{txt}{col 55}Root MSE = {res} .3766 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} lw{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 10}iq {c |}{col 14}{result}{space 2}-.0090988{col 26}{space 2} .0047044{col 37}{space 1} -1.93{col 46}{space 3}0.053{col 55}{space 3}-.0183193{col 67}{space 3} .0001216 {txt}{space 11}s {c |}{col 14}{result}{space 2} .1724253{col 26}{space 2} .0207381{col 37}{space 1} 8.31{col 46}{space 3}0.000{col 55}{space 3} .1317794{col 67}{space 3} .2130712 {txt}{space 8}expr {c |}{col 14}{result}{space 2} .0492895{col 26}{space 2} .0081546{col 37}{space 1} 6.04{col 46}{space 3}0.000{col 55}{space 3} .0333068{col 67}{space 3} .0652722 {txt}{space 6}tenure {c |}{col 14}{result}{space 2} .0422171{col 26}{space 2} .0088429{col 37}{space 1} 4.77{col 46}{space 3}0.000{col 55}{space 3} .0248854{col 67}{space 3} .0595488 {txt}{space 9}rns {c |}{col 14}{result}{space 2}-.1017935{col 26}{space 2} .0341765{col 37}{space 1} -2.98{col 46}{space 3}0.003{col 55}{space 3}-.1687781{col 67}{space 3}-.0348088 {txt}{space 8}smsa {c |}{col 14}{result}{space 2} .1261109{col 26}{space 2} .0309275{col 37}{space 1} 4.08{col 46}{space 3}0.000{col 55}{space 3} .0654942{col 67}{space 3} .1867277 {txt}{space 3}_Iyear_67 {c |}{col 14}{result}{space 2}-.0596171{col 26}{space 2} .0552955{col 37}{space 1} -1.08{col 46}{space 3}0.281{col 55}{space 3}-.1679942{col 67}{space 3} .04876 {txt}{space 3}_Iyear_68 {c |}{col 14}{result}{space 2} .0486796{col 26}{space 2} .0520161{col 37}{space 1} 0.94{col 46}{space 3}0.349{col 55}{space 3}-.0532701{col 67}{space 3} .1506292 {txt}{space 3}_Iyear_69 {c |}{col 14}{result}{space 2} .1528176{col 26}{space 2} .051563{col 37}{space 1} 2.96{col 46}{space 3}0.003{col 55}{space 3} .051756{col 67}{space 3} .2538792 {txt}{space 3}_Iyear_70 {c |}{col 14}{result}{space 2} .1744361{col 26}{space 2} .0597576{col 37}{space 1} 2.92{col 46}{space 3}0.004{col 55}{space 3} .0573133{col 67}{space 3} .2915588 {txt}{space 3}_Iyear_71 {c |}{col 14}{result}{space 2} .091666{col 26}{space 2} .054144{col 37}{space 1} 1.69{col 46}{space 3}0.090{col 55}{space 3}-.0144543{col 67}{space 3} .1977863 {txt}{space 3}_Iyear_73 {c |}{col 14}{result}{space 2} .0932398{col 26}{space 2} .0571819{col 37}{space 1} 1.63{col 46}{space 3}0.103{col 55}{space 3}-.0188347{col 67}{space 3} .2053142 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 4.03351{col 26}{space 2} .3154215{col 37}{space 1} 12.79{col 46}{space 3}0.000{col 55}{space 3} 3.415295{col 67}{space 3} 4.651725 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Anderson canon. corr. LM statistic):{res}{col 71} 47.978 {txt}{col 52}Chi-sq({res}3{txt}) P-val = {res}{col 73}0.0000 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Cragg-Donald Wald F statistic):{res}{col 71} 12.552 {txt}Stock-Yogo weak ID test critical values:{col 43}5% maximal IV relative bias{res}{col 73} 11.04 {txt}{col 42}10% maximal IV relative bias{res}{col 73} 7.56 {txt}{col 42}20% maximal IV relative bias{res}{col 73} 5.57 {txt}{col 42}30% maximal IV relative bias{res}{col 73} 4.73 {txt}{col 42}10% maximal IV size{res}{col 73} 16.87 {txt}{col 42}15% maximal IV size{res}{col 73} 9.93 {txt}{col 42}20% maximal IV size{res}{col 73} 7.54 {txt}{col 42}25% maximal IV size{res}{col 73} 6.28 {txt}Source: Stock-Yogo (2005). Reproduced by permission. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 13.268 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.0013 {txt}{hline 78} Instrumented:{col 23}iq s Included instruments:{col 23}expr tenure rns smsa _Iyear_67 _Iyear_68 _Iyear_69 {col 23}_Iyear_70 _Iyear_71 _Iyear_73 Excluded instruments:{col 23}med kww mrt age {hline 78} r; t=0.30 20:12:09 {com}. assert reldif(e(sargan),13.3)<1e-2 {txt}r; t=0.00 20:12:09 {com}. assert e(sargandf)==2 {txt}r; t=0.00 20:12:09 {com}. assert reldif(e(sarganp),0.00131)<1e-3 {txt}r; t=0.00 20:12:09 {com}. rcof "noi ivreg2 lw expr tenure rns smsa _I* (iq s med kww = mrt age)" == 481 {err}equation not identified; must have at least as many instruments not in the regression as there are instrumented variables {txt}r; t=0.04 20:12:09 {com}. . * OLS option . ivreg2 lw expr tenure rns smsa _I*, small {txt}OLS estimation {hline 14} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 758 {txt}{col 55}F( 10, 747) = {res} 38.68 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 139.2861498{txt}{col 55}Centered R2 = {res} 0.3412 {txt}Total (uncentered) SS = {res} 24652.24662{txt}{col 55}Uncentered R2 = {res} 0.9963 {txt}Residual SS = {res} 91.76828166{txt}{col 55}Root MSE = {res} .3505 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} lw{col 14}{c |} Coef.{col 26} Std. Err.{col 37} t{col 46} P>|t|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 8}expr {c |}{col 14}{result}{space 2} .0089665{col 26}{space 2} .0066419{col 37}{space 1} 1.35{col 46}{space 3}0.177{col 55}{space 3}-.0040724{col 67}{space 3} .0220055 {txt}{space 6}tenure {c |}{col 14}{result}{space 2} .0479877{col 26}{space 2} .0080046{col 37}{space 1} 6.00{col 46}{space 3}0.000{col 55}{space 3} .0322736{col 67}{space 3} .0637019 {txt}{space 9}rns {c |}{col 14}{result}{space 2}-.1298922{col 26}{space 2} .0292884{col 37}{space 1} -4.43{col 46}{space 3}0.000{col 55}{space 3}-.1873896{col 67}{space 3}-.0723947 {txt}{space 8}smsa {c |}{col 14}{result}{space 2} .1507694{col 26}{space 2} .0284765{col 37}{space 1} 5.29{col 46}{space 3}0.000{col 55}{space 3} .0948658{col 67}{space 3} .2066729 {txt}{space 3}_Iyear_67 {c |}{col 14}{result}{space 2}-.0407856{col 26}{space 2} .0513652{col 37}{space 1} -0.79{col 46}{space 3}0.427{col 55}{space 3}-.1416229{col 67}{space 3} .0600518 {txt}{space 3}_Iyear_68 {c |}{col 14}{result}{space 2} .1036177{col 26}{space 2} .0481421{col 37}{space 1} 2.15{col 46}{space 3}0.032{col 55}{space 3} .0091079{col 67}{space 3} .1981276 {txt}{space 3}_Iyear_69 {c |}{col 14}{result}{space 2} .2747202{col 26}{space 2} .0466208{col 37}{space 1} 5.89{col 46}{space 3}0.000{col 55}{space 3} .1831968{col 67}{space 3} .3662435 {txt}{space 3}_Iyear_70 {c |}{col 14}{result}{space 2} .3320339{col 26}{space 2} .0513295{col 37}{space 1} 6.47{col 46}{space 3}0.000{col 55}{space 3} .2312666{col 67}{space 3} .4328012 {txt}{space 3}_Iyear_71 {c |}{col 14}{result}{space 2} .3719771{col 26}{space 2} .0438097{col 37}{space 1} 8.49{col 46}{space 3}0.000{col 55}{space 3} .2859724{col 67}{space 3} .4579818 {txt}{space 3}_Iyear_73 {c |}{col 14}{result}{space 2} .5470091{col 26}{space 2} .0372837{col 37}{space 1} 14.67{col 46}{space 3}0.000{col 55}{space 3} .4738157{col 67}{space 3} .6202025 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 5.286631{col 26}{space 2} .0399539{col 37}{space 1} 132.32{col 46}{space 3}0.000{col 55}{space 3} 5.208195{col 67}{space 3} 5.365066 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} Included instruments:{col 23}expr tenure rns smsa _Iyear_67 _Iyear_68 _Iyear_69 {col 23}_Iyear_70 _Iyear_71 _Iyear_73 {hline 78} r; t=0.19 20:12:09 {com}. savedresults save ols e() {txt}r; t=0.00 20:12:09 {com}. regress lw expr tenure rns smsa _I* {txt}Source {c |} SS df MS Number of obs ={res} 758 {txt}{hline 13}{char +}{hline 30} F( 10, 747) ={res} 38.68 {txt} Model {char |} {res} 47.5178682 10 4.75178682 {txt}Prob > F = {res} 0.0000 {txt}Residual {char |} {res} 91.7682817 747 .122849105 {txt}R-squared = {res} 0.3412 {txt}{hline 13}{char +}{hline 30} Adj R-squared = {res} 0.3323 {txt} Total {char |} {res} 139.28615 757 .183997556 {txt}Root MSE = {res} .3505 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} lw{col 14}{c |} Coef.{col 26} Std. Err.{col 37} t{col 46} P>|t|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 8}expr {c |}{col 14}{result}{space 2} .0089665{col 26}{space 2} .0066419{col 37}{space 1} 1.35{col 46}{space 3}0.177{col 55}{space 3}-.0040724{col 67}{space 3} .0220055 {txt}{space 6}tenure {c |}{col 14}{result}{space 2} .0479877{col 26}{space 2} .0080046{col 37}{space 1} 6.00{col 46}{space 3}0.000{col 55}{space 3} .0322736{col 67}{space 3} .0637019 {txt}{space 9}rns {c |}{col 14}{result}{space 2}-.1298922{col 26}{space 2} .0292884{col 37}{space 1} -4.43{col 46}{space 3}0.000{col 55}{space 3}-.1873896{col 67}{space 3}-.0723947 {txt}{space 8}smsa {c |}{col 14}{result}{space 2} .1507694{col 26}{space 2} .0284765{col 37}{space 1} 5.29{col 46}{space 3}0.000{col 55}{space 3} .0948658{col 67}{space 3} .2066729 {txt}{space 3}_Iyear_67 {c |}{col 14}{result}{space 2}-.0407856{col 26}{space 2} .0513652{col 37}{space 1} -0.79{col 46}{space 3}0.427{col 55}{space 3}-.1416229{col 67}{space 3} .0600518 {txt}{space 3}_Iyear_68 {c |}{col 14}{result}{space 2} .1036177{col 26}{space 2} .0481421{col 37}{space 1} 2.15{col 46}{space 3}0.032{col 55}{space 3} .0091079{col 67}{space 3} .1981276 {txt}{space 3}_Iyear_69 {c |}{col 14}{result}{space 2} .2747202{col 26}{space 2} .0466208{col 37}{space 1} 5.89{col 46}{space 3}0.000{col 55}{space 3} .1831968{col 67}{space 3} .3662435 {txt}{space 3}_Iyear_70 {c |}{col 14}{result}{space 2} .3320339{col 26}{space 2} .0513295{col 37}{space 1} 6.47{col 46}{space 3}0.000{col 55}{space 3} .2312666{col 67}{space 3} .4328012 {txt}{space 3}_Iyear_71 {c |}{col 14}{result}{space 2} .3719771{col 26}{space 2} .0438097{col 37}{space 1} 8.49{col 46}{space 3}0.000{col 55}{space 3} .2859724{col 67}{space 3} .4579818 {txt}{space 3}_Iyear_73 {c |}{col 14}{result}{space 2} .5470091{col 26}{space 2} .0372837{col 37}{space 1} 14.67{col 46}{space 3}0.000{col 55}{space 3} .4738157{col 67}{space 3} .6202025 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 5.286631{col 26}{space 2} .0399539{col 37}{space 1} 132.32{col 46}{space 3}0.000{col 55}{space 3} 5.208195{col 67}{space 3} 5.365066 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {res}{txt}r; t=0.25 20:12:10 {com}. savedresults comp ols e(), include(macros: depvar scalar: rmse matrix: b V) tol(1e-7) verbose {txt}comparing macro e(depvar) comparing scalar e(rmse) comparing matrix e(b) comparing matrix e(V) r; t=0.00 20:12:10 {com}. . ivreg lw expr tenure rns smsa _I* (iq = age) in 1/8 {txt}Instrumental variables (2SLS) regression Source {c |} SS df MS Number of obs ={res} 8 {txt}{hline 13}{char +}{hline 30} F( 7, 0) ={res} . {txt} Model {char |} {res} 1.68200831 7 .240286902 {txt}Prob > F = {res} . {txt}Residual {char |} {res} 5.4603e-21 0 . {txt}R-squared = {res} 1.0000 {txt}{hline 13}{char +}{hline 30} Adj R-squared = {res} . {txt} Total {char |} {res} 1.68200831 7 .240286902 {txt}Root MSE = {res} 0 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} lw{col 14}{c |} Coef.{col 26} Std. Err.{col 37} t{col 46} P>|t|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 10}iq {c |}{col 14}{result}{space 2} .1354{col 26}{space 2} .{col 37}{space 1} .{col 46}{space 3} .{col 55}{space 3} .{col 67}{space 3} . {txt}{space 8}expr {c |}{col 14}{result}{space 2}-.6815391{col 26}{space 2} .{col 37}{space 1} .{col 46}{space 3} .{col 55}{space 3} .{col 67}{space 3} . {txt}{space 6}tenure {c |}{col 14}{result}{space 2}-3.384152{col 26}{space 2} .{col 37}{space 1} .{col 46}{space 3} .{col 55}{space 3} .{col 67}{space 3} . {txt}{space 9}rns {c |}{col 14}{result} (omitted) {txt}{space 8}smsa {c |}{col 14}{result}{space 2}-.2554329{col 26}{space 2} .{col 37}{space 1} .{col 46}{space 3} .{col 55}{space 3} .{col 67}{space 3} . {txt}{space 3}_Iyear_67 {c |}{col 14}{result}{space 2}-1.334461{col 26}{space 2} .{col 37}{space 1} .{col 46}{space 3} .{col 55}{space 3} .{col 67}{space 3} . {txt}{space 3}_Iyear_68 {c |}{col 14}{result}{space 2}-2.471034{col 26}{space 2} .{col 37}{space 1} .{col 46}{space 3} .{col 55}{space 3} .{col 67}{space 3} . {txt}{space 3}_Iyear_69 {c |}{col 14}{result} (omitted) {txt}{space 3}_Iyear_70 {c |}{col 14}{result} (omitted) {txt}{space 3}_Iyear_71 {c |}{col 14}{result} (omitted) {txt}{space 3}_Iyear_73 {c |}{col 14}{result}{space 2} 16.10886{col 26}{space 2} .{col 37}{space 1} .{col 46}{space 3} .{col 55}{space 3} .{col 67}{space 3} . {txt}{space 7}_cons {c |}{col 14}{result}{space 2}-3.650863{col 26}{space 2} .{col 37}{space 1} .{col 46}{space 3} .{col 55}{space 3} .{col 67}{space 3} . {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {p 0 15 4}Instrumented:{space 2}iq{p_end} {p 0 15 4}Instruments:{space 3}expr tenure rns smsa _Iyear_67 _Iyear_68 _Iyear_69 _Iyear_70 _Iyear_71 _Iyear_73 age{p_end} {hline 78} r; t=0.17 20:12:10 {com}. * insuff observations . rcof "noi ivreg2 lw expr tenure rns smsa _I* (iq = age) in 1/8" == 2001 {txt}Warning - endogenous variable(s) collinear with instruments Vars now exogenous:{col 21}iq Warning - collinearities detected Vars dropped:{col 21}rns _Iyear_69 _Iyear_70 _Iyear_71 age {err}Error: number of observations must be greater than number of instruments including constant. insufficient observations {txt}r; t=0.14 20:12:10 {com}. * ivreg2 lw expr tenure rns smsa _I* (iq=age) in 1/8 . * assert "`e(collin)'" == "rns _Iyear_69 _Iyear_70 _Iyear_71 _Iyear_73" . . * exact id . ivreg2 lw expr tenure rns smsa _I* (iq = age) {txt}IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 758 {txt}{col 55}F( 11, 746) = {res} 5.81 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 139.2861498{txt}{col 55}Centered R2 = {res} -4.2804 {txt}Total (uncentered) SS = {res} 24652.24662{txt}{col 55}Uncentered R2 = {res} 0.9702 {txt}Residual SS = {res} 735.4927869{txt}{col 55}Root MSE = {res} .985 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} lw{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 10}iq {c |}{col 14}{result}{space 2} .0798825{col 26}{space 2} .0199793{col 37}{space 1} 4.00{col 46}{space 3}0.000{col 55}{space 3} .0407237{col 67}{space 3} .1190412 {txt}{space 8}expr {c |}{col 14}{result}{space 2} .1075846{col 26}{space 2} .0309323{col 37}{space 1} 3.48{col 46}{space 3}0.001{col 55}{space 3} .0469584{col 67}{space 3} .1682108 {txt}{space 6}tenure {c |}{col 14}{result}{space 2}-.0021097{col 26}{space 2} .0257502{col 37}{space 1} -0.08{col 46}{space 3}0.935{col 55}{space 3}-.0525792{col 67}{space 3} .0483597 {txt}{space 9}rns {c |}{col 14}{result}{space 2} .1839836{col 26}{space 2} .1137456{col 37}{space 1} 1.62{col 46}{space 3}0.106{col 55}{space 3}-.0389537{col 67}{space 3} .4069208 {txt}{space 8}smsa {c |}{col 14}{result}{space 2} .0304411{col 26}{space 2} .0855021{col 37}{space 1} 0.36{col 46}{space 3}0.722{col 55}{space 3}-.1371399{col 67}{space 3} .1980221 {txt}{space 3}_Iyear_67 {c |}{col 14}{result}{space 2}-.1296965{col 26}{space 2} .1460597{col 37}{space 1} -0.89{col 46}{space 3}0.375{col 55}{space 3}-.4159682{col 67}{space 3} .1565752 {txt}{space 3}_Iyear_68 {c |}{col 14}{result}{space 2} .0595883{col 26}{space 2} .1357461{col 37}{space 1} 0.44{col 46}{space 3}0.661{col 55}{space 3}-.2064691{col 67}{space 3} .3256457 {txt}{space 3}_Iyear_69 {c |}{col 14}{result}{space 2}-.0368177{col 26}{space 2} .1524413{col 37}{space 1} -0.24{col 46}{space 3}0.809{col 55}{space 3}-.3355971{col 67}{space 3} .2619618 {txt}{space 3}_Iyear_70 {c |}{col 14}{result}{space 2}-.2980978{col 26}{space 2} .2136546{col 37}{space 1} -1.40{col 46}{space 3}0.163{col 55}{space 3} -.716853{col 67}{space 3} .1206574 {txt}{space 3}_Iyear_71 {c |}{col 14}{result}{space 2}-.2766231{col 26}{space 2} .2036536{col 37}{space 1} -1.36{col 46}{space 3}0.174{col 55}{space 3}-.6757769{col 67}{space 3} .1225307 {txt}{space 3}_Iyear_73 {c |}{col 14}{result}{space 2}-.2688341{col 26}{space 2} .229381{col 37}{space 1} -1.17{col 46}{space 3}0.241{col 55}{space 3}-.7184127{col 67}{space 3} .1807444 {txt}{space 7}_cons {c |}{col 14}{result}{space 2}-2.739876{col 26}{space 2} 2.01064{col 37}{space 1} -1.36{col 46}{space 3}0.173{col 55}{space 3}-6.680658{col 67}{space 3} 1.200906 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Anderson canon. corr. LM statistic):{res}{col 71} 15.406 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.0001 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Cragg-Donald Wald F statistic):{res}{col 71} 15.476 {txt}Stock-Yogo weak ID test critical values:{col 42}10% maximal IV size{res}{col 73} 16.38 {txt}{col 42}15% maximal IV size{res}{col 73} 8.96 {txt}{col 42}20% maximal IV size{res}{col 73} 6.66 {txt}{col 42}25% maximal IV size{res}{col 73} 5.53 {txt}Source: Stock-Yogo (2005). Reproduced by permission. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 0.000 {txt}{col 50}(equation exactly identified) {hline 78} Instrumented:{col 23}iq Included instruments:{col 23}expr tenure rns smsa _Iyear_67 _Iyear_68 _Iyear_69 {col 23}_Iyear_70 _Iyear_71 _Iyear_73 Excluded instruments:{col 23}age {hline 78} r; t=0.23 20:12:10 {com}. assert reldif(e(sargan),0.0)<1e-3 {txt}r; t=0.00 20:12:10 {com}. . * robust option . ivreg lw expr tenure rns smsa _I* (iq s = med kww mrt age) , robust {txt}Instrumental variables (2SLS) regression Number of obs ={res} 758 {txt}F( 12, 745) ={res} 40.09 {txt}Prob > F = {res} 0.0000 {txt}R-squared = {res} 0.2280 {txt}Root MSE = {res} .37992 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 14}{text}{c |}{col 14} Robust {col 1}{text} lw{col 14}{c |} Coef.{col 26} Std. Err.{col 37} t{col 46} P>|t|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 10}iq {c |}{col 14}{result}{space 2}-.0090988{col 26}{space 2} .0049287{col 37}{space 1} -1.85{col 46}{space 3}0.065{col 55}{space 3}-.0187746{col 67}{space 3} .0005769 {txt}{space 11}s {c |}{col 14}{result}{space 2} .1724253{col 26}{space 2} .0209196{col 37}{space 1} 8.24{col 46}{space 3}0.000{col 55}{space 3} .1313569{col 67}{space 3} .2134938 {txt}{space 8}expr {c |}{col 14}{result}{space 2} .0492895{col 26}{space 2} .0081197{col 37}{space 1} 6.07{col 46}{space 3}0.000{col 55}{space 3} .0333492{col 67}{space 3} .0652298 {txt}{space 6}tenure {c |}{col 14}{result}{space 2} .0422171{col 26}{space 2} .0095458{col 37}{space 1} 4.42{col 46}{space 3}0.000{col 55}{space 3} .0234771{col 67}{space 3} .0609571 {txt}{space 9}rns {c |}{col 14}{result}{space 2}-.1017935{col 26}{space 2} .0340034{col 37}{space 1} -2.99{col 46}{space 3}0.003{col 55}{space 3}-.1685473{col 67}{space 3}-.0350396 {txt}{space 8}smsa {c |}{col 14}{result}{space 2} .1261109{col 26}{space 2} .031079{col 37}{space 1} 4.06{col 46}{space 3}0.000{col 55}{space 3} .065098{col 67}{space 3} .1871239 {txt}{space 3}_Iyear_67 {c |}{col 14}{result}{space 2}-.0596171{col 26}{space 2} .052163{col 37}{space 1} -1.14{col 46}{space 3}0.253{col 55}{space 3} -.162021{col 67}{space 3} .0427868 {txt}{space 3}_Iyear_68 {c |}{col 14}{result}{space 2} .0486796{col 26}{space 2} .050246{col 37}{space 1} 0.97{col 46}{space 3}0.333{col 55}{space 3} -.049961{col 67}{space 3} .1473201 {txt}{space 3}_Iyear_69 {c |}{col 14}{result}{space 2} .1528176{col 26}{space 2} .0483449{col 37}{space 1} 3.16{col 46}{space 3}0.002{col 55}{space 3} .0579093{col 67}{space 3} .247726 {txt}{space 3}_Iyear_70 {c |}{col 14}{result}{space 2} .1744361{col 26}{space 2} .0616561{col 37}{space 1} 2.83{col 46}{space 3}0.005{col 55}{space 3} .0533956{col 67}{space 3} .2954765 {txt}{space 3}_Iyear_71 {c |}{col 14}{result}{space 2} .091666{col 26}{space 2} .0559436{col 37}{space 1} 1.64{col 46}{space 3}0.102{col 55}{space 3}-.0181599{col 67}{space 3} .2014918 {txt}{space 3}_Iyear_73 {c |}{col 14}{result}{space 2} .0932398{col 26}{space 2} .0613776{col 37}{space 1} 1.52{col 46}{space 3}0.129{col 55}{space 3}-.0272539{col 67}{space 3} .2137334 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 4.03351{col 26}{space 2} .3379434{col 37}{space 1} 11.94{col 46}{space 3}0.000{col 55}{space 3} 3.370075{col 67}{space 3} 4.696945 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {p 0 15 4}Instrumented:{space 2}iq s{p_end} {p 0 15 4}Instruments:{space 3}expr tenure rns smsa _Iyear_67 _Iyear_68 _Iyear_69 _Iyear_70 _Iyear_71 _Iyear_73 med kww mrt age{p_end} {hline 78} r; t=0.26 20:12:11 {com}. savedresults save ivrob e() {txt}r; t=0.00 20:12:11 {com}. ivreg2 lw expr tenure rns smsa _I* (iq s = med kww mrt age) , robust small {txt}IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics robust to heteroskedasticity {col 55}Number of obs = {res} 758 {txt}{col 55}F( 12, 745) = {res} 40.09 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 139.2861498{txt}{col 55}Centered R2 = {res} 0.2280 {txt}Total (uncentered) SS = {res} 24652.24662{txt}{col 55}Uncentered R2 = {res} 0.9956 {txt}Residual SS = {res} 107.5313411{txt}{col 55}Root MSE = {res} .3799 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 14}{text}{c |}{col 14} Robust {col 1}{text} lw{col 14}{c |} Coef.{col 26} Std. Err.{col 37} t{col 46} P>|t|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 10}iq {c |}{col 14}{result}{space 2}-.0090988{col 26}{space 2} .0049287{col 37}{space 1} -1.85{col 46}{space 3}0.065{col 55}{space 3}-.0187746{col 67}{space 3} .0005769 {txt}{space 11}s {c |}{col 14}{result}{space 2} .1724253{col 26}{space 2} .0209196{col 37}{space 1} 8.24{col 46}{space 3}0.000{col 55}{space 3} .1313569{col 67}{space 3} .2134938 {txt}{space 8}expr {c |}{col 14}{result}{space 2} .0492895{col 26}{space 2} .0081197{col 37}{space 1} 6.07{col 46}{space 3}0.000{col 55}{space 3} .0333492{col 67}{space 3} .0652298 {txt}{space 6}tenure {c |}{col 14}{result}{space 2} .0422171{col 26}{space 2} .0095458{col 37}{space 1} 4.42{col 46}{space 3}0.000{col 55}{space 3} .0234771{col 67}{space 3} .0609571 {txt}{space 9}rns {c |}{col 14}{result}{space 2}-.1017935{col 26}{space 2} .0340034{col 37}{space 1} -2.99{col 46}{space 3}0.003{col 55}{space 3}-.1685473{col 67}{space 3}-.0350396 {txt}{space 8}smsa {c |}{col 14}{result}{space 2} .1261109{col 26}{space 2} .031079{col 37}{space 1} 4.06{col 46}{space 3}0.000{col 55}{space 3} .065098{col 67}{space 3} .1871239 {txt}{space 3}_Iyear_67 {c |}{col 14}{result}{space 2}-.0596171{col 26}{space 2} .052163{col 37}{space 1} -1.14{col 46}{space 3}0.253{col 55}{space 3} -.162021{col 67}{space 3} .0427868 {txt}{space 3}_Iyear_68 {c |}{col 14}{result}{space 2} .0486796{col 26}{space 2} .050246{col 37}{space 1} 0.97{col 46}{space 3}0.333{col 55}{space 3} -.049961{col 67}{space 3} .1473201 {txt}{space 3}_Iyear_69 {c |}{col 14}{result}{space 2} .1528176{col 26}{space 2} .0483449{col 37}{space 1} 3.16{col 46}{space 3}0.002{col 55}{space 3} .0579093{col 67}{space 3} .247726 {txt}{space 3}_Iyear_70 {c |}{col 14}{result}{space 2} .1744361{col 26}{space 2} .0616561{col 37}{space 1} 2.83{col 46}{space 3}0.005{col 55}{space 3} .0533956{col 67}{space 3} .2954765 {txt}{space 3}_Iyear_71 {c |}{col 14}{result}{space 2} .091666{col 26}{space 2} .0559436{col 37}{space 1} 1.64{col 46}{space 3}0.102{col 55}{space 3}-.0181599{col 67}{space 3} .2014918 {txt}{space 3}_Iyear_73 {c |}{col 14}{result}{space 2} .0932398{col 26}{space 2} .0613776{col 37}{space 1} 1.52{col 46}{space 3}0.129{col 55}{space 3}-.0272539{col 67}{space 3} .2137334 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 4.03351{col 26}{space 2} .3379434{col 37}{space 1} 11.94{col 46}{space 3}0.000{col 55}{space 3} 3.370075{col 67}{space 3} 4.696945 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Kleibergen-Paap rk LM statistic):{res}{col 71} 40.927 {txt}{col 52}Chi-sq({res}3{txt}) P-val = {res}{col 73}0.0000 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Kleibergen-Paap rk Wald F statistic):{res}{col 71} 11.461 {txt}Stock-Yogo weak ID test critical values:{col 43}5% maximal IV relative bias{res}{col 73} 11.04 {txt}{col 42}10% maximal IV relative bias{res}{col 73} 7.56 {txt}{col 42}20% maximal IV relative bias{res}{col 73} 5.57 {txt}{col 42}30% maximal IV relative bias{res}{col 73} 4.73 {txt}{col 42}10% maximal IV size{res}{col 73} 16.87 {txt}{col 42}15% maximal IV size{res}{col 73} 9.93 {txt}{col 42}20% maximal IV size{res}{col 73} 7.54 {txt}{col 42}25% maximal IV size{res}{col 73} 6.28 {txt}Source: Stock-Yogo (2005). Reproduced by permission. NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors. {hline 78} {help ivreg2##overidtests:Hansen J statistic} (overidentification test of all instruments):{res}{col 71} 11.601 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.0030 {txt}{hline 78} Instrumented:{col 23}iq s Included instruments:{col 23}expr tenure rns smsa _Iyear_67 _Iyear_68 _Iyear_69 {col 23}_Iyear_70 _Iyear_71 _Iyear_73 Excluded instruments:{col 23}med kww mrt age {hline 78} r; t=0.48 20:12:11 {com}. * 1.0.6: same as above . *savedresults comp ivrob e(), include(macros: insts instd depvar vcetype scalar: rmse matrix: b V) tol(1e-7) verbose . savedresults comp ivrob e(), include(macros: instd depvar vcetype scalar: rmse matrix: b V) tol(1e-7) verbose {txt}comparing macro e(instd) comparing macro e(depvar) comparing macro e(vcetype) comparing scalar e(rmse) comparing matrix e(b) comparing matrix e(V) r; t=0.00 20:12:11 {com}. . . * GMM2S option . which ivgmm0 {txt}/Users/baum/library/application support/stata/ado/plus/i/ivgmm0.ado {res}*! ivgmm0 v1.1.11 C F Baum and David Drukker 16Mar2004 {txt}r; t=0.02 20:12:11 {com}. ivgmm0 lw expr tenure rns smsa _I* (iq s = med kww mrt age) {txt}Instrumental Variables Estimation via GMM Number of obs ={res} 758 Root MSE = 0.3794 Hansen J = 11.6015 Chi-sq( 2) P-val = 0.00303 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 14}{text}{c |}{col 14} GMM {col 1}{text} lw{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 10}iq {c |}{col 14}{result}{space 2}-.0092862{col 26}{space 2} .0048824{col 37}{space 1} -1.90{col 46}{space 3}0.057{col 55}{space 3}-.0188555{col 67}{space 3} .0002832 {txt}{space 11}s {c |}{col 14}{result}{space 2} .1757958{col 26}{space 2} .0206766{col 37}{space 1} 8.50{col 46}{space 3}0.000{col 55}{space 3} .1352703{col 67}{space 3} .2163212 {txt}{space 8}expr {c |}{col 14}{result}{space 2} .0502828{col 26}{space 2} .0080438{col 37}{space 1} 6.25{col 46}{space 3}0.000{col 55}{space 3} .0345171{col 67}{space 3} .0660484 {txt}{space 6}tenure {c |}{col 14}{result}{space 2} .0425214{col 26}{space 2} .0094549{col 37}{space 1} 4.50{col 46}{space 3}0.000{col 55}{space 3} .0239901{col 67}{space 3} .0610526 {txt}{space 9}rns {c |}{col 14}{result}{space 2}-.1040931{col 26}{space 2} .0335239{col 37}{space 1} -3.11{col 46}{space 3}0.002{col 55}{space 3}-.1697986{col 67}{space 3}-.0383875 {txt}{space 8}smsa {c |}{col 14}{result}{space 2} .1247512{col 26}{space 2} .0307747{col 37}{space 1} 4.05{col 46}{space 3}0.000{col 55}{space 3} .0644338{col 67}{space 3} .1850686 {txt}{space 3}_Iyear_67 {c |}{col 14}{result}{space 2}-.0530432{col 26}{space 2} .0514609{col 37}{space 1} -1.03{col 46}{space 3}0.303{col 55}{space 3}-.1539047{col 67}{space 3} .0478184 {txt}{space 3}_Iyear_68 {c |}{col 14}{result}{space 2} .0459546{col 26}{space 2} .0495735{col 37}{space 1} 0.93{col 46}{space 3}0.354{col 55}{space 3}-.0512077{col 67}{space 3} .1431169 {txt}{space 3}_Iyear_69 {c |}{col 14}{result}{space 2} .1554801{col 26}{space 2} .0476311{col 37}{space 1} 3.26{col 46}{space 3}0.001{col 55}{space 3} .0621249{col 67}{space 3} .2488352 {txt}{space 3}_Iyear_70 {c |}{col 14}{result}{space 2} .1669875{col 26}{space 2} .0610006{col 37}{space 1} 2.74{col 46}{space 3}0.006{col 55}{space 3} .0474285{col 67}{space 3} .2865464 {txt}{space 3}_Iyear_71 {c |}{col 14}{result}{space 2} .0846485{col 26}{space 2} .0554035{col 37}{space 1} 1.53{col 46}{space 3}0.127{col 55}{space 3}-.0239404{col 67}{space 3} .1932373 {txt}{space 3}_Iyear_73 {c |}{col 14}{result}{space 2} .0996068{col 26}{space 2} .0607034{col 37}{space 1} 1.64{col 46}{space 3}0.101{col 55}{space 3}-.0193696{col 67}{space 3} .2185833 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 4.003924{col 26}{space 2} .3348423{col 37}{space 1} 11.96{col 46}{space 3}0.000{col 55}{space 3} 3.347645{col 67}{space 3} 4.660203 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} Instrumented: iq s Instruments: expr tenure rns smsa _Iyear_67 _Iyear_68 _Iyear_69 _Iyear_70 _Iyear_71 _Iyear_73 med kww mrt age ------------------------------------------------------------------------------ r; t=0.29 20:12:11 {com}. savedresults save ivgmm e() {txt}r; t=0.00 20:12:11 {com}. ivreg2 lw expr tenure rns smsa _I* (iq s = med kww mrt age), gmm2s robust {txt}2-Step GMM estimation {hline 21} Estimates efficient for arbitrary heteroskedasticity Statistics robust to heteroskedasticity {col 55}Number of obs = {res} 758 {txt}{col 55}F( 12, 745) = {res} 41.98 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 139.2861498{txt}{col 55}Centered R2 = {res} 0.2168 {txt}Total (uncentered) SS = {res} 24652.24662{txt}{col 55}Uncentered R2 = {res} 0.9956 {txt}Residual SS = {res} 109.0846511{txt}{col 55}Root MSE = {res} .3794 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 14}{text}{c |}{col 14} Robust {col 1}{text} lw{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 10}iq {c |}{col 14}{result}{space 2}-.0092862{col 26}{space 2} .0048824{col 37}{space 1} -1.90{col 46}{space 3}0.057{col 55}{space 3}-.0188555{col 67}{space 3} .0002832 {txt}{space 11}s {c |}{col 14}{result}{space 2} .1757958{col 26}{space 2} .0206766{col 37}{space 1} 8.50{col 46}{space 3}0.000{col 55}{space 3} .1352703{col 67}{space 3} .2163212 {txt}{space 8}expr {c |}{col 14}{result}{space 2} .0502828{col 26}{space 2} .0080438{col 37}{space 1} 6.25{col 46}{space 3}0.000{col 55}{space 3} .0345171{col 67}{space 3} .0660484 {txt}{space 6}tenure {c |}{col 14}{result}{space 2} .0425214{col 26}{space 2} .0094549{col 37}{space 1} 4.50{col 46}{space 3}0.000{col 55}{space 3} .0239901{col 67}{space 3} .0610526 {txt}{space 9}rns {c |}{col 14}{result}{space 2}-.1040931{col 26}{space 2} .0335239{col 37}{space 1} -3.11{col 46}{space 3}0.002{col 55}{space 3}-.1697986{col 67}{space 3}-.0383875 {txt}{space 8}smsa {c |}{col 14}{result}{space 2} .1247512{col 26}{space 2} .0307747{col 37}{space 1} 4.05{col 46}{space 3}0.000{col 55}{space 3} .0644338{col 67}{space 3} .1850686 {txt}{space 3}_Iyear_67 {c |}{col 14}{result}{space 2}-.0530432{col 26}{space 2} .0514609{col 37}{space 1} -1.03{col 46}{space 3}0.303{col 55}{space 3}-.1539047{col 67}{space 3} .0478184 {txt}{space 3}_Iyear_68 {c |}{col 14}{result}{space 2} .0459546{col 26}{space 2} .0495735{col 37}{space 1} 0.93{col 46}{space 3}0.354{col 55}{space 3}-.0512077{col 67}{space 3} .1431169 {txt}{space 3}_Iyear_69 {c |}{col 14}{result}{space 2} .1554801{col 26}{space 2} .0476311{col 37}{space 1} 3.26{col 46}{space 3}0.001{col 55}{space 3} .0621249{col 67}{space 3} .2488352 {txt}{space 3}_Iyear_70 {c |}{col 14}{result}{space 2} .1669875{col 26}{space 2} .0610006{col 37}{space 1} 2.74{col 46}{space 3}0.006{col 55}{space 3} .0474285{col 67}{space 3} .2865464 {txt}{space 3}_Iyear_71 {c |}{col 14}{result}{space 2} .0846485{col 26}{space 2} .0554035{col 37}{space 1} 1.53{col 46}{space 3}0.127{col 55}{space 3}-.0239404{col 67}{space 3} .1932373 {txt}{space 3}_Iyear_73 {c |}{col 14}{result}{space 2} .0996068{col 26}{space 2} .0607034{col 37}{space 1} 1.64{col 46}{space 3}0.101{col 55}{space 3}-.0193696{col 67}{space 3} .2185833 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 4.003924{col 26}{space 2} .3348423{col 37}{space 1} 11.96{col 46}{space 3}0.000{col 55}{space 3} 3.347645{col 67}{space 3} 4.660203 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Kleibergen-Paap rk LM statistic):{res}{col 71} 40.927 {txt}{col 52}Chi-sq({res}3{txt}) P-val = {res}{col 73}0.0000 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Kleibergen-Paap rk Wald F statistic):{res}{col 71} 11.461 {txt}Stock-Yogo weak ID test critical values:{col 43}5% maximal IV relative bias{res}{col 73} 11.04 {txt}{col 42}10% maximal IV relative bias{res}{col 73} 7.56 {txt}{col 42}20% maximal IV relative bias{res}{col 73} 5.57 {txt}{col 42}30% maximal IV relative bias{res}{col 73} 4.73 {txt}{col 42}10% maximal IV size{res}{col 73} 16.87 {txt}{col 42}15% maximal IV size{res}{col 73} 9.93 {txt}{col 42}20% maximal IV size{res}{col 73} 7.54 {txt}{col 42}25% maximal IV size{res}{col 73} 6.28 {txt}Source: Stock-Yogo (2005). Reproduced by permission. NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors. {hline 78} {help ivreg2##overidtests:Hansen J statistic} (overidentification test of all instruments):{res}{col 71} 11.601 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.0030 {txt}{hline 78} Instrumented:{col 23}iq s Included instruments:{col 23}expr tenure rns smsa _Iyear_67 _Iyear_68 _Iyear_69 {col 23}_Iyear_70 _Iyear_71 _Iyear_73 Excluded instruments:{col 23}med kww mrt age {hline 78} r; t=0.40 20:12:12 {com}. * 1.0.6: same as above; cannot compare W . * savedresults comp ivgmm e(), include(macros: insts instd depvar scalar: N rmse j matrix: b V W) tol(1e-7) verbose . * savedresults comp ivgmm e(), include(macros: instd depvar scalar: N rmse j matrix: b V W) tol(1e-7) verbose . savedresults comp ivgmm e(), include(macros: instd depvar scalar: N rmse j matrix: b V ) tol(1e-7) verbose {txt}comparing macro e(instd) comparing macro e(depvar) comparing scalar e(N) comparing scalar e(rmse) comparing scalar e(j) comparing matrix e(b) comparing matrix e(V) r; t=0.00 20:12:12 {com}. . . * orthog option . rcof "noi ivreg2 lw expr tenure rns smsa _I* (iq = med kww mrt ), orthog(s)" == 198 {err}Error: s listed in orthog() but does not appear as exogenous. invalid syntax {txt}r; t=0.03 20:12:12 {com}. ivreg2 lw expr tenure rns smsa _I* (iq = med kww mrt ), orthog(expr) {txt}IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 758 {txt}{col 55}F( 11, 746) = {res} 31.71 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 139.2861498{txt}{col 55}Centered R2 = {res} 0.1352 {txt}Total (uncentered) SS = {res} 24652.24662{txt}{col 55}Uncentered R2 = {res} 0.9951 {txt}Residual SS = {res} 120.4602539{txt}{col 55}Root MSE = {res} .3986 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} lw{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 10}iq {c |}{col 14}{result}{space 2} .0229555{col 26}{space 2} .003084{col 37}{space 1} 7.44{col 46}{space 3}0.000{col 55}{space 3} .0169109{col 67}{space 3} .0290002 {txt}{space 8}expr {c |}{col 14}{result}{space 2} .0373061{col 26}{space 2} .0084595{col 37}{space 1} 4.41{col 46}{space 3}0.000{col 55}{space 3} .0207258{col 67}{space 3} .0538864 {txt}{space 6}tenure {c |}{col 14}{result}{space 2} .0335914{col 26}{space 2} .0093074{col 37}{space 1} 3.61{col 46}{space 3}0.000{col 55}{space 3} .0153493{col 67}{space 3} .0518335 {txt}{space 9}rns {c |}{col 14}{result}{space 2}-.0396948{col 26}{space 2} .0354474{col 37}{space 1} -1.12{col 46}{space 3}0.263{col 55}{space 3}-.1091704{col 67}{space 3} .0297808 {txt}{space 8}smsa {c |}{col 14}{result}{space 2} .116191{col 26}{space 2} .0327198{col 37}{space 1} 3.55{col 46}{space 3}0.000{col 55}{space 3} .0520614{col 67}{space 3} .1803206 {txt}{space 3}_Iyear_67 {c |}{col 14}{result}{space 2}-.0663356{col 26}{space 2} .0585219{col 37}{space 1} -1.13{col 46}{space 3}0.257{col 55}{space 3}-.1810365{col 67}{space 3} .0483653 {txt}{space 3}_Iyear_68 {c |}{col 14}{result}{space 2} .0909651{col 26}{space 2} .0547817{col 37}{space 1} 1.66{col 46}{space 3}0.097{col 55}{space 3} -.016405{col 67}{space 3} .1983353 {txt}{space 3}_Iyear_69 {c |}{col 14}{result}{space 2} .1851946{col 26}{space 2} .054372{col 37}{space 1} 3.41{col 46}{space 3}0.001{col 55}{space 3} .0786274{col 67}{space 3} .2917618 {txt}{space 3}_Iyear_70 {c |}{col 14}{result}{space 2} .1509552{col 26}{space 2} .0632466{col 37}{space 1} 2.39{col 46}{space 3}0.017{col 55}{space 3} .0269941{col 67}{space 3} .2749162 {txt}{space 3}_Iyear_71 {c |}{col 14}{result}{space 2} .1855911{col 26}{space 2} .0557659{col 37}{space 1} 3.33{col 46}{space 3}0.001{col 55}{space 3} .0762919{col 67}{space 3} .2948904 {txt}{space 3}_Iyear_73 {c |}{col 14}{result}{space 2} .3125631{col 26}{space 2} .0528234{col 37}{space 1} 5.92{col 46}{space 3}0.000{col 55}{space 3} .2090312{col 67}{space 3} .416095 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 2.980081{col 26}{space 2} .3131961{col 37}{space 1} 9.52{col 46}{space 3}0.000{col 55}{space 3} 2.366228{col 67}{space 3} 3.593934 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Anderson canon. corr. LM statistic):{res}{col 71} 105.893 {txt}{col 52}Chi-sq({res}3{txt}) P-val = {res}{col 73}0.0000 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Cragg-Donald Wald F statistic):{res}{col 71} 40.272 {txt}Stock-Yogo weak ID test critical values:{col 43}5% maximal IV relative bias{res}{col 73} 13.91 {txt}{col 42}10% maximal IV relative bias{res}{col 73} 9.08 {txt}{col 42}20% maximal IV relative bias{res}{col 73} 6.46 {txt}{col 42}30% maximal IV relative bias{res}{col 73} 5.39 {txt}{col 42}10% maximal IV size{res}{col 73} 22.30 {txt}{col 42}15% maximal IV size{res}{col 73} 12.83 {txt}{col 42}20% maximal IV size{res}{col 73} 9.54 {txt}{col 42}25% maximal IV size{res}{col 73} 7.80 {txt}Source: Stock-Yogo (2005). Reproduced by permission. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 33.392 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.0000 {txt}-orthog- option: Sargan statistic (eqn. excluding suspect orthogonality conditions):{res}{col 71} 8.636 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.0033 {help ivreg2##ctest:C statistic}{txt} (exogeneity/orthogonality of suspect instruments): {res}{col 71} 24.756 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.0000 {txt}Instruments tested: {col 23}expr {hline 78} Instrumented:{col 23}iq Included instruments:{col 23}expr tenure rns smsa _Iyear_67 _Iyear_68 _Iyear_69 {col 23}_Iyear_70 _Iyear_71 _Iyear_73 Excluded instruments:{col 23}med kww mrt {hline 78} r; t=0.36 20:12:12 {com}. ivreg2 lw expr tenure rns smsa _I* (iq = med kww ), orthog(expr) {txt}IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 758 {txt}{col 55}F( 11, 746) = {res} 30.77 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 139.2861498{txt}{col 55}Centered R2 = {res} 0.0915 {txt}Total (uncentered) SS = {res} 24652.24662{txt}{col 55}Uncentered R2 = {res} 0.9949 {txt}Residual SS = {res} 126.5404315{txt}{col 55}Root MSE = {res} .4086 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} lw{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 10}iq {c |}{col 14}{result}{space 2} .0244137{col 26}{space 2} .0031717{col 37}{space 1} 7.70{col 46}{space 3}0.000{col 55}{space 3} .0181973{col 67}{space 3} .0306301 {txt}{space 8}expr {c |}{col 14}{result}{space 2} .0391062{col 26}{space 2} .0086764{col 37}{space 1} 4.51{col 46}{space 3}0.000{col 55}{space 3} .0221009{col 67}{space 3} .0561116 {txt}{space 6}tenure {c |}{col 14}{result}{space 2} .0326769{col 26}{space 2} .0095408{col 37}{space 1} 3.42{col 46}{space 3}0.001{col 55}{space 3} .0139774{col 67}{space 3} .0513765 {txt}{space 9}rns {c |}{col 14}{result}{space 2}-.0339654{col 26}{space 2} .0363455{col 37}{space 1} -0.93{col 46}{space 3}0.350{col 55}{space 3}-.1052012{col 67}{space 3} .0372704 {txt}{space 8}smsa {c |}{col 14}{result}{space 2} .1139946{col 26}{space 2} .0335377{col 37}{space 1} 3.40{col 46}{space 3}0.001{col 55}{space 3} .0482619{col 67}{space 3} .1797272 {txt}{space 3}_Iyear_67 {c |}{col 14}{result}{space 2}-.0679585{col 26}{space 2} .0599814{col 37}{space 1} -1.13{col 46}{space 3}0.257{col 55}{space 3}-.1855199{col 67}{space 3} .0496028 {txt}{space 3}_Iyear_68 {c |}{col 14}{result}{space 2} .0901614{col 26}{space 2} .0561474{col 37}{space 1} 1.61{col 46}{space 3}0.108{col 55}{space 3}-.0198854{col 67}{space 3} .2002083 {txt}{space 3}_Iyear_69 {c |}{col 14}{result}{space 2} .1795079{col 26}{space 2} .0557366{col 37}{space 1} 3.22{col 46}{space 3}0.001{col 55}{space 3} .0702661{col 67}{space 3} .2887497 {txt}{space 3}_Iyear_70 {c |}{col 14}{result}{space 2} .1394529{col 26}{space 2} .0648559{col 37}{space 1} 2.15{col 46}{space 3}0.032{col 55}{space 3} .0123377{col 67}{space 3} .2665682 {txt}{space 3}_Iyear_71 {c |}{col 14}{result}{space 2} .1737518{col 26}{space 2} .0571954{col 37}{space 1} 3.04{col 46}{space 3}0.002{col 55}{space 3} .0616509{col 67}{space 3} .2858527 {txt}{space 3}_Iyear_73 {c |}{col 14}{result}{space 2} .2976709{col 26}{space 2} .0542058{col 37}{space 1} 5.49{col 46}{space 3}0.000{col 55}{space 3} .1914294{col 67}{space 3} .4039124 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 2.833568{col 26}{space 2} .3220753{col 37}{space 1} 8.80{col 46}{space 3}0.000{col 55}{space 3} 2.202312{col 67}{space 3} 3.464824 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Anderson canon. corr. LM statistic):{res}{col 71} 105.174 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.0000 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Cragg-Donald Wald F statistic):{res}{col 71} 60.012 {txt}Stock-Yogo weak ID test critical values:{col 42}10% maximal IV size{res}{col 73} 19.93 {txt}{col 42}15% maximal IV size{res}{col 73} 11.59 {txt}{col 42}20% maximal IV size{res}{col 73} 8.75 {txt}{col 42}25% maximal IV size{res}{col 73} 7.25 {txt}Source: Stock-Yogo (2005). Reproduced by permission. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 0.656 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.4181 {txt}-orthog- option: Sargan statistic (eqn. excluding suspect orthogonality conditions):{res}{col 71} 0.000 {txt}{col 52}Chi-sq({res}0{txt}) P-val = {res}{col 73} . {help ivreg2##ctest:C statistic}{txt} (exogeneity/orthogonality of suspect instruments): {res}{col 71} 0.656 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.4181 {txt}Instruments tested: {col 23}expr {hline 78} Instrumented:{col 23}iq Included instruments:{col 23}expr tenure rns smsa _Iyear_67 _Iyear_68 _Iyear_69 {col 23}_Iyear_70 _Iyear_71 _Iyear_73 Excluded instruments:{col 23}med kww {hline 78} r; t=0.32 20:12:12 {com}. ivreg2 lw expr tenure rns smsa _I* (iq = med kww ), orthog(med) {txt}IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 758 {txt}{col 55}F( 11, 746) = {res} 30.77 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 139.2861498{txt}{col 55}Centered R2 = {res} 0.0915 {txt}Total (uncentered) SS = {res} 24652.24662{txt}{col 55}Uncentered R2 = {res} 0.9949 {txt}Residual SS = {res} 126.5404315{txt}{col 55}Root MSE = {res} .4086 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} lw{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 10}iq {c |}{col 14}{result}{space 2} .0244137{col 26}{space 2} .0031717{col 37}{space 1} 7.70{col 46}{space 3}0.000{col 55}{space 3} .0181973{col 67}{space 3} .0306301 {txt}{space 8}expr {c |}{col 14}{result}{space 2} .0391062{col 26}{space 2} .0086764{col 37}{space 1} 4.51{col 46}{space 3}0.000{col 55}{space 3} .0221009{col 67}{space 3} .0561116 {txt}{space 6}tenure {c |}{col 14}{result}{space 2} .0326769{col 26}{space 2} .0095408{col 37}{space 1} 3.42{col 46}{space 3}0.001{col 55}{space 3} .0139774{col 67}{space 3} .0513765 {txt}{space 9}rns {c |}{col 14}{result}{space 2}-.0339654{col 26}{space 2} .0363455{col 37}{space 1} -0.93{col 46}{space 3}0.350{col 55}{space 3}-.1052012{col 67}{space 3} .0372704 {txt}{space 8}smsa {c |}{col 14}{result}{space 2} .1139946{col 26}{space 2} .0335377{col 37}{space 1} 3.40{col 46}{space 3}0.001{col 55}{space 3} .0482619{col 67}{space 3} .1797272 {txt}{space 3}_Iyear_67 {c |}{col 14}{result}{space 2}-.0679585{col 26}{space 2} .0599814{col 37}{space 1} -1.13{col 46}{space 3}0.257{col 55}{space 3}-.1855199{col 67}{space 3} .0496028 {txt}{space 3}_Iyear_68 {c |}{col 14}{result}{space 2} .0901614{col 26}{space 2} .0561474{col 37}{space 1} 1.61{col 46}{space 3}0.108{col 55}{space 3}-.0198854{col 67}{space 3} .2002083 {txt}{space 3}_Iyear_69 {c |}{col 14}{result}{space 2} .1795079{col 26}{space 2} .0557366{col 37}{space 1} 3.22{col 46}{space 3}0.001{col 55}{space 3} .0702661{col 67}{space 3} .2887497 {txt}{space 3}_Iyear_70 {c |}{col 14}{result}{space 2} .1394529{col 26}{space 2} .0648559{col 37}{space 1} 2.15{col 46}{space 3}0.032{col 55}{space 3} .0123377{col 67}{space 3} .2665682 {txt}{space 3}_Iyear_71 {c |}{col 14}{result}{space 2} .1737518{col 26}{space 2} .0571954{col 37}{space 1} 3.04{col 46}{space 3}0.002{col 55}{space 3} .0616509{col 67}{space 3} .2858527 {txt}{space 3}_Iyear_73 {c |}{col 14}{result}{space 2} .2976709{col 26}{space 2} .0542058{col 37}{space 1} 5.49{col 46}{space 3}0.000{col 55}{space 3} .1914294{col 67}{space 3} .4039124 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 2.833568{col 26}{space 2} .3220753{col 37}{space 1} 8.80{col 46}{space 3}0.000{col 55}{space 3} 2.202312{col 67}{space 3} 3.464824 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Anderson canon. corr. LM statistic):{res}{col 71} 105.174 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.0000 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Cragg-Donald Wald F statistic):{res}{col 71} 60.012 {txt}Stock-Yogo weak ID test critical values:{col 42}10% maximal IV size{res}{col 73} 19.93 {txt}{col 42}15% maximal IV size{res}{col 73} 11.59 {txt}{col 42}20% maximal IV size{res}{col 73} 8.75 {txt}{col 42}25% maximal IV size{res}{col 73} 7.25 {txt}Source: Stock-Yogo (2005). Reproduced by permission. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 0.656 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.4181 {txt}-orthog- option: Sargan statistic (eqn. excluding suspect orthogonality conditions):{res}{col 71} 0.000 {txt}{col 52}Chi-sq({res}0{txt}) P-val = {res}{col 73} . {help ivreg2##ctest:C statistic}{txt} (exogeneity/orthogonality of suspect instruments): {res}{col 71} 0.656 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.4181 {txt}Instruments tested: {col 23}med {hline 78} Instrumented:{col 23}iq Included instruments:{col 23}expr tenure rns smsa _Iyear_67 _Iyear_68 _Iyear_69 {col 23}_Iyear_70 _Iyear_71 _Iyear_73 Excluded instruments:{col 23}med kww {hline 78} r; t=0.28 20:12:13 {com}. ivreg2 lw expr tenure rns smsa _I* (iq = med kww ), orthog(med kww) {txt}IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 758 {txt}{col 55}F( 11, 746) = {res} 30.77 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 139.2861498{txt}{col 55}Centered R2 = {res} 0.0915 {txt}Total (uncentered) SS = {res} 24652.24662{txt}{col 55}Uncentered R2 = {res} 0.9949 {txt}Residual SS = {res} 126.5404315{txt}{col 55}Root MSE = {res} .4086 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} lw{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 10}iq {c |}{col 14}{result}{space 2} .0244137{col 26}{space 2} .0031717{col 37}{space 1} 7.70{col 46}{space 3}0.000{col 55}{space 3} .0181973{col 67}{space 3} .0306301 {txt}{space 8}expr {c |}{col 14}{result}{space 2} .0391062{col 26}{space 2} .0086764{col 37}{space 1} 4.51{col 46}{space 3}0.000{col 55}{space 3} .0221009{col 67}{space 3} .0561116 {txt}{space 6}tenure {c |}{col 14}{result}{space 2} .0326769{col 26}{space 2} .0095408{col 37}{space 1} 3.42{col 46}{space 3}0.001{col 55}{space 3} .0139774{col 67}{space 3} .0513765 {txt}{space 9}rns {c |}{col 14}{result}{space 2}-.0339654{col 26}{space 2} .0363455{col 37}{space 1} -0.93{col 46}{space 3}0.350{col 55}{space 3}-.1052012{col 67}{space 3} .0372704 {txt}{space 8}smsa {c |}{col 14}{result}{space 2} .1139946{col 26}{space 2} .0335377{col 37}{space 1} 3.40{col 46}{space 3}0.001{col 55}{space 3} .0482619{col 67}{space 3} .1797272 {txt}{space 3}_Iyear_67 {c |}{col 14}{result}{space 2}-.0679585{col 26}{space 2} .0599814{col 37}{space 1} -1.13{col 46}{space 3}0.257{col 55}{space 3}-.1855199{col 67}{space 3} .0496028 {txt}{space 3}_Iyear_68 {c |}{col 14}{result}{space 2} .0901614{col 26}{space 2} .0561474{col 37}{space 1} 1.61{col 46}{space 3}0.108{col 55}{space 3}-.0198854{col 67}{space 3} .2002083 {txt}{space 3}_Iyear_69 {c |}{col 14}{result}{space 2} .1795079{col 26}{space 2} .0557366{col 37}{space 1} 3.22{col 46}{space 3}0.001{col 55}{space 3} .0702661{col 67}{space 3} .2887497 {txt}{space 3}_Iyear_70 {c |}{col 14}{result}{space 2} .1394529{col 26}{space 2} .0648559{col 37}{space 1} 2.15{col 46}{space 3}0.032{col 55}{space 3} .0123377{col 67}{space 3} .2665682 {txt}{space 3}_Iyear_71 {c |}{col 14}{result}{space 2} .1737518{col 26}{space 2} .0571954{col 37}{space 1} 3.04{col 46}{space 3}0.002{col 55}{space 3} .0616509{col 67}{space 3} .2858527 {txt}{space 3}_Iyear_73 {c |}{col 14}{result}{space 2} .2976709{col 26}{space 2} .0542058{col 37}{space 1} 5.49{col 46}{space 3}0.000{col 55}{space 3} .1914294{col 67}{space 3} .4039124 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 2.833568{col 26}{space 2} .3220753{col 37}{space 1} 8.80{col 46}{space 3}0.000{col 55}{space 3} 2.202312{col 67}{space 3} 3.464824 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Anderson canon. corr. LM statistic):{res}{col 71} 105.174 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.0000 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Cragg-Donald Wald F statistic):{res}{col 71} 60.012 {txt}Stock-Yogo weak ID test critical values:{col 42}10% maximal IV size{res}{col 73} 19.93 {txt}{col 42}15% maximal IV size{res}{col 73} 11.59 {txt}{col 42}20% maximal IV size{res}{col 73} 8.75 {txt}{col 42}25% maximal IV size{res}{col 73} 7.25 {txt}Source: Stock-Yogo (2005). Reproduced by permission. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 0.656 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.4181 {txt}Collinearity/identification problems in eqn. excl. suspect orthog. conditions: C statistic not calculated for -orthog- option {hline 78} Instrumented:{col 23}iq Included instruments:{col 23}expr tenure rns smsa _Iyear_67 _Iyear_68 _Iyear_69 {col 23}_Iyear_70 _Iyear_71 _Iyear_73 Excluded instruments:{col 23}med kww {hline 78} r; t=0.29 20:12:13 {com}. . * cluster option . ivreg lw expr tenure rns smsa _I* (iq s = med kww mrt age) , robust cluster(age) {txt}Instrumental variables (2SLS) regression Number of obs ={res} 758 {txt}F( 12, 14) ={res} 344.91 {txt}Prob > F = {res} 0.0000 {txt}R-squared = {res} 0.2280 {txt}Root MSE = {res} .37992 {txt}{ralign 78:(Std. Err. adjusted for {res:15} clusters in age)} {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 14}{text}{c |}{col 14} Robust {col 1}{text} lw{col 14}{c |} Coef.{col 26} Std. Err.{col 37} t{col 46} P>|t|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 10}iq {c |}{col 14}{result}{space 2}-.0090988{col 26}{space 2} .0056701{col 37}{space 1} -1.60{col 46}{space 3}0.131{col 55}{space 3}-.0212599{col 67}{space 3} .0030623 {txt}{space 11}s {c |}{col 14}{result}{space 2} .1724253{col 26}{space 2} .0241501{col 37}{space 1} 7.14{col 46}{space 3}0.000{col 55}{space 3} .1206284{col 67}{space 3} .2242222 {txt}{space 8}expr {c |}{col 14}{result}{space 2} .0492895{col 26}{space 2} .0078771{col 37}{space 1} 6.26{col 46}{space 3}0.000{col 55}{space 3} .0323948{col 67}{space 3} .0661842 {txt}{space 6}tenure {c |}{col 14}{result}{space 2} .0422171{col 26}{space 2} .0101291{col 37}{space 1} 4.17{col 46}{space 3}0.001{col 55}{space 3} .0204922{col 67}{space 3} .063942 {txt}{space 9}rns {c |}{col 14}{result}{space 2}-.1017935{col 26}{space 2} .0365854{col 37}{space 1} -2.78{col 46}{space 3}0.015{col 55}{space 3}-.1802613{col 67}{space 3}-.0233256 {txt}{space 8}smsa {c |}{col 14}{result}{space 2} .1261109{col 26}{space 2} .0275528{col 37}{space 1} 4.58{col 46}{space 3}0.000{col 55}{space 3} .0670161{col 67}{space 3} .1852058 {txt}{space 3}_Iyear_67 {c |}{col 14}{result}{space 2}-.0596171{col 26}{space 2} .0730196{col 37}{space 1} -0.82{col 46}{space 3}0.428{col 55}{space 3}-.2162287{col 67}{space 3} .0969945 {txt}{space 3}_Iyear_68 {c |}{col 14}{result}{space 2} .0486796{col 26}{space 2} .0559102{col 37}{space 1} 0.87{col 46}{space 3}0.399{col 55}{space 3}-.0712359{col 67}{space 3} .1685951 {txt}{space 3}_Iyear_69 {c |}{col 14}{result}{space 2} .1528176{col 26}{space 2} .0394489{col 37}{space 1} 3.87{col 46}{space 3}0.002{col 55}{space 3} .0682082{col 67}{space 3} .2374271 {txt}{space 3}_Iyear_70 {c |}{col 14}{result}{space 2} .1744361{col 26}{space 2} .0548233{col 37}{space 1} 3.18{col 46}{space 3}0.007{col 55}{space 3} .0568517{col 67}{space 3} .2920204 {txt}{space 3}_Iyear_71 {c |}{col 14}{result}{space 2} .091666{col 26}{space 2} .0603488{col 37}{space 1} 1.52{col 46}{space 3}0.151{col 55}{space 3}-.0377694{col 67}{space 3} .2211014 {txt}{space 3}_Iyear_73 {c |}{col 14}{result}{space 2} .0932398{col 26}{space 2} .0609199{col 37}{space 1} 1.53{col 46}{space 3}0.148{col 55}{space 3}-.0374204{col 67}{space 3} .2238999 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 4.03351{col 26}{space 2} .3123382{col 37}{space 1} 12.91{col 46}{space 3}0.000{col 55}{space 3} 3.363611{col 67}{space 3} 4.703409 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {p 0 15 4}Instrumented:{space 2}iq s{p_end} {p 0 15 4}Instruments:{space 3}expr tenure rns smsa _Iyear_67 _Iyear_68 _Iyear_69 _Iyear_70 _Iyear_71 _Iyear_73 med kww mrt age{p_end} {hline 78} r; t=0.30 20:12:13 {com}. savedresults save ivclu e() {txt}r; t=0.00 20:12:13 {com}. * 1.0.6: should yield 498? If so cannot execute following line . * rcof "ivreg2 lw expr tenure rns smsa _I* (iq s = med kww mrt age) , small robust cluster(age)" == 498 . ivreg2 lw expr tenure rns smsa _I* (iq s = med kww mrt age) , small robust cluster(age) {txt}IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics robust to heteroskedasticity and clustering on age Number of clusters (age) = {res}15 {txt}{col 55}Number of obs = {res} 758 {txt}{col 55}F( 12, 14) = {res} 344.91 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 139.2861498{txt}{col 55}Centered R2 = {res} 0.2280 {txt}Total (uncentered) SS = {res} 24652.24662{txt}{col 55}Uncentered R2 = {res} 0.9956 {txt}Residual SS = {res} 107.5313411{txt}{col 55}Root MSE = {res} .3799 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 14}{text}{c |}{col 14} Robust {col 1}{text} lw{col 14}{c |} Coef.{col 26} Std. Err.{col 37} t{col 46} P>|t|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 10}iq {c |}{col 14}{result}{space 2}-.0090988{col 26}{space 2} .0056701{col 37}{space 1} -1.60{col 46}{space 3}0.131{col 55}{space 3}-.0212599{col 67}{space 3} .0030623 {txt}{space 11}s {c |}{col 14}{result}{space 2} .1724253{col 26}{space 2} .0241501{col 37}{space 1} 7.14{col 46}{space 3}0.000{col 55}{space 3} .1206284{col 67}{space 3} .2242222 {txt}{space 8}expr {c |}{col 14}{result}{space 2} .0492895{col 26}{space 2} .0078771{col 37}{space 1} 6.26{col 46}{space 3}0.000{col 55}{space 3} .0323948{col 67}{space 3} .0661842 {txt}{space 6}tenure {c |}{col 14}{result}{space 2} .0422171{col 26}{space 2} .0101291{col 37}{space 1} 4.17{col 46}{space 3}0.001{col 55}{space 3} .0204922{col 67}{space 3} .063942 {txt}{space 9}rns {c |}{col 14}{result}{space 2}-.1017935{col 26}{space 2} .0365854{col 37}{space 1} -2.78{col 46}{space 3}0.015{col 55}{space 3}-.1802613{col 67}{space 3}-.0233256 {txt}{space 8}smsa {c |}{col 14}{result}{space 2} .1261109{col 26}{space 2} .0275528{col 37}{space 1} 4.58{col 46}{space 3}0.000{col 55}{space 3} .0670161{col 67}{space 3} .1852058 {txt}{space 3}_Iyear_67 {c |}{col 14}{result}{space 2}-.0596171{col 26}{space 2} .0730196{col 37}{space 1} -0.82{col 46}{space 3}0.428{col 55}{space 3}-.2162287{col 67}{space 3} .0969945 {txt}{space 3}_Iyear_68 {c |}{col 14}{result}{space 2} .0486796{col 26}{space 2} .0559102{col 37}{space 1} 0.87{col 46}{space 3}0.399{col 55}{space 3}-.0712359{col 67}{space 3} .1685951 {txt}{space 3}_Iyear_69 {c |}{col 14}{result}{space 2} .1528176{col 26}{space 2} .0394489{col 37}{space 1} 3.87{col 46}{space 3}0.002{col 55}{space 3} .0682082{col 67}{space 3} .2374271 {txt}{space 3}_Iyear_70 {c |}{col 14}{result}{space 2} .1744361{col 26}{space 2} .0548233{col 37}{space 1} 3.18{col 46}{space 3}0.007{col 55}{space 3} .0568517{col 67}{space 3} .2920204 {txt}{space 3}_Iyear_71 {c |}{col 14}{result}{space 2} .091666{col 26}{space 2} .0603488{col 37}{space 1} 1.52{col 46}{space 3}0.151{col 55}{space 3}-.0377694{col 67}{space 3} .2211014 {txt}{space 3}_Iyear_73 {c |}{col 14}{result}{space 2} .0932398{col 26}{space 2} .0609199{col 37}{space 1} 1.53{col 46}{space 3}0.148{col 55}{space 3}-.0374204{col 67}{space 3} .2238999 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 4.03351{col 26}{space 2} .3123382{col 37}{space 1} 12.91{col 46}{space 3}0.000{col 55}{space 3} 3.363611{col 67}{space 3} 4.703409 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Kleibergen-Paap rk LM statistic):{res}{col 71} 8.395 {txt}{col 52}Chi-sq({res}3{txt}) P-val = {res}{col 73}0.0385 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Kleibergen-Paap rk Wald F statistic):{res}{col 71} 13.162 {txt}Stock-Yogo weak ID test critical values:{col 43}5% maximal IV relative bias{res}{col 73} 11.04 {txt}{col 42}10% maximal IV relative bias{res}{col 73} 7.56 {txt}{col 42}20% maximal IV relative bias{res}{col 73} 5.57 {txt}{col 42}30% maximal IV relative bias{res}{col 73} 4.73 {txt}{col 42}10% maximal IV size{res}{col 73} 16.87 {txt}{col 42}15% maximal IV size{res}{col 73} 9.93 {txt}{col 42}20% maximal IV size{res}{col 73} 7.54 {txt}{col 42}25% maximal IV size{res}{col 73} 6.28 {txt}Source: Stock-Yogo (2005). Reproduced by permission. NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors. {hline 78} {help ivreg2##overidtests:Hansen J statistic} (overidentification test of all instruments):{res}{col 71} 5.340 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.0693 {txt}{hline 78} Instrumented:{col 23}iq s Included instruments:{col 23}expr tenure rns smsa _Iyear_67 _Iyear_68 _Iyear_69 {col 23}_Iyear_70 _Iyear_71 _Iyear_73 Excluded instruments:{col 23}med kww mrt age {hline 78} r; t=0.42 20:12:14 {com}. * do not compare insts . savedresults comp ivclu e(), include(macros: instd depvar scalar: N rmse matrix: b) verbose tol(1e-7) {txt}comparing macro e(instd) comparing macro e(depvar) comparing scalar e(N) comparing scalar e(rmse) comparing matrix e(b) r; t=0.00 20:12:14 {com}. ivreg lw expr tenure rns smsa (iq s = med kww mrt age) , robust cluster(age) {txt}Instrumental variables (2SLS) regression Number of obs ={res} 758 {txt}F( 6, 14) ={res} 53.69 {txt}Prob > F = {res} 0.0000 {txt}R-squared = {res} 0.0622 {txt}Root MSE = {res} .41705 {txt}{ralign 78:(Std. Err. adjusted for {res:15} clusters in age)} {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 14}{text}{c |}{col 14} Robust {col 1}{text} lw{col 14}{c |} Coef.{col 26} Std. Err.{col 37} t{col 46} P>|t|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 10}iq {c |}{col 14}{result}{space 2}-.0144337{col 26}{space 2} .0065265{col 37}{space 1} -2.21{col 46}{space 3}0.044{col 55}{space 3}-.0284316{col 67}{space 3}-.0004358 {txt}{space 11}s {c |}{col 14}{result}{space 2} .1986398{col 26}{space 2} .0253661{col 37}{space 1} 7.83{col 46}{space 3}0.000{col 55}{space 3} .144235{col 67}{space 3} .2530446 {txt}{space 8}expr {c |}{col 14}{result}{space 2} .0460456{col 26}{space 2} .0101647{col 37}{space 1} 4.53{col 46}{space 3}0.000{col 55}{space 3} .0242444{col 67}{space 3} .0678468 {txt}{space 6}tenure {c |}{col 14}{result}{space 2} .04174{col 26}{space 2} .0110597{col 37}{space 1} 3.77{col 46}{space 3}0.002{col 55}{space 3} .0180192{col 67}{space 3} .0654608 {txt}{space 9}rns {c |}{col 14}{result}{space 2}-.1129929{col 26}{space 2} .0363809{col 37}{space 1} -3.11{col 46}{space 3}0.008{col 55}{space 3}-.1910222{col 67}{space 3}-.0349635 {txt}{space 8}smsa {c |}{col 14}{result}{space 2} .130412{col 26}{space 2} .0318716{col 37}{space 1} 4.09{col 46}{space 3}0.001{col 55}{space 3} .0620542{col 67}{space 3} .1987699 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 4.305194{col 26}{space 2} .4092365{col 37}{space 1} 10.52{col 46}{space 3}0.000{col 55}{space 3} 3.427469{col 67}{space 3} 5.182919 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {p 0 15 4}Instrumented:{space 2}iq s{p_end} {p 0 15 4}Instruments:{space 3}expr tenure rns smsa med kww mrt age{p_end} {hline 78} r; t=0.12 20:12:14 {com}. savedresults save ivclu2 e() {txt}r; t=0.00 20:12:14 {com}. ivreg2 lw expr tenure rns smsa (iq s = med kww mrt age) , small robust cluster(age) {txt}IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics robust to heteroskedasticity and clustering on age Number of clusters (age) = {res}15 {txt}{col 55}Number of obs = {res} 758 {txt}{col 55}F( 6, 14) = {res} 53.69 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 139.2861498{txt}{col 55}Centered R2 = {res} 0.0622 {txt}Total (uncentered) SS = {res} 24652.24662{txt}{col 55}Uncentered R2 = {res} 0.9947 {txt}Residual SS = {res} 130.6189516{txt}{col 55}Root MSE = {res} .417 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 14}{text}{c |}{col 14} Robust {col 1}{text} lw{col 14}{c |} Coef.{col 26} Std. Err.{col 37} t{col 46} P>|t|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 10}iq {c |}{col 14}{result}{space 2}-.0144337{col 26}{space 2} .0065265{col 37}{space 1} -2.21{col 46}{space 3}0.044{col 55}{space 3}-.0284316{col 67}{space 3}-.0004358 {txt}{space 11}s {c |}{col 14}{result}{space 2} .1986398{col 26}{space 2} .0253661{col 37}{space 1} 7.83{col 46}{space 3}0.000{col 55}{space 3} .144235{col 67}{space 3} .2530446 {txt}{space 8}expr {c |}{col 14}{result}{space 2} .0460456{col 26}{space 2} .0101647{col 37}{space 1} 4.53{col 46}{space 3}0.000{col 55}{space 3} .0242444{col 67}{space 3} .0678468 {txt}{space 6}tenure {c |}{col 14}{result}{space 2} .04174{col 26}{space 2} .0110597{col 37}{space 1} 3.77{col 46}{space 3}0.002{col 55}{space 3} .0180192{col 67}{space 3} .0654608 {txt}{space 9}rns {c |}{col 14}{result}{space 2}-.1129929{col 26}{space 2} .0363809{col 37}{space 1} -3.11{col 46}{space 3}0.008{col 55}{space 3}-.1910222{col 67}{space 3}-.0349635 {txt}{space 8}smsa {c |}{col 14}{result}{space 2} .130412{col 26}{space 2} .0318716{col 37}{space 1} 4.09{col 46}{space 3}0.001{col 55}{space 3} .0620542{col 67}{space 3} .1987699 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 4.305194{col 26}{space 2} .4092365{col 37}{space 1} 10.52{col 46}{space 3}0.000{col 55}{space 3} 3.427469{col 67}{space 3} 5.182919 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Kleibergen-Paap rk LM statistic):{res}{col 71} 7.594 {txt}{col 52}Chi-sq({res}3{txt}) P-val = {res}{col 73}0.0552 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Kleibergen-Paap rk Wald F statistic):{res}{col 71} 10.754 {txt}Stock-Yogo weak ID test critical values:{col 43}5% maximal IV relative bias{res}{col 73} 11.04 {txt}{col 42}10% maximal IV relative bias{res}{col 73} 7.56 {txt}{col 42}20% maximal IV relative bias{res}{col 73} 5.57 {txt}{col 42}30% maximal IV relative bias{res}{col 73} 4.73 {txt}{col 42}10% maximal IV size{res}{col 73} 16.87 {txt}{col 42}15% maximal IV size{res}{col 73} 9.93 {txt}{col 42}20% maximal IV size{res}{col 73} 7.54 {txt}{col 42}25% maximal IV size{res}{col 73} 6.28 {txt}Source: Stock-Yogo (2005). Reproduced by permission. NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors. {hline 78} {help ivreg2##overidtests:Hansen J statistic} (overidentification test of all instruments):{res}{col 71} 4.011 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.1346 {txt}{hline 78} Instrumented:{col 23}iq s Included instruments:{col 23}expr tenure rns smsa Excluded instruments:{col 23}med kww mrt age {hline 78} r; t=0.25 20:12:14 {com}. * 1.0.6: similar to above . * savedresults comp ivclu2 e(), include(macros: insts instd depvar scalar: N matrix: b V) tol(1e-7) verbose . savedresults comp ivclu2 e(), include(macros: instd depvar scalar: N matrix: b V) tol(1e-7) verbose {txt}comparing macro e(instd) comparing macro e(depvar) comparing scalar e(N) comparing matrix e(b) comparing matrix e(V) r; t=0.00 20:12:14 {com}. . * rcof "noi ivreg2 lw expr tenure rns smsa _I* (iq s = med kww mrt age) , gmm2s robust cluster(age)" == 498 . . * replay . ivreg2 lw expr tenure rns smsa _I* (iq s = med kww mrt age) , robust {txt}IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics robust to heteroskedasticity {col 55}Number of obs = {res} 758 {txt}{col 55}F( 12, 745) = {res} 40.09 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 139.2861498{txt}{col 55}Centered R2 = {res} 0.2280 {txt}Total (uncentered) SS = {res} 24652.24662{txt}{col 55}Uncentered R2 = {res} 0.9956 {txt}Residual SS = {res} 107.5313411{txt}{col 55}Root MSE = {res} .3766 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 14}{text}{c |}{col 14} Robust {col 1}{text} lw{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 10}iq {c |}{col 14}{result}{space 2}-.0090988{col 26}{space 2} .0048862{col 37}{space 1} -1.86{col 46}{space 3}0.063{col 55}{space 3}-.0186757{col 67}{space 3} .000478 {txt}{space 11}s {c |}{col 14}{result}{space 2} .1724253{col 26}{space 2} .0207395{col 37}{space 1} 8.31{col 46}{space 3}0.000{col 55}{space 3} .1317767{col 67}{space 3} .2130739 {txt}{space 8}expr {c |}{col 14}{result}{space 2} .0492895{col 26}{space 2} .0080498{col 37}{space 1} 6.12{col 46}{space 3}0.000{col 55}{space 3} .0335122{col 67}{space 3} .0650668 {txt}{space 6}tenure {c |}{col 14}{result}{space 2} .0422171{col 26}{space 2} .0094636{col 37}{space 1} 4.46{col 46}{space 3}0.000{col 55}{space 3} .0236687{col 67}{space 3} .0607655 {txt}{space 9}rns {c |}{col 14}{result}{space 2}-.1017935{col 26}{space 2} .0337105{col 37}{space 1} -3.02{col 46}{space 3}0.003{col 55}{space 3}-.1678649{col 67}{space 3} -.035722 {txt}{space 8}smsa {c |}{col 14}{result}{space 2} .1261109{col 26}{space 2} .0308114{col 37}{space 1} 4.09{col 46}{space 3}0.000{col 55}{space 3} .0657218{col 67}{space 3} .1865001 {txt}{space 3}_Iyear_67 {c |}{col 14}{result}{space 2}-.0596171{col 26}{space 2} .0517137{col 37}{space 1} -1.15{col 46}{space 3}0.249{col 55}{space 3}-.1609741{col 67}{space 3} .0417399 {txt}{space 3}_Iyear_68 {c |}{col 14}{result}{space 2} .0486796{col 26}{space 2} .0498132{col 37}{space 1} 0.98{col 46}{space 3}0.328{col 55}{space 3}-.0489526{col 67}{space 3} .1463117 {txt}{space 3}_Iyear_69 {c |}{col 14}{result}{space 2} .1528176{col 26}{space 2} .0479285{col 37}{space 1} 3.19{col 46}{space 3}0.001{col 55}{space 3} .0588795{col 67}{space 3} .2467558 {txt}{space 3}_Iyear_70 {c |}{col 14}{result}{space 2} .1744361{col 26}{space 2} .0611251{col 37}{space 1} 2.85{col 46}{space 3}0.004{col 55}{space 3} .054633{col 67}{space 3} .2942391 {txt}{space 3}_Iyear_71 {c |}{col 14}{result}{space 2} .091666{col 26}{space 2} .0554618{col 37}{space 1} 1.65{col 46}{space 3}0.098{col 55}{space 3}-.0170372{col 67}{space 3} .2003691 {txt}{space 3}_Iyear_73 {c |}{col 14}{result}{space 2} .0932398{col 26}{space 2} .060849{col 37}{space 1} 1.53{col 46}{space 3}0.125{col 55}{space 3}-.0260221{col 67}{space 3} .2125016 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 4.03351{col 26}{space 2} .3350329{col 37}{space 1} 12.04{col 46}{space 3}0.000{col 55}{space 3} 3.376857{col 67}{space 3} 4.690162 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Kleibergen-Paap rk LM statistic):{res}{col 71} 40.927 {txt}{col 52}Chi-sq({res}3{txt}) P-val = {res}{col 73}0.0000 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Kleibergen-Paap rk Wald F statistic):{res}{col 71} 11.461 {txt}Stock-Yogo weak ID test critical values:{col 43}5% maximal IV relative bias{res}{col 73} 11.04 {txt}{col 42}10% maximal IV relative bias{res}{col 73} 7.56 {txt}{col 42}20% maximal IV relative bias{res}{col 73} 5.57 {txt}{col 42}30% maximal IV relative bias{res}{col 73} 4.73 {txt}{col 42}10% maximal IV size{res}{col 73} 16.87 {txt}{col 42}15% maximal IV size{res}{col 73} 9.93 {txt}{col 42}20% maximal IV size{res}{col 73} 7.54 {txt}{col 42}25% maximal IV size{res}{col 73} 6.28 {txt}Source: Stock-Yogo (2005). Reproduced by permission. NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors. {hline 78} {help ivreg2##overidtests:Hansen J statistic} (overidentification test of all instruments):{res}{col 71} 11.601 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.0030 {txt}{hline 78} Instrumented:{col 23}iq s Included instruments:{col 23}expr tenure rns smsa _Iyear_67 _Iyear_68 _Iyear_69 {col 23}_Iyear_70 _Iyear_71 _Iyear_73 Excluded instruments:{col 23}med kww mrt age {hline 78} r; t=0.29 20:12:14 {com}. savedresults save replay e() {txt}r; t=0.06 20:12:15 {com}. ivreg2 {txt}IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics robust to heteroskedasticity {col 55}Number of obs = {res} 758 {txt}{col 55}F( 12, 745) = {res} 40.09 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 139.2861498{txt}{col 55}Centered R2 = {res} 0.2280 {txt}Total (uncentered) SS = {res} 24652.24662{txt}{col 55}Uncentered R2 = {res} 0.9956 {txt}Residual SS = {res} 107.5313411{txt}{col 55}Root MSE = {res} .3766 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 14}{text}{c |}{col 14} Robust {col 1}{text} lw{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 10}iq {c |}{col 14}{result}{space 2}-.0090988{col 26}{space 2} .0048862{col 37}{space 1} -1.86{col 46}{space 3}0.063{col 55}{space 3}-.0186757{col 67}{space 3} .000478 {txt}{space 11}s {c |}{col 14}{result}{space 2} .1724253{col 26}{space 2} .0207395{col 37}{space 1} 8.31{col 46}{space 3}0.000{col 55}{space 3} .1317767{col 67}{space 3} .2130739 {txt}{space 8}expr {c |}{col 14}{result}{space 2} .0492895{col 26}{space 2} .0080498{col 37}{space 1} 6.12{col 46}{space 3}0.000{col 55}{space 3} .0335122{col 67}{space 3} .0650668 {txt}{space 6}tenure {c |}{col 14}{result}{space 2} .0422171{col 26}{space 2} .0094636{col 37}{space 1} 4.46{col 46}{space 3}0.000{col 55}{space 3} .0236687{col 67}{space 3} .0607655 {txt}{space 9}rns {c |}{col 14}{result}{space 2}-.1017935{col 26}{space 2} .0337105{col 37}{space 1} -3.02{col 46}{space 3}0.003{col 55}{space 3}-.1678649{col 67}{space 3} -.035722 {txt}{space 8}smsa {c |}{col 14}{result}{space 2} .1261109{col 26}{space 2} .0308114{col 37}{space 1} 4.09{col 46}{space 3}0.000{col 55}{space 3} .0657218{col 67}{space 3} .1865001 {txt}{space 3}_Iyear_67 {c |}{col 14}{result}{space 2}-.0596171{col 26}{space 2} .0517137{col 37}{space 1} -1.15{col 46}{space 3}0.249{col 55}{space 3}-.1609741{col 67}{space 3} .0417399 {txt}{space 3}_Iyear_68 {c |}{col 14}{result}{space 2} .0486796{col 26}{space 2} .0498132{col 37}{space 1} 0.98{col 46}{space 3}0.328{col 55}{space 3}-.0489526{col 67}{space 3} .1463117 {txt}{space 3}_Iyear_69 {c |}{col 14}{result}{space 2} .1528176{col 26}{space 2} .0479285{col 37}{space 1} 3.19{col 46}{space 3}0.001{col 55}{space 3} .0588795{col 67}{space 3} .2467558 {txt}{space 3}_Iyear_70 {c |}{col 14}{result}{space 2} .1744361{col 26}{space 2} .0611251{col 37}{space 1} 2.85{col 46}{space 3}0.004{col 55}{space 3} .054633{col 67}{space 3} .2942391 {txt}{space 3}_Iyear_71 {c |}{col 14}{result}{space 2} .091666{col 26}{space 2} .0554618{col 37}{space 1} 1.65{col 46}{space 3}0.098{col 55}{space 3}-.0170372{col 67}{space 3} .2003691 {txt}{space 3}_Iyear_73 {c |}{col 14}{result}{space 2} .0932398{col 26}{space 2} .060849{col 37}{space 1} 1.53{col 46}{space 3}0.125{col 55}{space 3}-.0260221{col 67}{space 3} .2125016 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 4.03351{col 26}{space 2} .3350329{col 37}{space 1} 12.04{col 46}{space 3}0.000{col 55}{space 3} 3.376857{col 67}{space 3} 4.690162 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Kleibergen-Paap rk LM statistic):{res}{col 71} 40.927 {txt}{col 52}Chi-sq({res}3{txt}) P-val = {res}{col 73}0.0000 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Kleibergen-Paap rk Wald F statistic):{res}{col 71} 11.461 {txt}Stock-Yogo weak ID test critical values:{col 43}5% maximal IV relative bias{res}{col 73} 11.04 {txt}{col 42}10% maximal IV relative bias{res}{col 73} 7.56 {txt}{col 42}20% maximal IV relative bias{res}{col 73} 5.57 {txt}{col 42}30% maximal IV relative bias{res}{col 73} 4.73 {txt}{col 42}10% maximal IV size{res}{col 73} 16.87 {txt}{col 42}15% maximal IV size{res}{col 73} 9.93 {txt}{col 42}20% maximal IV size{res}{col 73} 7.54 {txt}{col 42}25% maximal IV size{res}{col 73} 6.28 {txt}Source: Stock-Yogo (2005). Reproduced by permission. NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors. {hline 78} {help ivreg2##overidtests:Hansen J statistic} (overidentification test of all instruments):{res}{col 71} 11.601 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.0030 {txt}{hline 78} Instrumented:{col 23}iq s Included instruments:{col 23}expr tenure rns smsa _Iyear_67 _Iyear_68 _Iyear_69 {col 23}_Iyear_70 _Iyear_71 _Iyear_73 Excluded instruments:{col 23}med kww mrt age {hline 78} r; t=0.20 20:12:15 {com}. savedresults comp replay e(), include(macros: insts instd depvar scalar: N matrix: b) tol(1e-7) verbose {txt}comparing macro e(insts) comparing macro e(instd) comparing macro e(depvar) comparing scalar e(N) comparing matrix e(b) r; t=0.00 20:12:15 {com}. . * 1.0.10 test exog regressors . ivreg2 lw (iq = med kww mrt age) , nocons {txt}IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 758 {txt}{col 55}F( 1, 757) = {res}47152.39 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 139.2861498{txt}{col 55}Centered R2 = {res} -1.8086 {txt}Total (uncentered) SS = {res} 24652.24662{txt}{col 55}Uncentered R2 = {res} 0.9841 {txt}Residual SS = {res} 391.2024131{txt}{col 55}Root MSE = {res} .7184 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} lw{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 10}iq {c |}{col 14}{result}{space 2} .0546741{col 26}{space 2} .0002516{col 37}{space 1} 217.29{col 46}{space 3}0.000{col 55}{space 3} .0541809{col 67}{space 3} .0551673 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Anderson canon. corr. LM statistic):{res}{col 71} 742.997 {txt}{col 52}Chi-sq({res}4{txt}) P-val = {res}{col 73}0.0000 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Cragg-Donald Wald F statistic):{res}{col 71}9334.857 {txt}Stock-Yogo weak ID test critical values:{col 43}5% maximal IV relative bias{res}{col 73} 16.85 {txt}{col 42}10% maximal IV relative bias{res}{col 73} 10.27 {txt}{col 42}20% maximal IV relative bias{res}{col 73} 6.71 {txt}{col 42}30% maximal IV relative bias{res}{col 73} 5.34 {txt}{col 42}10% maximal IV size{res}{col 73} 24.58 {txt}{col 42}15% maximal IV size{res}{col 73} 13.96 {txt}{col 42}20% maximal IV size{res}{col 73} 10.26 {txt}{col 42}25% maximal IV size{res}{col 73} 8.31 {txt}Source: Stock-Yogo (2005). Reproduced by permission. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 80.149 {txt}{col 52}Chi-sq({res}3{txt}) P-val = {res}{col 73}0.0000 {txt}{hline 78} Instrumented:{col 23}iq Excluded instruments:{col 23}med kww mrt age {hline 78} r; t=0.09 20:12:15 {com}. . * 1.0.12 test smatrix, wmatrix . qui ivreg2 lw (iq = med kww mrt age), gmm2s {txt}r; t=0.10 20:12:15 {com}. savedresults save ivs e() {txt}r; t=0.00 20:12:15 {com}. mat S=e(S) {txt}r; t=0.00 20:12:15 {com}. mat W=e(W) {txt}r; t=0.00 20:12:15 {com}. mat check = trace(W - syminv(S)) {txt}r; t=0.00 20:12:15 {com}. assert check[1,1] == 0 {txt}r; t=0.00 20:12:15 {com}. ivreg2 lw (iq = med kww mrt age) , gmm2s smatrix(S) {txt}2-Step GMM estimation {hline 21} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 758 {txt}{col 55}F( 1, 756) = {res} 84.07 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 139.2861498{txt}{col 55}Centered R2 = {res} -0.1923 {txt}Total (uncentered) SS = {res} 24652.24662{txt}{col 55}Uncentered R2 = {res} 0.9933 {txt}Residual SS = {res} 166.0674253{txt}{col 55}Root MSE = {res} .4681 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} lw{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 10}iq {c |}{col 14}{result}{space 2} .0285457{col 26}{space 2} .0031091{col 37}{space 1} 9.18{col 46}{space 3}0.000{col 55}{space 3} .0224519{col 67}{space 3} .0346395 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 2.722091{col 26}{space 2} .3233508{col 37}{space 1} 8.42{col 46}{space 3}0.000{col 55}{space 3} 2.088335{col 67}{space 3} 3.355847 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Anderson canon. corr. LM statistic):{res}{col 71} 122.360 {txt}{col 52}Chi-sq({res}4{txt}) P-val = {res}{col 73}0.0000 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Cragg-Donald Wald F statistic):{res}{col 71} 36.238 {txt}Stock-Yogo weak ID test critical values:{col 43}5% maximal IV relative bias{res}{col 73} 16.85 {txt}{col 42}10% maximal IV relative bias{res}{col 73} 10.27 {txt}{col 42}20% maximal IV relative bias{res}{col 73} 6.71 {txt}{col 42}30% maximal IV relative bias{res}{col 73} 5.34 {txt}{col 42}10% maximal IV size{res}{col 73} 24.58 {txt}{col 42}15% maximal IV size{res}{col 73} 13.96 {txt}{col 42}20% maximal IV size{res}{col 73} 10.26 {txt}{col 42}25% maximal IV size{res}{col 73} 8.31 {txt}Source: Stock-Yogo (2005). Reproduced by permission. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 118.504 {txt}{col 52}Chi-sq({res}3{txt}) P-val = {res}{col 73}0.0000 {txt}{hline 78} Instrumented:{col 23}iq Excluded instruments:{col 23}med kww mrt age {hline 78} r; t=0.11 20:12:15 {com}. savedresults save ivss e() {txt}r; t=0.00 20:12:15 {com}. savedresults comp ivs e(), include(macros: instd depvar scalar: N matrix: b V) verbose tol(1e-7) {txt}comparing macro e(instd) comparing macro e(depvar) comparing scalar e(N) comparing matrix e(b) comparing matrix e(V) r; t=0.00 20:12:15 {com}. . ivreg2 lw (iq = med kww mrt age) , wmatrix(W) {txt}GMM estimation with user-supplied weighting matrix {hline 50} Efficiency of estimates dependent on weighting matrix Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 758 {txt}{col 55}F( 1, 756) = {res} 84.07 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 139.2861498{txt}{col 55}Centered R2 = {res} -0.1923 {txt}Total (uncentered) SS = {res} 24652.24662{txt}{col 55}Uncentered R2 = {res} 0.9933 {txt}Residual SS = {res} 166.0674253{txt}{col 55}Root MSE = {res} .4681 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} lw{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 10}iq {c |}{col 14}{result}{space 2} .0285457{col 26}{space 2} .0031091{col 37}{space 1} 9.18{col 46}{space 3}0.000{col 55}{space 3} .0224519{col 67}{space 3} .0346395 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 2.722091{col 26}{space 2} .3233508{col 37}{space 1} 8.42{col 46}{space 3}0.000{col 55}{space 3} 2.088335{col 67}{space 3} 3.355847 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Anderson canon. corr. LM statistic):{res}{col 71} 122.360 {txt}{col 52}Chi-sq({res}4{txt}) P-val = {res}{col 73}0.0000 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Cragg-Donald Wald F statistic):{res}{col 71} 36.238 {txt}Stock-Yogo weak ID test critical values:{col 43}5% maximal IV relative bias{res}{col 73} 16.85 {txt}{col 42}10% maximal IV relative bias{res}{col 73} 10.27 {txt}{col 42}20% maximal IV relative bias{res}{col 73} 6.71 {txt}{col 42}30% maximal IV relative bias{res}{col 73} 5.34 {txt}{col 42}10% maximal IV size{res}{col 73} 24.58 {txt}{col 42}15% maximal IV size{res}{col 73} 13.96 {txt}{col 42}20% maximal IV size{res}{col 73} 10.26 {txt}{col 42}25% maximal IV size{res}{col 73} 8.31 {txt}Source: Stock-Yogo (2005). Reproduced by permission. {hline 78} {help ivreg2##overidtests:Hansen J statistic} (overidentification test of all instruments):{res}{col 71} 118.504 {txt}{col 52}Chi-sq({res}3{txt}) P-val = {res}{col 73}0.0000 {txt}{hline 78} Instrumented:{col 23}iq Excluded instruments:{col 23}med kww mrt age {hline 78} r; t=0.11 20:12:15 {com}. savedresults comp ivs e(), include(macros: instd depvar scalar: N matrix: b V) verbose tol(1e-7) {txt}comparing macro e(instd) comparing macro e(depvar) comparing scalar e(N) comparing matrix e(b) comparing matrix e(V) r; t=0.00 20:12:15 {com}. assert "`e(model)'"=="gmmw" {txt}r; t=0.00 20:12:15 {com}. savedresults comp ivss e(), include(macros: instd depvar scalar: N matrix: b V) verbose tol(1e-7) {txt}comparing macro e(instd) comparing macro e(depvar) comparing scalar e(N) comparing matrix e(b) comparing matrix e(V) r; t=0.00 20:12:15 {com}. . ivreg2 lw (iq=med kww age), gmm2s {txt}2-Step GMM estimation {hline 21} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 758 {txt}{col 55}F( 1, 756) = {res} 87.15 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 139.2861498{txt}{col 55}Centered R2 = {res} -0.2613 {txt}Total (uncentered) SS = {res} 24652.24662{txt}{col 55}Uncentered R2 = {res} 0.9929 {txt}Residual SS = {res} 175.6824998{txt}{col 55}Root MSE = {res} .4814 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} lw{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 10}iq {c |}{col 14}{result}{space 2} .0303929{col 26}{space 2} .0032513{col 37}{space 1} 9.35{col 46}{space 3}0.000{col 55}{space 3} .0240205{col 67}{space 3} .0367652 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 2.530252{col 26}{space 2} .3381172{col 37}{space 1} 7.48{col 46}{space 3}0.000{col 55}{space 3} 1.867555{col 67}{space 3} 3.19295 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Anderson canon. corr. LM statistic):{res}{col 71} 118.374 {txt}{col 52}Chi-sq({res}3{txt}) P-val = {res}{col 73}0.0000 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Cragg-Donald Wald F statistic):{res}{col 71} 46.514 {txt}Stock-Yogo weak ID test critical values:{col 43}5% maximal IV relative bias{res}{col 73} 13.91 {txt}{col 42}10% maximal IV relative bias{res}{col 73} 9.08 {txt}{col 42}20% maximal IV relative bias{res}{col 73} 6.46 {txt}{col 42}30% maximal IV relative bias{res}{col 73} 5.39 {txt}{col 42}10% maximal IV size{res}{col 73} 22.30 {txt}{col 42}15% maximal IV size{res}{col 73} 12.83 {txt}{col 42}20% maximal IV size{res}{col 73} 9.54 {txt}{col 42}25% maximal IV size{res}{col 73} 7.80 {txt}Source: Stock-Yogo (2005). Reproduced by permission. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 102.109 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.0000 {txt}{hline 78} Instrumented:{col 23}iq Excluded instruments:{col 23}med kww age {hline 78} r; t=0.18 20:12:15 {com}. scalar J0 = e(j) {txt}r; t=0.00 20:12:15 {com}. mat S0 = e(S) {txt}r; t=0.00 20:12:15 {com}. qui ivreg2 lw (iq=kww) med age, gmm2s smatrix(S0) {txt}r; t=0.05 20:12:15 {com}. test med age {p 0 7}{space 1}{text:( 1)}{space 1} {res}med = 0{p_end} {p 0 7}{space 1}{text:( 2)}{space 1} age = 0{p_end} {txt}{col 12}chi2( 2) ={res} 102.11 {txt}{col 10}Prob > chi2 = {res} 0.0000 {txt}r; t=0.00 20:12:15 {com}. di J0 {res}102.10909 {txt}r; t=0.00 20:12:15 {com}. assert reldif(r(chi2),J0)<1.0e-7 {txt}r; t=0.00 20:12:15 {com}. qui ivreg2 lw (iq=med) kww age, gmm2s smatrix(S0) {txt}r; t=0.05 20:12:15 {com}. test kww age {p 0 7}{space 1}{text:( 1)}{space 1} {res}kww = 0{p_end} {p 0 7}{space 1}{text:( 2)}{space 1} age = 0{p_end} {txt}{col 12}chi2( 2) ={res} 102.11 {txt}{col 10}Prob > chi2 = {res} 0.0000 {txt}r; t=0.00 20:12:15 {com}. assert reldif(r(chi2),J0)<1.0e-7 {txt}r; t=0.00 20:12:15 {com}. qui ivreg2 lw (iq=age) med kww, gmm2s smatrix(S0) {txt}r; t=0.05 20:12:15 {com}. test med kww {p 0 7}{space 1}{text:( 1)}{space 1} {res}med = 0{p_end} {p 0 7}{space 1}{text:( 2)}{space 1} kww = 0{p_end} {txt}{col 12}chi2( 2) ={res} 102.11 {txt}{col 10}Prob > chi2 = {res} 0.0000 {txt}r; t=0.00 20:12:15 {com}. assert reldif(r(chi2),J0)<1.0e-7 {txt}r; t=0.00 20:12:15 {com}. . * 1.0.10 test xi . xi: ivreg2 lw (iq = med kww mrt age) i.year {txt}i.year{col 19}_Iyear_66-73{col 39}(naturally coded; _Iyear_66 omitted) IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 758 {txt}{col 55}F( 7, 750) = {res} 38.39 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 139.2861498{txt}{col 55}Centered R2 = {res} 0.1319 {txt}Total (uncentered) SS = {res} 24652.24662{txt}{col 55}Uncentered R2 = {res} 0.9951 {txt}Residual SS = {res} 120.9175948{txt}{col 55}Root MSE = {res} .3994 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} lw{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 10}iq {c |}{col 14}{result}{space 2} .0203995{col 26}{space 2} .0027783{col 37}{space 1} 7.34{col 46}{space 3}0.000{col 55}{space 3} .0149542{col 67}{space 3} .0258448 {txt}{space 3}_Iyear_67 {c |}{col 14}{result}{space 2} -.127136{col 26}{space 2} .0576377{col 37}{space 1} -2.21{col 46}{space 3}0.027{col 55}{space 3}-.2401039{col 67}{space 3}-.0141682 {txt}{space 3}_Iyear_68 {c |}{col 14}{result}{space 2}-.0049702{col 26}{space 2} .0528723{col 37}{space 1} -0.09{col 46}{space 3}0.925{col 55}{space 3}-.1085981{col 67}{space 3} .0986577 {txt}{space 3}_Iyear_69 {c |}{col 14}{result}{space 2} .0994354{col 26}{space 2} .0532092{col 37}{space 1} 1.87{col 46}{space 3}0.062{col 55}{space 3}-.0048528{col 67}{space 3} .2037235 {txt}{space 3}_Iyear_70 {c |}{col 14}{result}{space 2} .1098624{col 26}{space 2} .0635139{col 37}{space 1} 1.73{col 46}{space 3}0.084{col 55}{space 3}-.0146226{col 67}{space 3} .2343473 {txt}{space 3}_Iyear_71 {c |}{col 14}{result}{space 2} .2062518{col 26}{space 2} .0539419{col 37}{space 1} 3.82{col 46}{space 3}0.000{col 55}{space 3} .1005276{col 67}{space 3} .311976 {txt}{space 3}_Iyear_73 {c |}{col 14}{result}{space 2} .308092{col 26}{space 2} .0507236{col 37}{space 1} 6.07{col 46}{space 3}0.000{col 55}{space 3} .2086755{col 67}{space 3} .4075085 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 3.469529{col 26}{space 2} .2759853{col 37}{space 1} 12.57{col 46}{space 3}0.000{col 55}{space 3} 2.928608{col 67}{space 3} 4.01045 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Anderson canon. corr. LM statistic):{res}{col 71} 123.188 {txt}{col 52}Chi-sq({res}4{txt}) P-val = {res}{col 73}0.0000 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Cragg-Donald Wald F statistic):{res}{col 71} 36.240 {txt}Stock-Yogo weak ID test critical values:{col 43}5% maximal IV relative bias{res}{col 73} 16.85 {txt}{col 42}10% maximal IV relative bias{res}{col 73} 10.27 {txt}{col 42}20% maximal IV relative bias{res}{col 73} 6.71 {txt}{col 42}30% maximal IV relative bias{res}{col 73} 5.34 {txt}{col 42}10% maximal IV size{res}{col 73} 24.58 {txt}{col 42}15% maximal IV size{res}{col 73} 13.96 {txt}{col 42}20% maximal IV size{res}{col 73} 10.26 {txt}{col 42}25% maximal IV size{res}{col 73} 8.31 {txt}Source: Stock-Yogo (2005). Reproduced by permission. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 112.936 {txt}{col 52}Chi-sq({res}3{txt}) P-val = {res}{col 73}0.0000 {txt}{hline 78} Instrumented:{col 23}iq Included instruments:{col 23}_Iyear_67 _Iyear_68 _Iyear_69 _Iyear_70 _Iyear_71 {col 23}_Iyear_73 Excluded instruments:{col 23}med kww mrt age {hline 78} r; t=0.25 20:12:16 {com}. savedresults save ivxi e() {txt}r; t=0.00 20:12:16 {com}. ivreg2 lw (iq = med kww mrt age) _I* {txt}IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 758 {txt}{col 55}F( 7, 750) = {res} 38.39 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 139.2861498{txt}{col 55}Centered R2 = {res} 0.1319 {txt}Total (uncentered) SS = {res} 24652.24662{txt}{col 55}Uncentered R2 = {res} 0.9951 {txt}Residual SS = {res} 120.9175948{txt}{col 55}Root MSE = {res} .3994 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} lw{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 10}iq {c |}{col 14}{result}{space 2} .0203995{col 26}{space 2} .0027783{col 37}{space 1} 7.34{col 46}{space 3}0.000{col 55}{space 3} .0149542{col 67}{space 3} .0258448 {txt}{space 3}_Iyear_67 {c |}{col 14}{result}{space 2} -.127136{col 26}{space 2} .0576377{col 37}{space 1} -2.21{col 46}{space 3}0.027{col 55}{space 3}-.2401039{col 67}{space 3}-.0141682 {txt}{space 3}_Iyear_68 {c |}{col 14}{result}{space 2}-.0049702{col 26}{space 2} .0528723{col 37}{space 1} -0.09{col 46}{space 3}0.925{col 55}{space 3}-.1085981{col 67}{space 3} .0986577 {txt}{space 3}_Iyear_69 {c |}{col 14}{result}{space 2} .0994354{col 26}{space 2} .0532092{col 37}{space 1} 1.87{col 46}{space 3}0.062{col 55}{space 3}-.0048528{col 67}{space 3} .2037235 {txt}{space 3}_Iyear_70 {c |}{col 14}{result}{space 2} .1098624{col 26}{space 2} .0635139{col 37}{space 1} 1.73{col 46}{space 3}0.084{col 55}{space 3}-.0146226{col 67}{space 3} .2343473 {txt}{space 3}_Iyear_71 {c |}{col 14}{result}{space 2} .2062518{col 26}{space 2} .0539419{col 37}{space 1} 3.82{col 46}{space 3}0.000{col 55}{space 3} .1005276{col 67}{space 3} .311976 {txt}{space 3}_Iyear_73 {c |}{col 14}{result}{space 2} .308092{col 26}{space 2} .0507236{col 37}{space 1} 6.07{col 46}{space 3}0.000{col 55}{space 3} .2086755{col 67}{space 3} .4075085 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 3.469529{col 26}{space 2} .2759853{col 37}{space 1} 12.57{col 46}{space 3}0.000{col 55}{space 3} 2.928608{col 67}{space 3} 4.01045 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Anderson canon. corr. LM statistic):{res}{col 71} 123.188 {txt}{col 52}Chi-sq({res}4{txt}) P-val = {res}{col 73}0.0000 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Cragg-Donald Wald F statistic):{res}{col 71} 36.240 {txt}Stock-Yogo weak ID test critical values:{col 43}5% maximal IV relative bias{res}{col 73} 16.85 {txt}{col 42}10% maximal IV relative bias{res}{col 73} 10.27 {txt}{col 42}20% maximal IV relative bias{res}{col 73} 6.71 {txt}{col 42}30% maximal IV relative bias{res}{col 73} 5.34 {txt}{col 42}10% maximal IV size{res}{col 73} 24.58 {txt}{col 42}15% maximal IV size{res}{col 73} 13.96 {txt}{col 42}20% maximal IV size{res}{col 73} 10.26 {txt}{col 42}25% maximal IV size{res}{col 73} 8.31 {txt}Source: Stock-Yogo (2005). Reproduced by permission. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 112.936 {txt}{col 52}Chi-sq({res}3{txt}) P-val = {res}{col 73}0.0000 {txt}{hline 78} Instrumented:{col 23}iq Included instruments:{col 23}_Iyear_67 _Iyear_68 _Iyear_69 _Iyear_70 _Iyear_71 {col 23}_Iyear_73 Excluded instruments:{col 23}med kww mrt age {hline 78} r; t=0.18 20:12:16 {com}. savedresults comp ivxi e(), include(macros: instd depvar scalar: N matrix: b V) tol(1e-7) verbose {txt}comparing macro e(instd) comparing macro e(depvar) comparing scalar e(N) comparing matrix e(b) comparing matrix e(V) r; t=0.00 20:12:16 {com}. . * 1.0.14 test HAC with auto bw selection (vs Stata 10 ivregress) . if c(version)>=10 {c -(} . webuse lutkepohl, clear {txt}(Quarterly SA West German macro data, Bil DM, from Lutkepohl 1993 Table E.1) r; t=0.37 20:12:16 {com}. ivregress 2sls consumption (income=L(1/2).income) qtr L.consumption, vce(hac bartlett opt) {res} {txt}{col 1}Instrumental variables (2SLS) regression{col 56}Number of obs{col 70}= {res} 90 {txt}{col 1}{col 56}Wald chi2({res}3{txt}){col 70}={res} 1.9e+05 {txt}{col 1}{col 56}Prob > chi2{col 70}= {res} 0.0000 {txt}{col 1}{col 56}R-squared{col 70}={res} 0.9997 {txt}{col 56}Root MSE{col 70}= {res} 10.769 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 14}{text}{c |}{col 14} HAC {col 1}{text} consumption{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 6}income {c |}{col 14}{result}{space 2} .2356137{col 26}{space 2} .0667156{col 37}{space 1} 3.53{col 46}{space 3}0.000{col 55}{space 3} .1048534{col 67}{space 3} .3663739 {txt}{space 9}qtr {c |}{col 14}{result}{space 2} .181519{col 26}{space 2} .2648363{col 37}{space 1} 0.69{col 46}{space 3}0.493{col 55}{space 3}-.3375506{col 67}{space 3} .7005887 {txt}{space 12} {c |} {space 1}consumption {c |} {space 9}L1. {c |}{col 14}{result}{space 2} .7210226{col 26}{space 2} .0717118{col 37}{space 1} 10.05{col 46}{space 3}0.000{col 55}{space 3} .5804701{col 67}{space 3} .8615752 {txt}{space 12} {c |} {space 7}_cons {c |}{col 14}{result}{space 2} 12.52337{col 26}{space 2} 3.015162{col 37}{space 1} 4.15{col 46}{space 3}0.000{col 55}{space 3} 6.613766{col 67}{space 3} 18.43298 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {p 0 15 4}Instrumented:{space 2}income{p_end} {p 0 15 4}Instruments:{space 3}qtr L.consumption L.income L2.income{p_end} HAC VCE:{col 16}Bartlett kernel with 19 lags HAC Lags:{col 16}Chosen by Newey-West method r; t=0.49 20:12:17 {com}. savedresults save ivhacau1 e() {txt}r; t=0.00 20:12:17 {com}. local ivregressopt `e(vcelagopt)' {txt}r; t=0.00 20:12:17 {com}. ivreg2 consumption (income=L(1/2).income) qtr L.consumption, bw(auto) robust {res} {txt}IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics robust to heteroskedasticity and autocorrelation kernel=Bartlett; bandwidth= 20 Automatic bw selection according to Newey-West (1994) time variable (t): {res}qtr {txt} {col 55}Number of obs = {res} 90 {txt}{col 55}F( 3, 86) = {res}61576.19 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 30630397.29{txt}{col 55}Centered R2 = {res} 0.9997 {txt}Total (uncentered) SS = {res} 156650664{txt}{col 55}Uncentered R2 = {res} 0.9999 {txt}Residual SS = {res} 10437.12201{txt}{col 55}Root MSE = {res} 10.77 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 14}{text}{c |}{col 14} Robust {col 1}{text} consumption{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 6}income {c |}{col 14}{result}{space 2} .2356137{col 26}{space 2} .0667156{col 37}{space 1} 3.53{col 46}{space 3}0.000{col 55}{space 3} .1048534{col 67}{space 3} .3663739 {txt}{space 9}qtr {c |}{col 14}{result}{space 2} .181519{col 26}{space 2} .2648363{col 37}{space 1} 0.69{col 46}{space 3}0.493{col 55}{space 3}-.3375506{col 67}{space 3} .7005886 {txt}{space 12} {c |} {space 1}consumption {c |} {space 9}L1. {c |}{col 14}{result}{space 2} .7210226{col 26}{space 2} .0717118{col 37}{space 1} 10.05{col 46}{space 3}0.000{col 55}{space 3} .5804701{col 67}{space 3} .8615752 {txt}{space 12} {c |} {space 7}_cons {c |}{col 14}{result}{space 2} 12.52337{col 26}{space 2} 3.015162{col 37}{space 1} 4.15{col 46}{space 3}0.000{col 55}{space 3} 6.613766{col 67}{space 3} 18.43298 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Kleibergen-Paap rk LM statistic):{res}{col 71} 3.259 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.1961 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Kleibergen-Paap rk Wald F statistic):{res}{col 71} 51.413 {txt}Stock-Yogo weak ID test critical values:{col 42}10% maximal IV size{res}{col 73} 19.93 {txt}{col 42}15% maximal IV size{res}{col 73} 11.59 {txt}{col 42}20% maximal IV size{res}{col 73} 8.75 {txt}{col 42}25% maximal IV size{res}{col 73} 7.25 {txt}Source: Stock-Yogo (2005). Reproduced by permission. NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors. {hline 78} {help ivreg2##overidtests:Hansen J statistic} (overidentification test of all instruments):{res}{col 71} 0.777 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.3781 {txt}{hline 78} Instrumented:{col 23}income Included instruments:{col 23}qtr L.consumption Excluded instruments:{col 23}L.income L2.income {hline 78} r; t=6.83 20:12:24 {com}. savedresults compare ivhacau1 e(), include(macros: depvar scalar: N matrix: b V) tol(1e-7) verbose {txt}comparing macro e(depvar) comparing scalar e(N) comparing matrix e(b) comparing matrix e(V) r; t=0.00 20:12:24 {com}. assert `ivregressopt' + 1 == `e(bw)' {txt}r; t=0.00 20:12:24 {com}. . ivreg2 consumption (income=L(1/2).income) qtr L.consumption, bw(auto) robust kernel(bartlett) {res} {txt}IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics robust to heteroskedasticity and autocorrelation kernel=Bartlett; bandwidth= 20 Automatic bw selection according to Newey-West (1994) time variable (t): {res}qtr {txt} {col 55}Number of obs = {res} 90 {txt}{col 55}F( 3, 86) = {res}61576.19 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 30630397.29{txt}{col 55}Centered R2 = {res} 0.9997 {txt}Total (uncentered) SS = {res} 156650664{txt}{col 55}Uncentered R2 = {res} 0.9999 {txt}Residual SS = {res} 10437.12201{txt}{col 55}Root MSE = {res} 10.77 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 14}{text}{c |}{col 14} Robust {col 1}{text} consumption{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 6}income {c |}{col 14}{result}{space 2} .2356137{col 26}{space 2} .0667156{col 37}{space 1} 3.53{col 46}{space 3}0.000{col 55}{space 3} .1048534{col 67}{space 3} .3663739 {txt}{space 9}qtr {c |}{col 14}{result}{space 2} .181519{col 26}{space 2} .2648363{col 37}{space 1} 0.69{col 46}{space 3}0.493{col 55}{space 3}-.3375506{col 67}{space 3} .7005886 {txt}{space 12} {c |} {space 1}consumption {c |} {space 9}L1. {c |}{col 14}{result}{space 2} .7210226{col 26}{space 2} .0717118{col 37}{space 1} 10.05{col 46}{space 3}0.000{col 55}{space 3} .5804701{col 67}{space 3} .8615752 {txt}{space 12} {c |} {space 7}_cons {c |}{col 14}{result}{space 2} 12.52337{col 26}{space 2} 3.015162{col 37}{space 1} 4.15{col 46}{space 3}0.000{col 55}{space 3} 6.613766{col 67}{space 3} 18.43298 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Kleibergen-Paap rk LM statistic):{res}{col 71} 3.259 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.1961 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Kleibergen-Paap rk Wald F statistic):{res}{col 71} 51.413 {txt}Stock-Yogo weak ID test critical values:{col 42}10% maximal IV size{res}{col 73} 19.93 {txt}{col 42}15% maximal IV size{res}{col 73} 11.59 {txt}{col 42}20% maximal IV size{res}{col 73} 8.75 {txt}{col 42}25% maximal IV size{res}{col 73} 7.25 {txt}Source: Stock-Yogo (2005). Reproduced by permission. NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors. {hline 78} {help ivreg2##overidtests:Hansen J statistic} (overidentification test of all instruments):{res}{col 71} 0.777 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.3781 {txt}{hline 78} Instrumented:{col 23}income Included instruments:{col 23}qtr L.consumption Excluded instruments:{col 23}L.income L2.income {hline 78} r; t=6.92 20:12:31 {com}. savedresults compare ivhacau1 e(), include(macros: depvar scalar: N matrix: b V) tol(1e-7) verbose {txt}comparing macro e(depvar) comparing scalar e(N) comparing matrix e(b) comparing matrix e(V) r; t=0.00 20:12:31 {com}. assert `ivregressopt' + 1 == `e(bw)' {txt}r; t=0.00 20:12:31 {com}. . ivregress 2sls consumption (income=L(1/2).income) qtr L.consumption, vce(hac parzen opt) {res} {txt}{col 1}Instrumental variables (2SLS) regression{col 56}Number of obs{col 70}= {res} 90 {txt}{col 1}{col 56}Wald chi2({res}3{txt}){col 70}={res} 1.5e+05 {txt}{col 1}{col 56}Prob > chi2{col 70}= {res} 0.0000 {txt}{col 1}{col 56}R-squared{col 70}={res} 0.9997 {txt}{col 56}Root MSE{col 70}= {res} 10.769 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 14}{text}{c |}{col 14} HAC {col 1}{text} consumption{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 6}income {c |}{col 14}{result}{space 2} .2356137{col 26}{space 2} .0700729{col 37}{space 1} 3.36{col 46}{space 3}0.001{col 55}{space 3} .0982733{col 67}{space 3} .372954 {txt}{space 9}qtr {c |}{col 14}{result}{space 2} .181519{col 26}{space 2} .2788468{col 37}{space 1} 0.65{col 46}{space 3}0.515{col 55}{space 3}-.3650106{col 67}{space 3} .7280486 {txt}{space 12} {c |} {space 1}consumption {c |} {space 9}L1. {c |}{col 14}{result}{space 2} .7210226{col 26}{space 2} .0750828{col 37}{space 1} 9.60{col 46}{space 3}0.000{col 55}{space 3} .573863{col 67}{space 3} .8681822 {txt}{space 12} {c |} {space 7}_cons {c |}{col 14}{result}{space 2} 12.52337{col 26}{space 2} 3.319315{col 37}{space 1} 3.77{col 46}{space 3}0.000{col 55}{space 3} 6.017636{col 67}{space 3} 19.02911 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {p 0 15 4}Instrumented:{space 2}income{p_end} {p 0 15 4}Instruments:{space 3}qtr L.consumption L.income L2.income{p_end} HAC VCE:{col 16}Parzen kernel with 19 lags HAC Lags:{col 16}Chosen by Newey-West method r; t=0.16 20:12:31 {com}. savedresults save ivhacau2 e() {txt}r; t=0.00 20:12:31 {com}. local ivregressopt `e(vcelagopt)' {txt}r; t=0.00 20:12:31 {com}. ivreg2 consumption (income=L(1/2).income) qtr L.consumption, bw(auto) robust kernel(parzen) {res} {txt}IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics robust to heteroskedasticity and autocorrelation kernel=Parzen; bandwidth= 20 Automatic bw selection according to Newey-West (1994) time variable (t): {res}qtr {txt} {col 55}Number of obs = {res} 90 {txt}{col 55}F( 3, 86) = {res}49349.73 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 30630397.29{txt}{col 55}Centered R2 = {res} 0.9997 {txt}Total (uncentered) SS = {res} 156650664{txt}{col 55}Uncentered R2 = {res} 0.9999 {txt}Residual SS = {res} 10437.12201{txt}{col 55}Root MSE = {res} 10.77 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 14}{text}{c |}{col 14} Robust {col 1}{text} consumption{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 6}income {c |}{col 14}{result}{space 2} .2356137{col 26}{space 2} .0700729{col 37}{space 1} 3.36{col 46}{space 3}0.001{col 55}{space 3} .0982733{col 67}{space 3} .372954 {txt}{space 9}qtr {c |}{col 14}{result}{space 2} .181519{col 26}{space 2} .2788468{col 37}{space 1} 0.65{col 46}{space 3}0.515{col 55}{space 3}-.3650106{col 67}{space 3} .7280486 {txt}{space 12} {c |} {space 1}consumption {c |} {space 9}L1. {c |}{col 14}{result}{space 2} .7210226{col 26}{space 2} .0750828{col 37}{space 1} 9.60{col 46}{space 3}0.000{col 55}{space 3} .573863{col 67}{space 3} .8681822 {txt}{space 12} {c |} {space 7}_cons {c |}{col 14}{result}{space 2} 12.52337{col 26}{space 2} 3.319315{col 37}{space 1} 3.77{col 46}{space 3}0.000{col 55}{space 3} 6.017636{col 67}{space 3} 19.02911 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Kleibergen-Paap rk LM statistic):{res}{col 71} 3.590 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.1661 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Kleibergen-Paap rk Wald F statistic):{res}{col 71} 52.508 {txt}Stock-Yogo weak ID test critical values:{col 42}10% maximal IV size{res}{col 73} 19.93 {txt}{col 42}15% maximal IV size{res}{col 73} 11.59 {txt}{col 42}20% maximal IV size{res}{col 73} 8.75 {txt}{col 42}25% maximal IV size{res}{col 73} 7.25 {txt}Source: Stock-Yogo (2005). Reproduced by permission. NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors. {hline 78} {help ivreg2##overidtests:Hansen J statistic} (overidentification test of all instruments):{res}{col 71} 0.760 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.3832 {txt}{hline 78} Instrumented:{col 23}income Included instruments:{col 23}qtr L.consumption Excluded instruments:{col 23}L.income L2.income {hline 78} r; t=6.71 20:12:37 {com}. savedresults compare ivhacau2 e(), include(macros: depvar scalar: N matrix: b V) tol(1e-7) verbose {txt}comparing macro e(depvar) comparing scalar e(N) comparing matrix e(b) comparing matrix e(V) r; t=0.00 20:12:37 {com}. assert `ivregressopt' + 1 == `e(bw)' {txt}r; t=0.00 20:12:37 {com}. . ivregress 2sls consumption (income=L(1/2).income) qtr L.consumption, vce(hac qua opt) {res} {txt}{col 1}Instrumental variables (2SLS) regression{col 56}Number of obs{col 70}= {res} 90 {txt}{col 1}{col 56}Wald chi2({res}3{txt}){col 70}={res} 2.6e+05 {txt}{col 1}{col 56}Prob > chi2{col 70}= {res} 0.0000 {txt}{col 1}{col 56}R-squared{col 70}={res} 0.9997 {txt}{col 56}Root MSE{col 70}= {res} 10.769 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 14}{text}{c |}{col 14} HAC {col 1}{text} consumption{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 6}income {c |}{col 14}{result}{space 2} .2356137{col 26}{space 2} .0588592{col 37}{space 1} 4.00{col 46}{space 3}0.000{col 55}{space 3} .1202518{col 67}{space 3} .3509756 {txt}{space 9}qtr {c |}{col 14}{result}{space 2} .181519{col 26}{space 2} .2614402{col 37}{space 1} 0.69{col 46}{space 3}0.487{col 55}{space 3}-.3308944{col 67}{space 3} .6939324 {txt}{space 12} {c |} {space 1}consumption {c |} {space 9}L1. {c |}{col 14}{result}{space 2} .7210226{col 26}{space 2} .0629648{col 37}{space 1} 11.45{col 46}{space 3}0.000{col 55}{space 3} .597614{col 67}{space 3} .8444313 {txt}{space 12} {c |} {space 7}_cons {c |}{col 14}{result}{space 2} 12.52337{col 26}{space 2} 2.986652{col 37}{space 1} 4.19{col 46}{space 3}0.000{col 55}{space 3} 6.669644{col 67}{space 3} 18.3771 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {p 0 15 4}Instrumented:{space 2}income{p_end} {p 0 15 4}Instruments:{space 3}qtr L.consumption L.income L2.income{p_end} HAC VCE:{col 16}Quadratic spectral kernel with 19 lags HAC Lags:{col 16}Chosen by Newey-West method r; t=0.19 20:12:38 {com}. savedresults save ivhacau3 e() {txt}r; t=0.00 20:12:38 {com}. local ivregressopt `e(vcelagopt)' {txt}r; t=0.00 20:12:38 {com}. ivreg2 consumption (income=L(1/2).income) qtr L.consumption, bw(auto) robust kernel(qua) {res}Computing kernel ... {txt}IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics robust to heteroskedasticity and autocorrelation kernel=Quadratic spectral; bandwidth= 20 Automatic bw selection according to Newey-West (1994) time variable (t): {res}qtr {txt} {col 55}Number of obs = {res} 90 {txt}{col 55}F( 3, 86) = {res}81360.41 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 30630397.29{txt}{col 55}Centered R2 = {res} 0.9997 {txt}Total (uncentered) SS = {res} 156650664{txt}{col 55}Uncentered R2 = {res} 0.9999 {txt}Residual SS = {res} 10437.12201{txt}{col 55}Root MSE = {res} 10.77 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 14}{text}{c |}{col 14} Robust {col 1}{text} consumption{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 6}income {c |}{col 14}{result}{space 2} .2356137{col 26}{space 2} .058859{col 37}{space 1} 4.00{col 46}{space 3}0.000{col 55}{space 3} .1202521{col 67}{space 3} .3509752 {txt}{space 9}qtr {c |}{col 14}{result}{space 2} .181519{col 26}{space 2} .2614413{col 37}{space 1} 0.69{col 46}{space 3}0.487{col 55}{space 3}-.3308966{col 67}{space 3} .6939346 {txt}{space 12} {c |} {space 1}consumption {c |} {space 9}L1. {c |}{col 14}{result}{space 2} .7210226{col 26}{space 2} .0629646{col 37}{space 1} 11.45{col 46}{space 3}0.000{col 55}{space 3} .5976143{col 67}{space 3} .8444309 {txt}{space 12} {c |} {space 7}_cons {c |}{col 14}{result}{space 2} 12.52337{col 26}{space 2} 2.986636{col 37}{space 1} 4.19{col 46}{space 3}0.000{col 55}{space 3} 6.669676{col 67}{space 3} 18.37707 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Kleibergen-Paap rk LM statistic):{res}{col 71} 2.889 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.2358 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Kleibergen-Paap rk Wald F statistic):{res}{col 71} 64.365 {txt}Stock-Yogo weak ID test critical values:{col 42}10% maximal IV size{res}{col 73} 19.93 {txt}{col 42}15% maximal IV size{res}{col 73} 11.59 {txt}{col 42}20% maximal IV size{res}{col 73} 8.75 {txt}{col 42}25% maximal IV size{res}{col 73} 7.25 {txt}Source: Stock-Yogo (2005). Reproduced by permission. NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors. {hline 78} {help ivreg2##overidtests:Hansen J statistic} (overidentification test of all instruments):{res}{col 71} 0.934 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.3338 {txt}{hline 78} Instrumented:{col 23}income Included instruments:{col 23}qtr L.consumption Excluded instruments:{col 23}L.income L2.income {hline 78} r; t=17.35 20:12:55 {com}. // note lowered tolerance . savedresults compare ivhacau3 e(), include(macros: depvar scalar: N matrix: b V) tol(1e-4) verbose {txt}comparing macro e(depvar) comparing scalar e(N) comparing matrix e(b) comparing matrix e(V) r; t=0.00 20:12:55 {com}. di "`ivregressopt' `e(bw)'" {res}19 20 {txt}r; t=0.00 20:12:55 {com}. assert `ivregressopt' + 1 == `e(bw)' {txt}r; t=0.00 20:12:55 {com}. {c )-} {txt}r; t=39.04 20:12:55 {com}. . * 1.0.10 test by . webuse grunfeld, clear {txt}r; t=0.32 20:12:55 {com}. tsset company year {res}{txt}{col 8}panel variable: {res}company (strongly balanced) {txt}{col 9}time variable: {res}{col 25}year, 1935 to 1954 {txt}{col 17}delta: {res}1 year {txt}r; t=0.00 20:12:55 {com}. ivreg2 invest (mvalue= kstock) if company==10 {txt}IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 20 {txt}{col 55}F( 1, 18) = {res} 0.41 {txt}{col 55}Prob > F = {res} 0.5320 {txt}Total (centered) SS = {res} 56.12209548{txt}{col 55}Centered R2 = {res}-27.4772 {txt}Total (uncentered) SS = {res} 246.4049012{txt}{col 55}Uncentered R2 = {res} -5.4861 {txt}Residual SS = {res} 1598.199674{txt}{col 55}Root MSE = {res} 8.939 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} invest{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 6}mvalue {c |}{col 14}{result}{space 2}-.9895471{col 26}{space 2} 1.473032{col 37}{space 1} -0.67{col 46}{space 3}0.502{col 55}{space 3}-3.876638{col 67}{space 3} 1.897543 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 73.26417{col 26}{space 2} 104.4881{col 37}{space 1} 0.70{col 46}{space 3}0.483{col 55}{space 3}-131.5287{col 67}{space 3} 278.057 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Anderson canon. corr. LM statistic):{res}{col 71} 0.451 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.5019 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Cragg-Donald Wald F statistic):{res}{col 71} 0.415 {txt}Stock-Yogo weak ID test critical values:{col 42}10% maximal IV size{res}{col 73} 16.38 {txt}{col 42}15% maximal IV size{res}{col 73} 8.96 {txt}{col 42}20% maximal IV size{res}{col 73} 6.66 {txt}{col 42}25% maximal IV size{res}{col 73} 5.53 {txt}Source: Stock-Yogo (2005). Reproduced by permission. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 0.000 {txt}{col 50}(equation exactly identified) {hline 78} Instrumented:{col 23}mvalue Excluded instruments:{col 23}kstock {hline 78} r; t=0.10 20:12:55 {com}. savedresults save ivby e() {txt}r; t=0.00 20:12:55 {com}. by company: ivreg2 invest (mvalue= kstock) {txt}{hline} -> company = 1 IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 20 {txt}{col 55}F( 1, 18) = {res} 5.80 {txt}{col 55}Prob > F = {res} 0.0270 {txt}Total (centered) SS = {res} 1820892.502{txt}{col 55}Centered R2 = {res} -1.5535 {txt}Total (uncentered) SS = {res} 9214658.977{txt}{col 55}Uncentered R2 = {res} 0.4954 {txt}Residual SS = {res} 4649560.988{txt}{col 55}Root MSE = {res} 482.2 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} invest{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 6}mvalue {c |}{col 14}{result}{space 2} .7167992{col 26}{space 2} .2823693{col 37}{space 1} 2.54{col 46}{space 3}0.011{col 55}{space 3} .1633655{col 67}{space 3} 1.270233 {txt}{space 7}_cons {c |}{col 14}{result}{space 2}-2498.476{col 26}{space 2} 1228.485{col 37}{space 1} -2.03{col 46}{space 3}0.042{col 55}{space 3}-4906.263{col 67}{space 3} -90.6903 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Anderson canon. corr. LM statistic):{res}{col 71} 3.753 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.0527 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Cragg-Donald Wald F statistic):{res}{col 71} 4.158 {txt}Stock-Yogo weak ID test critical values:{col 42}10% maximal IV size{res}{col 73} 16.38 {txt}{col 42}15% maximal IV size{res}{col 73} 8.96 {txt}{col 42}20% maximal IV size{res}{col 73} 6.66 {txt}{col 42}25% maximal IV size{res}{col 73} 5.53 {txt}Source: Stock-Yogo (2005). Reproduced by permission. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 0.000 {txt}{col 50}(equation exactly identified) {hline 78} Instrumented:{col 23}mvalue Excluded instruments:{col 23}kstock {hline 78} {hline} -> company = 2 IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 20 {txt}{col 55}F( 1, 18) = {res} 0.43 {txt}{col 55}Prob > F = {res} 0.5226 {txt}Total (centered) SS = {res} 298775.32{txt}{col 55}Centered R2 = {res}-11.6139 {txt}Total (uncentered) SS = {res} 3668569.807{txt}{col 55}Uncentered R2 = {res} -0.0273 {txt}Residual SS = {res} 3768731.669{txt}{col 55}Root MSE = {res} 434.1 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} invest{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 6}mvalue {c |}{col 14}{result}{space 2} 1.636872{col 26}{space 2} 2.381309{col 37}{space 1} 0.69{col 46}{space 3}0.492{col 55}{space 3}-3.030406{col 67}{space 3} 6.304151 {txt}{space 7}_cons {c |}{col 14}{result}{space 2}-2817.151{col 26}{space 2} 4696.527{col 37}{space 1} -0.60{col 46}{space 3}0.549{col 55}{space 3}-12022.17{col 67}{space 3} 6387.872 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Anderson canon. corr. LM statistic):{res}{col 71} 0.386 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.5345 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Cragg-Donald Wald F statistic):{res}{col 71} 0.354 {txt}Stock-Yogo weak ID test critical values:{col 42}10% maximal IV size{res}{col 73} 16.38 {txt}{col 42}15% maximal IV size{res}{col 73} 8.96 {txt}{col 42}20% maximal IV size{res}{col 73} 6.66 {txt}{col 42}25% maximal IV size{res}{col 73} 5.53 {txt}Source: Stock-Yogo (2005). Reproduced by permission. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 0.000 {txt}{col 50}(equation exactly identified) {hline 78} Instrumented:{col 23}mvalue Excluded instruments:{col 23}kstock {hline 78} {hline} -> company = 3 IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 20 {txt}{col 55}F( 1, 18) = {res} 0.27 {txt}{col 55}Prob > F = {res} 0.6089 {txt}Total (centered) SS = {res} 44848.61921{txt}{col 55}Centered R2 = {res}-42.4768 {txt}Total (uncentered) SS = {res} 254113.5003{txt}{col 55}Uncentered R2 = {res} -6.6732 {txt}Residual SS = {res} 1949873.616{txt}{col 55}Root MSE = {res} 312.2 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} invest{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 6}mvalue {c |}{col 14}{result}{space 2} .8034618{col 26}{space 2} 1.463864{col 37}{space 1} 0.55{col 46}{space 3}0.583{col 55}{space 3}-2.065659{col 67}{space 3} 3.672583 {txt}{space 7}_cons {c |}{col 14}{result}{space 2}-1457.491{col 26}{space 2} 2842.693{col 37}{space 1} -0.51{col 46}{space 3}0.608{col 55}{space 3}-7029.067{col 67}{space 3} 4114.086 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Anderson canon. corr. LM statistic):{res}{col 71} 0.280 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.5969 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Cragg-Donald Wald F statistic):{res}{col 71} 0.255 {txt}Stock-Yogo weak ID test critical values:{col 42}10% maximal IV size{res}{col 73} 16.38 {txt}{col 42}15% maximal IV size{res}{col 73} 8.96 {txt}{col 42}20% maximal IV size{res}{col 73} 6.66 {txt}{col 42}25% maximal IV size{res}{col 73} 5.53 {txt}Source: Stock-Yogo (2005). Reproduced by permission. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 0.000 {txt}{col 50}(equation exactly identified) {hline 78} Instrumented:{col 23}mvalue Excluded instruments:{col 23}kstock {hline 78} {hline} -> company = 4 IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 20 {txt}{col 55}F( 1, 18) = {res} 2.39 {txt}{col 55}Prob > F = {res} 0.1398 {txt}Total (centered) SS = {res} 34683.98673{txt}{col 55}Centered R2 = {res} -5.3087 {txt}Total (uncentered) SS = {res} 183029.1333{txt}{col 55}Uncentered R2 = {res} -0.1955 {txt}Residual SS = {res} 218811.669{txt}{col 55}Root MSE = {res} 104.6 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} invest{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 6}mvalue {c |}{col 14}{result}{space 2} .7767249{col 26}{space 2} .4770677{col 37}{space 1} 1.63{col 46}{space 3}0.103{col 55}{space 3}-.1583106{col 67}{space 3} 1.71176 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} -452.31{col 26}{space 2} 331.5341{col 37}{space 1} -1.36{col 46}{space 3}0.172{col 55}{space 3}-1102.105{col 67}{space 3} 197.4849 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Anderson canon. corr. LM statistic):{res}{col 71} 1.962 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.1613 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Cragg-Donald Wald F statistic):{res}{col 71} 1.958 {txt}Stock-Yogo weak ID test critical values:{col 42}10% maximal IV size{res}{col 73} 16.38 {txt}{col 42}15% maximal IV size{res}{col 73} 8.96 {txt}{col 42}20% maximal IV size{res}{col 73} 6.66 {txt}{col 42}25% maximal IV size{res}{col 73} 5.53 {txt}Source: Stock-Yogo (2005). Reproduced by permission. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 0.000 {txt}{col 50}(equation exactly identified) {hline 78} Instrumented:{col 23}mvalue Excluded instruments:{col 23}kstock {hline 78} {hline} -> company = 5 IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 20 {txt}{col 55}F( 1, 18) = {res} 29.69 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 4370.680773{txt}{col 55}Centered R2 = {res} 0.6799 {txt}Total (uncentered) SS = {res} 80761.6608{txt}{col 55}Uncentered R2 = {res} 0.9827 {txt}Residual SS = {res} 1399.002862{txt}{col 55}Root MSE = {res} 8.364 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} invest{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 6}mvalue {c |}{col 14}{result}{space 2} .1716397{col 26}{space 2} .0298816{col 37}{space 1} 5.74{col 46}{space 3}0.000{col 55}{space 3} .1130727{col 67}{space 3} .2302066 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 22.07306{col 26}{space 2} 7.165074{col 37}{space 1} 3.08{col 46}{space 3}0.002{col 55}{space 3} 8.029776{col 67}{space 3} 36.11635 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Anderson canon. corr. LM statistic):{res}{col 71} 15.124 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.0001 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Cragg-Donald Wald F statistic):{res}{col 71} 55.829 {txt}Stock-Yogo weak ID test critical values:{col 42}10% maximal IV size{res}{col 73} 16.38 {txt}{col 42}15% maximal IV size{res}{col 73} 8.96 {txt}{col 42}20% maximal IV size{res}{col 73} 6.66 {txt}{col 42}25% maximal IV size{res}{col 73} 5.53 {txt}Source: Stock-Yogo (2005). Reproduced by permission. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 0.000 {txt}{col 50}(equation exactly identified) {hline 78} Instrumented:{col 23}mvalue Excluded instruments:{col 23}kstock {hline 78} {hline} -> company = 6 IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 20 {txt}{col 55}F( 1, 18) = {res} 324.34 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 23204.8504{txt}{col 55}Centered R2 = {res} 0.9499 {txt}Total (uncentered) SS = {res} 84612.42832{txt}{col 55}Uncentered R2 = {res} 0.9863 {txt}Residual SS = {res} 1161.701656{txt}{col 55}Root MSE = {res} 7.621 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} invest{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 6}mvalue {c |}{col 14}{result}{space 2} .1590435{col 26}{space 2} .0083779{col 37}{space 1} 18.98{col 46}{space 3}0.000{col 55}{space 3} .142623{col 67}{space 3} .1754639 {txt}{space 7}_cons {c |}{col 14}{result}{space 2}-11.36578{col 26}{space 2} 3.908676{col 37}{space 1} -2.91{col 46}{space 3}0.004{col 55}{space 3}-19.02665{col 67}{space 3} -3.70492 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Anderson canon. corr. LM statistic):{res}{col 71} 18.497 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.0000 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Cragg-Donald Wald F statistic):{res}{col 71} 221.575 {txt}Stock-Yogo weak ID test critical values:{col 42}10% maximal IV size{res}{col 73} 16.38 {txt}{col 42}15% maximal IV size{res}{col 73} 8.96 {txt}{col 42}20% maximal IV size{res}{col 73} 6.66 {txt}{col 42}25% maximal IV size{res}{col 73} 5.53 {txt}Source: Stock-Yogo (2005). Reproduced by permission. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 0.000 {txt}{col 50}(equation exactly identified) {hline 78} Instrumented:{col 23}mvalue Excluded instruments:{col 23}kstock {hline 78} {hline} -> company = 7 IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 20 {txt}{col 55}F( 1, 18) = {res} 0.01 {txt}{col 55}Prob > F = {res} 0.9208 {txt}Total (centered) SS = {res} 6373.822477{txt}{col 55}Centered R2 = {res}-1.3e+03 {txt}Total (uncentered) SS = {res} 51680.45432{txt}{col 55}Uncentered R2 = {res}-1.6e+02 {txt}Residual SS = {res} 8340984.543{txt}{col 55}Root MSE = {res} 645.8 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} invest{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 6}mvalue {c |}{col 14}{result}{space 2} 20.21339{col 26}{space 2} 190.2317{col 37}{space 1} 0.11{col 46}{space 3}0.915{col 55}{space 3}-352.6339{col 67}{space 3} 393.0607 {txt}{space 7}_cons {c |}{col 14}{result}{space 2}-2980.169{col 26}{space 2} 28495.17{col 37}{space 1} -0.10{col 46}{space 3}0.917{col 55}{space 3}-58829.68{col 67}{space 3} 52869.35 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Anderson canon. corr. LM statistic):{res}{col 71} 0.011 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.9158 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Cragg-Donald Wald F statistic):{res}{col 71} 0.010 {txt}Stock-Yogo weak ID test critical values:{col 42}10% maximal IV size{res}{col 73} 16.38 {txt}{col 42}15% maximal IV size{res}{col 73} 8.96 {txt}{col 42}20% maximal IV size{res}{col 73} 6.66 {txt}{col 42}25% maximal IV size{res}{col 73} 5.53 {txt}Source: Stock-Yogo (2005). Reproduced by permission. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 0.000 {txt}{col 50}(equation exactly identified) {hline 78} Instrumented:{col 23}mvalue Excluded instruments:{col 23}kstock {hline 78} {hline} -> company = 8 IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 20 {txt}{col 55}F( 1, 18) = {res} 31.33 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 6938.786873{txt}{col 55}Centered R2 = {res} 0.6703 {txt}Total (uncentered) SS = {res} 43732.40264{txt}{col 55}Uncentered R2 = {res} 0.9477 {txt}Residual SS = {res} 2287.765808{txt}{col 55}Root MSE = {res} 10.7 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} invest{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 6}mvalue {c |}{col 14}{result}{space 2} .0877782{col 26}{space 2} .0148763{col 37}{space 1} 5.90{col 46}{space 3}0.000{col 55}{space 3} .0586212{col 67}{space 3} .1169352 {txt}{space 7}_cons {c |}{col 14}{result}{space 2}-15.99976{col 26}{space 2} 10.26318{col 37}{space 1} -1.56{col 46}{space 3}0.119{col 55}{space 3}-36.11522{col 67}{space 3} 4.115711 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Anderson canon. corr. LM statistic):{res}{col 71} 11.001 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.0009 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Cragg-Donald Wald F statistic):{res}{col 71} 22.004 {txt}Stock-Yogo weak ID test critical values:{col 42}10% maximal IV size{res}{col 73} 16.38 {txt}{col 42}15% maximal IV size{res}{col 73} 8.96 {txt}{col 42}20% maximal IV size{res}{col 73} 6.66 {txt}{col 42}25% maximal IV size{res}{col 73} 5.53 {txt}Source: Stock-Yogo (2005). Reproduced by permission. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 0.000 {txt}{col 50}(equation exactly identified) {hline 78} Instrumented:{col 23}mvalue Excluded instruments:{col 23}kstock {hline 78} {hline} -> company = 9 IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 20 {txt}{col 55}F( 1, 18) = {res} 12.85 {txt}{col 55}Prob > F = {res} 0.0021 {txt}Total (centered) SS = {res} 4207.536721{txt}{col 55}Centered R2 = {res} 0.2039 {txt}Total (uncentered) SS = {res} 39301.30352{txt}{col 55}Uncentered R2 = {res} 0.9148 {txt}Residual SS = {res} 3349.675955{txt}{col 55}Root MSE = {res} 12.94 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} invest{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 6}mvalue {c |}{col 14}{result}{space 2} .2398443{col 26}{space 2} .0634648{col 37}{space 1} 3.78{col 46}{space 3}0.000{col 55}{space 3} .1154555{col 67}{space 3} .364233 {txt}{space 7}_cons {c |}{col 14}{result}{space 2}-38.13504{col 26}{space 2} 21.37186{col 37}{space 1} -1.78{col 46}{space 3}0.074{col 55}{space 3}-80.02311{col 67}{space 3} 3.753025 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Anderson canon. corr. LM statistic):{res}{col 71} 7.334 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.0068 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Cragg-Donald Wald F statistic):{res}{col 71} 10.422 {txt}Stock-Yogo weak ID test critical values:{col 42}10% maximal IV size{res}{col 73} 16.38 {txt}{col 42}15% maximal IV size{res}{col 73} 8.96 {txt}{col 42}20% maximal IV size{res}{col 73} 6.66 {txt}{col 42}25% maximal IV size{res}{col 73} 5.53 {txt}Source: Stock-Yogo (2005). Reproduced by permission. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 0.000 {txt}{col 50}(equation exactly identified) {hline 78} Instrumented:{col 23}mvalue Excluded instruments:{col 23}kstock {hline 78} {hline} -> company = 10 IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 20 {txt}{col 55}F( 1, 18) = {res} 0.41 {txt}{col 55}Prob > F = {res} 0.5320 {txt}Total (centered) SS = {res} 56.12209548{txt}{col 55}Centered R2 = {res}-27.4772 {txt}Total (uncentered) SS = {res} 246.4049012{txt}{col 55}Uncentered R2 = {res} -5.4861 {txt}Residual SS = {res} 1598.199674{txt}{col 55}Root MSE = {res} 8.939 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} invest{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 6}mvalue {c |}{col 14}{result}{space 2}-.9895471{col 26}{space 2} 1.473032{col 37}{space 1} -0.67{col 46}{space 3}0.502{col 55}{space 3}-3.876638{col 67}{space 3} 1.897543 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 73.26417{col 26}{space 2} 104.4881{col 37}{space 1} 0.70{col 46}{space 3}0.483{col 55}{space 3}-131.5287{col 67}{space 3} 278.057 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Anderson canon. corr. LM statistic):{res}{col 71} 0.451 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.5019 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Cragg-Donald Wald F statistic):{res}{col 71} 0.415 {txt}Stock-Yogo weak ID test critical values:{col 42}10% maximal IV size{res}{col 73} 16.38 {txt}{col 42}15% maximal IV size{res}{col 73} 8.96 {txt}{col 42}20% maximal IV size{res}{col 73} 6.66 {txt}{col 42}25% maximal IV size{res}{col 73} 5.53 {txt}Source: Stock-Yogo (2005). Reproduced by permission. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 0.000 {txt}{col 50}(equation exactly identified) {hline 78} Instrumented:{col 23}mvalue Excluded instruments:{col 23}kstock {hline 78} r; t=1.41 20:12:57 {com}. savedresults comp ivby e(), include(macros: instd depvar scalar: N matrix: b V) tol(1e-7) verbose {txt}comparing macro e(instd) comparing macro e(depvar) comparing scalar e(N) comparing matrix e(b) comparing matrix e(V) r; t=0.00 20:12:57 {com}. . * 1.0.10 test bootstrap . set seed 20070203 {txt}r; t=0.00 20:12:57 {com}. bootstrap, reps(100) saving(ivbs,replace): ivreg invest (mvalue= kstock) {txt}(running ivreg on estimation sample) Bootstrap replications ({res}100{txt}) {hline 4}{c +}{hline 3} 1 {hline 3}{c +}{hline 3} 2 {hline 3}{c +}{hline 3} 3 {hline 3}{c +}{hline 3} 4 {hline 3}{c +}{hline 3} 5 .................................................. 50 .................................................. 100 {res} {txt}Instrumental variables (2SLS) regression{col 49}Number of obs{col 68}= {res} 200 {txt}{col 49}Replications{col 68}= {res} 100 {txt}{col 49}Wald chi2({res}1{txt}){col 68}= {res} 93.13 {txt}{col 49}Prob > chi2{col 68}= {res} 0.0000 {txt}{col 49}R-squared{col 68}= {res} 0.4855 {txt}{col 49}Adj R-squared{col 68}= {res} 0.4829 {txt}{col 49}Root MSE{col 68}= {res} 155.9525 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 14}{text}{c |} Observed{col 26} Bootstrap{col 55} Normal-based {col 1}{text} invest{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 6}mvalue {c |}{col 14}{result}{space 2} .223687{col 26}{space 2} .0231794{col 37}{space 1} 9.65{col 46}{space 3}0.000{col 55}{space 3} .1782562{col 67}{space 3} .2691178 {txt}{space 7}_cons {c |}{col 14}{result}{space 2}-95.99972{col 26}{space 2} 25.9316{col 37}{space 1} -3.70{col 46}{space 3}0.000{col 55}{space 3}-146.8247{col 67}{space 3}-45.17473 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {p 0 15 4}Instrumented:{space 2}mvalue{p_end} {p 0 15 4}Instruments:{space 3}kstock{p_end} {hline 78} r; t=1.32 20:12:58 {com}. set seed 20070203 {txt}r; t=0.00 20:12:58 {com}. bootstrap, reps(100) saving(iv2bs,replace): ivreg2 invest (mvalue= kstock) {txt}(running ivreg2 on estimation sample) Bootstrap replications ({res}100{txt}) {hline 4}{c +}{hline 3} 1 {hline 3}{c +}{hline 3} 2 {hline 3}{c +}{hline 3} 3 {hline 3}{c +}{hline 3} 4 {hline 3}{c +}{hline 3} 5 .................................................. 50 .................................................. 100 {res} {txt}IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 200 {txt}{col 55}F( 1, 198) = {res} . {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 9359943.917{txt}{col 55}Centered R2 = {res} 0.4855 {txt}Total (uncentered) SS = {res} 13620706.07{txt}{col 55}Uncentered R2 = {res} 0.6465 {txt}Residual SS = {res} 4815592.122{txt}{col 55}Root MSE = {res} 155.2 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 14}{text}{c |} Observed{col 26} Bootstrap{col 55} Normal-based {col 1}{text} invest{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 6}mvalue {c |}{col 14}{result}{space 2} .223687{col 26}{space 2} .0231794{col 37}{space 1} 9.65{col 46}{space 3}0.000{col 55}{space 3} .1782562{col 67}{space 3} .2691178 {txt}{space 7}_cons {c |}{col 14}{result}{space 2}-95.99972{col 26}{space 2} 25.9316{col 37}{space 1} -3.70{col 46}{space 3}0.000{col 55}{space 3}-146.8247{col 67}{space 3}-45.17473 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Kleibergen-Paap rk LM statistic):{res}{col 71} 47.767 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.0000 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Kleibergen-Paap rk Wald F statistic):{res}{col 71} 62.127 {txt}Stock-Yogo weak ID test critical values:{col 42}10% maximal IV size{res}{col 73} 16.38 {txt}{col 42}15% maximal IV size{res}{col 73} 8.96 {txt}{col 42}20% maximal IV size{res}{col 73} 6.66 {txt}{col 42}25% maximal IV size{res}{col 73} 5.53 {txt}Source: Stock-Yogo (2005). Reproduced by permission. NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 0.000 {txt}{col 50}(equation exactly identified) {hline 78} Instrumented:{col 23}mvalue Excluded instruments:{col 23}kstock {hline 78} r; t=5.32 20:13:03 {com}. use iv2bs,clear {txt}(bootstrap: ivreg2) r; t=0.00 20:13:03 {com}. cf _all using ivbs {txt}r; t=0.21 20:13:04 {com}. . * 1.0.10 test jackknife . webuse grunfeld, clear {txt}r; t=0.29 20:13:04 {com}. set seed 20070203 {txt}r; t=0.00 20:13:04 {com}. jackknife _b _se, eclass: ivreg invest (mvalue= kstock) {txt}(running ivreg on estimation sample) Jackknife replications ({res}200{txt}) {hline 4}{c +}{hline 3} 1 {hline 3}{c +}{hline 3} 2 {hline 3}{c +}{hline 3} 3 {hline 3}{c +}{hline 3} 4 {hline 3}{c +}{hline 3} 5 .................................................. 50 .................................................. 100 .................................................. 150 .................................................. 200 {res} {txt}Jackknife results{col 49}Number of obs{col 68}= {res} 200 {txt}{col 49}Replications{col 68}= {res} 200 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 14}{text}{c |}{col 14} Jackknife {col 14}{text}{c |} Coef.{col 26} Std. Err.{col 37} t{col 46} P>|t|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {res}b {txt}{c |} {space 6}mvalue {c |}{col 14}{result}{space 2} .223687{col 26}{space 2} .025994{col 37}{space 1} 8.61{col 46}{space 3}0.000{col 55}{space 3} .172428{col 67}{space 3} .274946 {txt}{space 7}_cons {c |}{col 14}{result}{space 2}-95.99972{col 26}{space 2} 28.05725{col 37}{space 1} -3.42{col 46}{space 3}0.001{col 55}{space 3}-151.3274{col 67}{space 3}-40.67205 {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {res}se {txt}{c |} {space 6}mvalue {c |}{col 14}{result}{space 2} .0172095{col 26}{space 2} .00521{col 37}{space 1} 3.30{col 46}{space 3}0.001{col 55}{space 3} .0069356{col 67}{space 3} .0274833 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 21.63632{col 26}{space 2} 5.514405{col 37}{space 1} 3.92{col 46}{space 3}0.000{col 55}{space 3} 10.76215{col 67}{space 3} 32.51048 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} r; t=1.57 20:13:06 {com}. savedresults save ivjk e() {txt}r; t=0.00 20:13:06 {com}. set seed 20070203 {txt}r; t=0.00 20:13:06 {com}. jackknife _b _se, eclass: ivreg2 invest (mvalue= kstock), small {txt}(running ivreg2 on estimation sample) Jackknife replications ({res}200{txt}) {hline 4}{c +}{hline 3} 1 {hline 3}{c +}{hline 3} 2 {hline 3}{c +}{hline 3} 3 {hline 3}{c +}{hline 3} 4 {hline 3}{c +}{hline 3} 5 .................................................. 50 .................................................. 100 .................................................. 150 .................................................. 200 {res} {txt}Jackknife results{col 49}Number of obs{col 68}= {res} 200 {txt}{col 49}Replications{col 68}= {res} 200 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 14}{text}{c |}{col 14} Jackknife {col 14}{text}{c |} Coef.{col 26} Std. Err.{col 37} t{col 46} P>|t|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {res}b {txt}{c |} {space 6}mvalue {c |}{col 14}{result}{space 2} .223687{col 26}{space 2} .025994{col 37}{space 1} 8.61{col 46}{space 3}0.000{col 55}{space 3} .172428{col 67}{space 3} .274946 {txt}{space 7}_cons {c |}{col 14}{result}{space 2}-95.99972{col 26}{space 2} 28.05725{col 37}{space 1} -3.42{col 46}{space 3}0.001{col 55}{space 3}-151.3274{col 67}{space 3}-40.67205 {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {res}se {txt}{c |} {space 6}mvalue {c |}{col 14}{result}{space 2} .0172095{col 26}{space 2} .00521{col 37}{space 1} 3.30{col 46}{space 3}0.001{col 55}{space 3} .0069356{col 67}{space 3} .0274833 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 21.63632{col 26}{space 2} 5.514405{col 37}{space 1} 3.92{col 46}{space 3}0.000{col 55}{space 3} 10.76215{col 67}{space 3} 32.51048 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} r; t=10.00 20:13:16 {com}. savedresults compare ivjk e(), include(macros: depvar scalar: N matrix: b V) tol(1e-7) verbose {txt}comparing macro e(depvar) comparing scalar e(N) comparing matrix e(b) comparing matrix e(V) r; t=0.00 20:13:16 {com}. . * 1.0.10 test svy (jackknife) FAILS . // use http://www.stata-press.com/data/r9/hsng2.dta, clear . // svyset _n . // set seed 20070203 . // svy: ivreg rent pcturban (hsngval = faminc reg2-reg4), vce(jackknife) . // savedresults save ivsj e() . // set seed 20070203 . // svy: ivreg2 rent pcturban (hsngval = faminc reg2-reg4) // , vce(jackknife) . // savedresults compare ivsj e(), include(macros: depvar scalar: N matrix: b V) tol(1e-7) verbose . . * 1.0.13 test HAC with aw (vs Stata 10 ivregress) . if c(version) >= 10 {c -(} . use http://fmwww.bc.edu/ec-p/data/wooldridge/phillips.dta, clear {txt}r; t=0.04 20:13:16 {com}. tsset year,yearly {res}{txt}{col 9}time variable: {res}{col 25}year, 1948 to 1996 {txt}{col 17}delta: {res}1 year {txt}r; t=0.00 20:13:16 {com}. ivregress 2sls cinf unem [aw=year], vce(hac bartlett 2) small {txt}(sum of wgt is 9.4680e+04) {res} {txt}{col 1}Instrumental variables (2SLS) regression{col 56}Number of obs{col 70}= {res} 48 {txt}{col 1}{col 56}F( 1, 46){col 70}={res} 6.08 {txt}{col 1}{col 56}Prob > F{col 70}= {res} 0.0174 {txt}{col 1}{col 56}R-squared{col 70}={res} 0.1089 {txt}{col 1}{col 56}Adj R-squared{col 70}={res} 0.0895 {txt}{col 56}Root MSE{col 70}= {res} 2.4426 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 14}{text}{c |}{col 14} HAC {col 1}{text} cinf{col 14}{c |} Coef.{col 26} Std. Err.{col 37} t{col 46} P>|t|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 8}unem {c |}{col 14}{result}{space 2}-.5439774{col 26}{space 2} .2205366{col 37}{space 1} -2.47{col 46}{space 3}0.017{col 55}{space 3}-.9878946{col 67}{space 3}-.1000602 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 3.042442{col 26}{space 2} 1.384731{col 37}{space 1} 2.20{col 46}{space 3}0.033{col 55}{space 3} .255123{col 67}{space 3} 5.829762 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} (no endogenous regressors) HAC VCE:{col 16}Bartlett kernel with 2 lags r; t=0.10 20:13:16 {com}. savedresults save ivhacaw1 e() {txt}r; t=0.00 20:13:16 {com}. ivreg2 cinf unem [aw=year], bw(3) robust small {txt}(sum of wgt is 9.4680e+04) OLS estimation {hline 14} Estimates efficient for homoskedasticity only Statistics robust to heteroskedasticity and autocorrelation kernel=Bartlett; bandwidth= 3 time variable (t): {res}year {txt} {col 55}Number of obs = {res} 48 {txt}{col 55}F( 1, 46) = {res} 6.08 {txt}{col 55}Prob > F = {res} 0.0174 {txt}Total (centered) SS = {res} 307.9870366{txt}{col 55}Centered R2 = {res} 0.1089 {txt}Total (uncentered) SS = {res} 308.5213273{txt}{col 55}Uncentered R2 = {res} 0.1104 {txt}Residual SS = {res} 274.4525197{txt}{col 55}Root MSE = {res} 2.443 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 14}{text}{c |}{col 14} Robust {col 1}{text} cinf{col 14}{c |} Coef.{col 26} Std. Err.{col 37} t{col 46} P>|t|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 8}unem {c |}{col 14}{result}{space 2}-.5439774{col 26}{space 2} .2205366{col 37}{space 1} -2.47{col 46}{space 3}0.017{col 55}{space 3}-.9878946{col 67}{space 3}-.1000602 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 3.042442{col 26}{space 2} 1.384731{col 37}{space 1} 2.20{col 46}{space 3}0.033{col 55}{space 3} .255123{col 67}{space 3} 5.829762 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} Included instruments:{col 23}unem {hline 78} r; t=0.12 20:13:16 {com}. savedresults compare ivhacaw1 e(), include(macros: depvar scalar: N matrix: b V) tol(1e-6) verbose {txt}comparing macro e(depvar) comparing scalar e(N) comparing matrix e(b) comparing matrix e(V) r; t=0.00 20:13:16 {com}. . use http://fmwww.bc.edu/ec-p/data/wooldridge/phillips.dta, clear {txt}r; t=0.04 20:13:16 {com}. tsset year,yearly {res}{txt}{col 9}time variable: {res}{col 25}year, 1948 to 1996 {txt}{col 17}delta: {res}1 year {txt}r; t=0.00 20:13:16 {com}. ivregress 2sls cinf (unem=L(1/2).unem) [aw=year], vce(hac bartlett 2) small {txt}(sum of wgt is 9.2731e+04) {res} {txt}{col 1}Instrumental variables (2SLS) regression{col 56}Number of obs{col 70}= {res} 47 {txt}{col 1}{col 56}F( 1, 45){col 70}={res} 1.59 {txt}{col 1}{col 56}Prob > F{col 70}= {res} 0.2142 {txt}{col 1}{col 56}R-squared{col 70}={res} 0.1378 {txt}{col 1}{col 56}Adj R-squared{col 70}={res} 0.1186 {txt}{col 56}Root MSE{col 70}= {res} 2.0654 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 14}{text}{c |}{col 14} HAC {col 1}{text} cinf{col 14}{c |} Coef.{col 26} Std. Err.{col 37} t{col 46} P>|t|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 8}unem {c |}{col 14}{result}{space 2}-.4114151{col 26}{space 2} .3265695{col 37}{space 1} -1.26{col 46}{space 3}0.214{col 55}{space 3} -1.06916{col 67}{space 3} .2463295 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 2.467587{col 26}{space 2} 1.983225{col 37}{space 1} 1.24{col 46}{space 3}0.220{col 55}{space 3}-1.526833{col 67}{space 3} 6.462007 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {p 0 15 4}Instrumented:{space 2}unem{p_end} {p 0 15 4}Instruments:{space 3}L.unem L2.unem{p_end} HAC VCE:{col 16}Bartlett kernel with 2 lags r; t=0.12 20:13:16 {com}. savedresults save ivhacaw2 e() {txt}r; t=0.00 20:13:16 {com}. ivreg2 cinf (unem=L(1/2).unem) [aw=year], bw(3) robust small {txt}(sum of wgt is 9.2731e+04) IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics robust to heteroskedasticity and autocorrelation kernel=Bartlett; bandwidth= 3 time variable (t): {res}year {txt} {col 55}Number of obs = {res} 47 {txt}{col 55}F( 1, 45) = {res} 1.59 {txt}{col 55}Prob > F = {res} 0.2142 {txt}Total (centered) SS = {res} 222.6433667{txt}{col 55}Centered R2 = {res} 0.1378 {txt}Total (uncentered) SS = {res} 223.005221{txt}{col 55}Uncentered R2 = {res} 0.1392 {txt}Residual SS = {res} 191.9690814{txt}{col 55}Root MSE = {res} 2.065 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 14}{text}{c |}{col 14} Robust {col 1}{text} cinf{col 14}{c |} Coef.{col 26} Std. Err.{col 37} t{col 46} P>|t|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 8}unem {c |}{col 14}{result}{space 2}-.4114151{col 26}{space 2} .3265695{col 37}{space 1} -1.26{col 46}{space 3}0.214{col 55}{space 3} -1.06916{col 67}{space 3} .2463295 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 2.467587{col 26}{space 2} 1.983225{col 37}{space 1} 1.24{col 46}{space 3}0.220{col 55}{space 3}-1.526833{col 67}{space 3} 6.462007 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Kleibergen-Paap rk LM statistic):{res}{col 71} 6.058 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.0484 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Kleibergen-Paap rk Wald F statistic):{res}{col 71} 38.172 {txt}Stock-Yogo weak ID test critical values:{col 42}10% maximal IV size{res}{col 73} 19.93 {txt}{col 42}15% maximal IV size{res}{col 73} 11.59 {txt}{col 42}20% maximal IV size{res}{col 73} 8.75 {txt}{col 42}25% maximal IV size{res}{col 73} 7.25 {txt}Source: Stock-Yogo (2005). Reproduced by permission. NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors. {hline 78} {help ivreg2##overidtests:Hansen J statistic} (overidentification test of all instruments):{res}{col 71} 2.899 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.0886 {txt}{hline 78} Instrumented:{col 23}unem Excluded instruments:{col 23}L.unem L2.unem {hline 78} r; t=0.78 20:13:17 {com}. savedresults compare ivhacaw2 e(), include(macros: depvar scalar: N matrix: b V) tol(1e-6) verbose {txt}comparing macro e(depvar) comparing scalar e(N) comparing matrix e(b) comparing matrix e(V) r; t=0.00 20:13:17 {com}. {c )-} {txt}r; t=1.25 20:13:17 {com}. . * test partial() with TS ops . use http://fmwww.bc.edu/ec-p/data/wooldridge/phillips.dta, clear {txt}r; t=0.04 20:13:17 {com}. tsset year,yearly {res}{txt}{col 9}time variable: {res}{col 25}year, 1948 to 1996 {txt}{col 17}delta: {res}1 year {txt}r; t=0.00 20:13:17 {com}. rcof "noi ivreg2 cinf (unem=L(1/2).unem) L.year, partial(L.year)" == 101 {err}factor variables and time-series operators not allowed {txt}r; t=0.03 20:13:17 {com}. . * test absence of ranktest (specific to Mac OS X file location) . if "$S_OS" == "MacOSX" & c(version)>=10 {c -(} . findfile ranktest.ado {txt}~/library/application support/stata/ado/plus/r/ranktest.ado r; t=0.00 20:13:17 {com}. cd ~ {res}/Users/baum/ {txt}r; t=0.00 20:13:17 {com}. cd "library/application support/stata/ado/plus/r" {res}/Users/baum/Library/Application Support/Stata/ado/plus/r/ {txt}r; t=0.00 20:13:17 {com}. !mv ranktest.ado ranktest.ado.disabled {txt} r; t=0.05 20:13:17 {com}. program drop _all {txt}r; t=0.00 20:13:17 {com}. rcof "noi ivreg2 cinf (unem=L(1/2).unem) [aw=year], bw(3) robust small" == 601 {err}Error: must have ranktest version 01.1.03 or greater installed To install, from within Stata type {stata ssc install ranktest :ssc install ranktest} {txt}r; t=0.03 20:13:17 {com}. !mv ranktest.ado.disabled ranktest.ado {txt} r; t=0.01 20:13:17 {com}. {c )-} {txt}r; t=0.11 20:13:17 {com}. . * 1.0.10 test statsby . use http://fmwww.bc.edu/ec-p/data/wooldridge/phillips.dta, clear {txt}r; t=0.04 20:13:17 {com}. tsset year,yearly {res}{txt}{col 9}time variable: {res}{col 25}year, 1948 to 1996 {txt}{col 17}delta: {res}1 year {txt}r; t=0.05 20:13:17 {com}. egen quin = cut(year),group(7) {txt}r; t=0.07 20:13:17 {com}. statsby _b _se, by(quin) saving(quin,replace): ivreg unem (inf=L.inf L2.inf) {txt}(running ivreg on estimation sample) {p2colset 7 17 21 2}{...} {p2col :command:}ivreg unem (inf=L.inf L2.inf){p_end} by: quin Statsby groups {hline 4}{c +}{hline 3} 1 {hline 3}{c +}{hline 3} 2 {hline 3}{c +}{hline 3} 3 {hline 3}{c +}{hline 3} 4 {hline 3}{c +}{hline 3} 5 ....... r; t=0.12 20:13:17 {com}. statsby _b _se, by(quin) saving(quin2,replace): ivreg2 unem (inf=L.inf L2.inf), small {txt}(running ivreg2 on estimation sample) {p2colset 7 17 21 2}{...} {p2col :command:}ivreg2 unem (inf=L.inf L2.inf), small{p_end} by: quin Statsby groups {hline 4}{c +}{hline 3} 1 {hline 3}{c +}{hline 3} 2 {hline 3}{c +}{hline 3} 3 {hline 3}{c +}{hline 3} 4 {hline 3}{c +}{hline 3} 5 ....... r; t=0.67 20:13:18 {com}. use quin2,clear {txt}(statsby: ivreg2) r; t=0.00 20:13:18 {com}. cf _all using quin {txt}r; t=0.01 20:13:18 {com}. . * 1.0.10 test rolling . use http://fmwww.bc.edu/ec-p/data/wooldridge/phillips.dta, clear {txt}r; t=0.05 20:13:18 {com}. tsset year,yearly {res}{txt}{col 9}time variable: {res}{col 25}year, 1948 to 1996 {txt}{col 17}delta: {res}1 year {txt}r; t=0.00 20:13:18 {com}. rolling, window(10) saving(rolliv,replace): ivreg unem (inf=L.inf L2.inf) {txt}(running ivreg on estimation sample) Rolling replications ({res}40{txt}) {hline 4}{c +}{hline 3} 1 {hline 3}{c +}{hline 3} 2 {hline 3}{c +}{hline 3} 3 {hline 3}{c +}{hline 3} 4 {hline 3}{c +}{hline 3} 5 ........................................ file rolliv.dta saved r; t=0.33 20:13:18 {com}. rolling, window(10) saving(rolliv2,replace): ivreg2 unem (inf=L.inf L2.inf), small {txt}(running ivreg2 on estimation sample) Rolling replications ({res}40{txt}) {hline 4}{c +}{hline 3} 1 {hline 3}{c +}{hline 3} 2 {hline 3}{c +}{hline 3} 3 {hline 3}{c +}{hline 3} 4 {hline 3}{c +}{hline 3} 5 ........................................ file rolliv2.dta saved r; t=1.97 20:13:20 {com}. use rolliv2 {txt}(rolling: ivreg2) r; t=0.00 20:13:20 {com}. cf _all using rolliv {txt}r; t=0.00 20:13:20 {com}. . * 1.0.7 test fweights . use http://fmwww.bc.edu/ec-p/data/hayashi/griliches76.dta,clear {txt}(Wages of Very Young Men, Zvi Griliches, J.Pol.Ec. 1976) r; t=0.14 20:13:20 {com}. ivreg2 lw80 expr80 tenure80 rns80 smsa80 (s80 = med kww) [fw=age], ffirst gmm2s {txt}(sum of wgt is 1.6551e+04) Summary results for first-stage regressions {hline 43} Variable |{col 15}{help ivreg2##partialr2:Shea Partial R2}{col 31}|{col 35}{help ivreg2##partialr2:Partial R2}{col 49}|{col 52}{help ivreg2##partialr2:F}{col 53}({res}{col 54} 2{txt},{res} 16544{txt}) P-value {res}s80 {col 13}{txt}|{col 17}{res} 0.2305{col 31}{txt}|{col 35}{res} 0.2305{col 49}{txt}|{col 54}{res} 2477.47{col 67} 0.0000 {help ivreg2##idtest:Underidentification tests} {txt}Ho: matrix of reduced form coefficients has rank=K1-1 (underidentified) Ha: matrix has rank=K1 (identified) {res}Anderson canon. corr. N*CCEV LM statistic{txt}{col 45}Chi-sq({res}2{txt})={res}3814.57{col 64}{txt}P-val={res}0.0000 Cragg-Donald N*CDEV Wald statistic{txt}{col 45}Chi-sq({res}2{txt})={res}4957.04{col 64}{txt}P-val={res}0.0000 {help ivreg2##widtest:Weak identification test} {txt}Ho: equation is weakly identified {res}Cragg-Donald Wald F-statistic{col 49} 2477.47 {txt}See main output for Cragg-Donald weak id test critical values {help ivreg2##wirobust:Weak-instrument-robust inference} Tests of joint significance of endogenous regressors B1 in main equation Ho: B1=0 and overidentifying restrictions are valid {res}Anderson-Rubin Wald test{txt}{col 30}F({res}2{txt},{res}16544{txt})={col 40}{res}936.55 {col 50}{txt}P-val={res}0.0000 Anderson-Rubin Wald test{txt}{col 30}Chi-sq({res}2{txt})={col 40}{res}1873.89{col 50}{txt}P-val={res}0.0000 Stock-Wright LM S statistic{txt}{col 30}Chi-sq({res}2{txt})={col 40}{res}1683.31{col 50}{txt}P-val={res}0.0000 {txt}Number of observations N = {res} 16551 {txt}Number of regressors K = {res} 6 {txt}Number of instruments L = {res} 7 {txt}Number of excluded instruments L1 = {res} 2 {txt}2-Step GMM estimation {hline 21} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 16551 {txt}{col 55}F( 5, 16545) = {res} 675.08 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 2762.975861{txt}{col 55}Centered R2 = {res} 0.1278 {txt}Total (uncentered) SS = {res} 776929.016{txt}{col 55}Uncentered R2 = {res} 0.9969 {txt}Residual SS = {res} 2409.991856{txt}{col 55}Root MSE = {res} .3816 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} lw80{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 9}s80 {c |}{col 14}{result}{space 2} .1306858{col 26}{space 2} .0031105{col 37}{space 1} 42.01{col 46}{space 3}0.000{col 55}{space 3} .1245894{col 67}{space 3} .1367822 {txt}{space 6}expr80 {c |}{col 14}{result}{space 2} .0358413{col 26}{space 2} .0010795{col 37}{space 1} 33.20{col 46}{space 3}0.000{col 55}{space 3} .0337256{col 67}{space 3} .0379571 {txt}{space 4}tenure80 {c |}{col 14}{result}{space 2} .0049926{col 26}{space 2} .0006208{col 37}{space 1} 8.04{col 46}{space 3}0.000{col 55}{space 3} .0037758{col 67}{space 3} .0062094 {txt}{space 7}rns80 {c |}{col 14}{result}{space 2}-.0465008{col 26}{space 2} .0066264{col 37}{space 1} -7.02{col 46}{space 3}0.000{col 55}{space 3}-.0594883{col 67}{space 3}-.0335134 {txt}{space 6}smsa80 {c |}{col 14}{result}{space 2} .1738141{col 26}{space 2} .0066705{col 37}{space 1} 26.06{col 46}{space 3}0.000{col 55}{space 3} .1607403{col 67}{space 3} .186888 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 4.473525{col 26}{space 2} .0520023{col 37}{space 1} 86.03{col 46}{space 3}0.000{col 55}{space 3} 4.371602{col 67}{space 3} 4.575447 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Anderson canon. corr. LM statistic):{res}{col 71}3814.574 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.0000 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Cragg-Donald Wald F statistic):{res}{col 71}2477.473 {txt}Stock-Yogo weak ID test critical values:{col 42}10% maximal IV size{res}{col 73} 19.93 {txt}{col 42}15% maximal IV size{res}{col 73} 11.59 {txt}{col 42}20% maximal IV size{res}{col 73} 8.75 {txt}{col 42}25% maximal IV size{res}{col 73} 7.25 {txt}Source: Stock-Yogo (2005). Reproduced by permission. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 0.731 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.3926 {txt}{hline 78} Instrumented:{col 23}s80 Included instruments:{col 23}expr80 tenure80 rns80 smsa80 Excluded instruments:{col 23}med kww {hline 78} r; t=0.29 20:13:21 {com}. savedresults save fw e() {txt}r; t=0.00 20:13:21 {com}. expand age {txt}(15793 observations created) r; t=7.22 20:13:28 {com}. ivreg2 lw80 expr80 tenure80 rns80 smsa80 (s80 = med kww), ffirst gmm2s {txt}Summary results for first-stage regressions {hline 43} Variable |{col 15}{help ivreg2##partialr2:Shea Partial R2}{col 31}|{col 35}{help ivreg2##partialr2:Partial R2}{col 49}|{col 52}{help ivreg2##partialr2:F}{col 53}({res}{col 54} 2{txt},{res} 16544{txt}) P-value {res}s80 {col 13}{txt}|{col 17}{res} 0.2305{col 31}{txt}|{col 35}{res} 0.2305{col 49}{txt}|{col 54}{res} 2477.47{col 67} 0.0000 {help ivreg2##idtest:Underidentification tests} {txt}Ho: matrix of reduced form coefficients has rank=K1-1 (underidentified) Ha: matrix has rank=K1 (identified) {res}Anderson canon. corr. N*CCEV LM statistic{txt}{col 45}Chi-sq({res}2{txt})={res}3814.57{col 64}{txt}P-val={res}0.0000 Cragg-Donald N*CDEV Wald statistic{txt}{col 45}Chi-sq({res}2{txt})={res}4957.04{col 64}{txt}P-val={res}0.0000 {help ivreg2##widtest:Weak identification test} {txt}Ho: equation is weakly identified {res}Cragg-Donald Wald F-statistic{col 49} 2477.47 {txt}See main output for Cragg-Donald weak id test critical values {help ivreg2##wirobust:Weak-instrument-robust inference} Tests of joint significance of endogenous regressors B1 in main equation Ho: B1=0 and overidentifying restrictions are valid {res}Anderson-Rubin Wald test{txt}{col 30}F({res}2{txt},{res}16544{txt})={col 40}{res}936.55 {col 50}{txt}P-val={res}0.0000 Anderson-Rubin Wald test{txt}{col 30}Chi-sq({res}2{txt})={col 40}{res}1873.89{col 50}{txt}P-val={res}0.0000 Stock-Wright LM S statistic{txt}{col 30}Chi-sq({res}2{txt})={col 40}{res}1683.31{col 50}{txt}P-val={res}0.0000 {txt}Number of observations N = {res} 16551 {txt}Number of regressors K = {res} 6 {txt}Number of instruments L = {res} 7 {txt}Number of excluded instruments L1 = {res} 2 {txt}2-Step GMM estimation {hline 21} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 16551 {txt}{col 55}F( 5, 16545) = {res} 675.08 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 2762.975861{txt}{col 55}Centered R2 = {res} 0.1278 {txt}Total (uncentered) SS = {res} 776929.016{txt}{col 55}Uncentered R2 = {res} 0.9969 {txt}Residual SS = {res} 2409.991856{txt}{col 55}Root MSE = {res} .3816 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} lw80{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 9}s80 {c |}{col 14}{result}{space 2} .1306858{col 26}{space 2} .0031105{col 37}{space 1} 42.01{col 46}{space 3}0.000{col 55}{space 3} .1245894{col 67}{space 3} .1367822 {txt}{space 6}expr80 {c |}{col 14}{result}{space 2} .0358413{col 26}{space 2} .0010795{col 37}{space 1} 33.20{col 46}{space 3}0.000{col 55}{space 3} .0337256{col 67}{space 3} .0379571 {txt}{space 4}tenure80 {c |}{col 14}{result}{space 2} .0049926{col 26}{space 2} .0006208{col 37}{space 1} 8.04{col 46}{space 3}0.000{col 55}{space 3} .0037758{col 67}{space 3} .0062094 {txt}{space 7}rns80 {c |}{col 14}{result}{space 2}-.0465008{col 26}{space 2} .0066264{col 37}{space 1} -7.02{col 46}{space 3}0.000{col 55}{space 3}-.0594883{col 67}{space 3}-.0335134 {txt}{space 6}smsa80 {c |}{col 14}{result}{space 2} .1738141{col 26}{space 2} .0066705{col 37}{space 1} 26.06{col 46}{space 3}0.000{col 55}{space 3} .1607403{col 67}{space 3} .186888 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 4.473525{col 26}{space 2} .0520023{col 37}{space 1} 86.03{col 46}{space 3}0.000{col 55}{space 3} 4.371602{col 67}{space 3} 4.575447 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Anderson canon. corr. LM statistic):{res}{col 71}3814.574 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.0000 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Cragg-Donald Wald F statistic):{res}{col 71}2477.473 {txt}Stock-Yogo weak ID test critical values:{col 42}10% maximal IV size{res}{col 73} 19.93 {txt}{col 42}15% maximal IV size{res}{col 73} 11.59 {txt}{col 42}20% maximal IV size{res}{col 73} 8.75 {txt}{col 42}25% maximal IV size{res}{col 73} 7.25 {txt}Source: Stock-Yogo (2005). Reproduced by permission. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 0.731 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.3926 {txt}{hline 78} Instrumented:{col 23}s80 Included instruments:{col 23}expr80 tenure80 rns80 smsa80 Excluded instruments:{col 23}med kww {hline 78} r; t=0.93 20:13:29 {com}. savedresults comp fw e(), include(macros: depvar scalar: N matrix: b V) tol(1e-7) verbose {txt}comparing macro e(depvar) comparing scalar e(N) comparing matrix e(b) comparing matrix e(V) r; t=0.00 20:13:29 {com}. qui duplicates drop {txt}r; t=0.37 20:13:29 {com}. . * sw option for within estimator . webuse grunfeld, clear {txt}r; t=0.31 20:13:30 {com}. center invest mvalue kstock time, casewise double {txt}r; t=0.07 20:13:30 {com}. ivreg2 c_invest (c_mvalue=c_kstock c_time) , robust sw i(company) nocons dofminus(10) {txt}IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Stock-Watson heteroskedastic-robust statistics (BETA VERSION) {col 55}Number of obs = {res} 200 {txt}{col 55}F( 1, 189) = {res} 79.16 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 9359943.917{txt}{col 55}Centered R2 = {res} 0.5883 {txt}Total (uncentered) SS = {res} 9359943.917{txt}{col 55}Uncentered R2 = {res} 0.5883 {txt}Residual SS = {res} 3853579.492{txt}{col 55}Root MSE = {res} 142.4 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 14}{text}{c |}{col 14} Robust {col 1}{text} c_invest{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 4}c_mvalue {c |}{col 14}{result}{space 2} .2044383{col 26}{space 2} .0229166{col 37}{space 1} 8.92{col 46}{space 3}0.000{col 55}{space 3} .1595225{col 67}{space 3} .2493541 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Kleibergen-Paap rk LM statistic):{res}{col 71} 10.398 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.0055 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Kleibergen-Paap rk Wald F statistic):{res}{col 71} 53.782 {txt}Stock-Yogo weak ID test critical values:{col 42}10% maximal IV size{res}{col 73} 19.93 {txt}{col 42}15% maximal IV size{res}{col 73} 11.59 {txt}{col 42}20% maximal IV size{res}{col 73} 8.75 {txt}{col 42}25% maximal IV size{res}{col 73} 7.25 {txt}Source: Stock-Yogo (2005). Reproduced by permission. NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors. {hline 78} {help ivreg2##overidtests:Hansen J statistic} (overidentification test of all instruments):{res}{col 71} 8.089 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.0045 {txt}{hline 78} Instrumented:{col 23}c_mvalue Excluded instruments:{col 23}c_kstock c_time {hline 78} r; t=0.10 20:13:30 {com}. ivreg2 c_invest (c_mvalue=c_kstock c_time) , robust gmm2s sw i(company) nocons dofminus(10) {txt}2-Step GMM estimation {hline 21} Estimates efficient for arbitrary heteroskedasticity Stock-Watson heteroskedastic-robust statistics (BETA VERSION) {col 55}Number of obs = {res} 200 {txt}{col 55}F( 1, 189) = {res} 71.84 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 9359943.917{txt}{col 55}Centered R2 = {res} 0.6484 {txt}Total (uncentered) SS = {res} 9359943.917{txt}{col 55}Uncentered R2 = {res} 0.6484 {txt}Residual SS = {res} 3290546.276{txt}{col 55}Root MSE = {res} 131.6 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 14}{text}{c |}{col 14} Robust {col 1}{text} c_invest{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 4}c_mvalue {c |}{col 14}{result}{space 2} .1897398{col 26}{space 2} .0223263{col 37}{space 1} 8.50{col 46}{space 3}0.000{col 55}{space 3} .1459811{col 67}{space 3} .2334986 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Kleibergen-Paap rk LM statistic):{res}{col 71} 10.398 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.0055 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Kleibergen-Paap rk Wald F statistic):{res}{col 71} 53.782 {txt}Stock-Yogo weak ID test critical values:{col 42}10% maximal IV size{res}{col 73} 19.93 {txt}{col 42}15% maximal IV size{res}{col 73} 11.59 {txt}{col 42}20% maximal IV size{res}{col 73} 8.75 {txt}{col 42}25% maximal IV size{res}{col 73} 7.25 {txt}Source: Stock-Yogo (2005). Reproduced by permission. NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors. {hline 78} {help ivreg2##overidtests:Hansen J statistic} (overidentification test of all instruments):{res}{col 71} 8.089 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.0045 {txt}{hline 78} Instrumented:{col 23}c_mvalue Excluded instruments:{col 23}c_kstock c_time {hline 78} r; t=0.10 20:13:30 {com}. . * ensure no inappropriate dropping of endog. regressors . . qui {c -(} {txt}r; t=0.00 20:13:30 {com}. ivreg invest li2 (li1 lk1 dlk1 = lk2 lk3 lk4 lk5) {txt}Instrumental variables (2SLS) regression Source {c |} SS df MS Number of obs ={res} 150 {txt}{hline 13}{char +}{hline 30} F( 4, 145) ={res} 553.62 {txt} Model {char |} {res} 7901710.45 4 1975427.61 {txt}Prob > F = {res} 0.0000 {txt}Residual {char |} {res} 500872.864 145 3454.29561 {txt}R-squared = {res} 0.9404 {txt}{hline 13}{char +}{hline 30} Adj R-squared = {res} 0.9387 {txt} Total {char |} {res} 8402583.31 149 56393.1766 {txt}Root MSE = {res} 58.773 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} invest{col 14}{c |} Coef.{col 26} Std. Err.{col 37} t{col 46} P>|t|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 9}li1 {c |}{col 14}{result}{space 2} .8137191{col 26}{space 2} .4644613{col 37}{space 1} 1.75{col 46}{space 3}0.082{col 55}{space 3}-.1042699{col 67}{space 3} 1.731708 {txt}{space 9}lk1 {c |}{col 14}{result}{space 2} .1494245{col 26}{space 2} .0507281{col 37}{space 1} 2.95{col 46}{space 3}0.004{col 55}{space 3} .0491625{col 67}{space 3} .2496866 {txt}{space 8}dlk1 {c |}{col 14}{result}{space 2}-1.004987{col 26}{space 2} .3609646{col 37}{space 1} -2.78{col 46}{space 3}0.006{col 55}{space 3}-1.718419{col 67}{space 3}-.2915551 {txt}{space 9}li2 {c |}{col 14}{result}{space 2} .349771{col 26}{space 2} .525725{col 37}{space 1} 0.67{col 46}{space 3}0.507{col 55}{space 3}-.6893033{col 67}{space 3} 1.388845 {txt}{space 7}_cons {c |}{col 14}{result}{space 2}-23.53724{col 26}{space 2} 10.45931{col 37}{space 1} -2.25{col 46}{space 3}0.026{col 55}{space 3}-44.20965{col 67}{space 3}-2.864832 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {p 0 15 4}Instrumented:{space 2}li1 lk1 dlk1{p_end} {p 0 15 4}Instruments:{space 3}li2 lk2 lk3 lk4 lk5{p_end} {hline 78} r; t=0.09 20:13:30 {com}. overid {txt}Tests of overidentifying restrictions: Sargan N*R-sq test {res}{col 25} 4.065{txt} Chi-sq({res}1{txt}){col 47}P-value = {res}0.0438 {txt}Basmann test {res}{col 25} 4.011{txt} Chi-sq({res}1{txt}){col 47}P-value = {res}0.0452 {txt}r; t=0.13 20:13:30 {com}. savedresults save fabio1 e() {txt}r; t=0.00 20:13:30 {com}. ivreg2 invest li2 (li1 lk1 dlk1 = lk2 lk3 lk4 lk5), small {txt}IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 150 {txt}{col 55}F( 4, 145) = {res} 553.62 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 8402583.31{txt}{col 55}Centered R2 = {res} 0.9404 {txt}Total (uncentered) SS = {res} 12450935.38{txt}{col 55}Uncentered R2 = {res} 0.9598 {txt}Residual SS = {res} 500872.8636{txt}{col 55}Root MSE = {res} 58.77 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} invest{col 14}{c |} Coef.{col 26} Std. Err.{col 37} t{col 46} P>|t|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 9}li1 {c |}{col 14}{result}{space 2} .8137191{col 26}{space 2} .4644613{col 37}{space 1} 1.75{col 46}{space 3}0.082{col 55}{space 3}-.1042699{col 67}{space 3} 1.731708 {txt}{space 9}lk1 {c |}{col 14}{result}{space 2} .1494245{col 26}{space 2} .0507281{col 37}{space 1} 2.95{col 46}{space 3}0.004{col 55}{space 3} .0491625{col 67}{space 3} .2496866 {txt}{space 8}dlk1 {c |}{col 14}{result}{space 2}-1.004987{col 26}{space 2} .3609646{col 37}{space 1} -2.78{col 46}{space 3}0.006{col 55}{space 3}-1.718419{col 67}{space 3}-.2915551 {txt}{space 9}li2 {c |}{col 14}{result}{space 2} .349771{col 26}{space 2} .525725{col 37}{space 1} 0.67{col 46}{space 3}0.507{col 55}{space 3}-.6893033{col 67}{space 3} 1.388845 {txt}{space 7}_cons {c |}{col 14}{result}{space 2}-23.53724{col 26}{space 2} 10.45931{col 37}{space 1} -2.25{col 46}{space 3}0.026{col 55}{space 3}-44.20965{col 67}{space 3}-2.864832 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Anderson canon. corr. LM statistic):{res}{col 71} 6.945 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.0310 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Cragg-Donald Wald F statistic):{res}{col 71} 1.748 {txt}Stock-Yogo weak ID test critical values:{col 64} {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 4.065 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.0438 {txt}{hline 78} Instrumented:{col 23}li1 lk1 dlk1 Included instruments:{col 23}li2 Excluded instruments:{col 23}lk2 lk3 lk4 lk5 {hline 78} r; t=0.15 20:13:30 {com}. assert "`e(collin)'" == "" {txt}r; t=0.00 20:13:30 {com}. savedresults compare fabio1 e(), include(macros: inst instd depvar scalar:N matrix: b) tol(1e-7) {txt}r; t=0.00 20:13:30 {com}. . * HAC option, with explicit and auto bw . . use http://fmwww.bc.edu/ec-p/data/wooldridge/phillips.dta, clear {txt}r; t=0.21 20:13:31 {com}. tsset year, yearly {res}{txt}{col 9}time variable: {res}{col 25}year, 1948 to 1996 {txt}{col 17}delta: {res}1 year {txt}r; t=0.05 20:13:31 {com}. which newey {txt}/Applications/Stata/ado/base/n/newey.ado {res}*! version 1.5.5 22jun2009 {txt}r; t=0.06 20:13:31 {com}. newey cinf unem, lag(2) {txt}Regression with Newey-West standard errors{col 53}Number of obs ={res} 48 {txt}maximum lag: {res}2{col 53}{txt}F( 1, 46){col 68}={res} 6.00 {col 53}{txt}Prob > F = {res}0.0182 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 14}{text}{c |}{col 14} Newey-West {col 1}{text} cinf{col 14}{c |} Coef.{col 26} Std. Err.{col 37} t{col 46} P>|t|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 8}unem {c |}{col 14}{result}{space 2}-.5425869{col 26}{space 2} .2214815{col 37}{space 1} -2.45{col 46}{space 3}0.018{col 55}{space 3} -.988406{col 67}{space 3}-.0967679 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 3.030581{col 26}{space 2} 1.389486{col 37}{space 1} 2.18{col 46}{space 3}0.034{col 55}{space 3} .2336905{col 67}{space 3} 5.827471 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} r; t=0.09 20:13:31 {com}. savedresults save newey e() {txt}r; t=0.00 20:13:31 {com}. ivreg2 cinf unem, bw(3) kernel(bartlett) robust small {txt}OLS estimation {hline 14} Estimates efficient for homoskedasticity only Statistics robust to heteroskedasticity and autocorrelation kernel=Bartlett; bandwidth= 3 time variable (t): {res}year {txt} {col 55}Number of obs = {res} 48 {txt}{col 55}F( 1, 46) = {res} 6.00 {txt}{col 55}Prob > F = {res} 0.0182 {txt}Total (centered) SS = {res} 309.6881289{txt}{col 55}Centered R2 = {res} 0.1078 {txt}Total (uncentered) SS = {res} 310.2300041{txt}{col 55}Uncentered R2 = {res} 0.1094 {txt}Residual SS = {res} 276.3051302{txt}{col 55}Root MSE = {res} 2.451 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 14}{text}{c |}{col 14} Robust {col 1}{text} cinf{col 14}{c |} Coef.{col 26} Std. Err.{col 37} t{col 46} P>|t|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 8}unem {c |}{col 14}{result}{space 2}-.5425869{col 26}{space 2} .2214815{col 37}{space 1} -2.45{col 46}{space 3}0.018{col 55}{space 3} -.988406{col 67}{space 3}-.0967679 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 3.030581{col 26}{space 2} 1.389486{col 37}{space 1} 2.18{col 46}{space 3}0.034{col 55}{space 3} .2336905{col 67}{space 3} 5.827471 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} Included instruments:{col 23}unem {hline 78} r; t=0.09 20:13:31 {com}. savedresults comp newey e(), include(macros: depvar scalar: N matrix: b V) tol(1e-7) verbose {txt}comparing macro e(depvar) comparing scalar e(N) comparing matrix e(b) comparing matrix e(V) r; t=0.00 20:13:31 {com}. . ivreg2 cinf (unem=L(1/2).unem), bw(auto) {res} {txt}IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics robust to autocorrelation kernel=Bartlett; bandwidth= 17 Automatic bw selection according to Newey-West (1994) time variable (t): {res}year {txt} {col 55}Number of obs = {res} 47 {txt}{col 55}F( 1, 45) = {res} 3.49 {txt}{col 55}Prob > F = {res} 0.0683 {txt}Total (centered) SS = {res} 223.3646815{txt}{col 55}Centered R2 = {res} 0.1362 {txt}Total (uncentered) SS = {res} 223.7400005{txt}{col 55}Uncentered R2 = {res} 0.1376 {txt}Residual SS = {res} 192.9432814{txt}{col 55}Root MSE = {res} 2.026 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} cinf{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 8}unem {c |}{col 14}{result}{space 2}-.4079928{col 26}{space 2} .2137385{col 37}{space 1} -1.91{col 46}{space 3}0.056{col 55}{space 3}-.8269125{col 67}{space 3} .010927 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 2.447039{col 26}{space 2} 1.248642{col 37}{space 1} 1.96{col 46}{space 3}0.050{col 55}{space 3}-.0002538{col 67}{space 3} 4.894332 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Kleibergen-Paap rk LM statistic):{res}{col 71} 15.269 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.0005 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Kleibergen-Paap rk Wald F statistic):{res}{col 71} 29.145 {txt}Stock-Yogo weak ID test critical values:{col 42}10% maximal IV size{res}{col 73} 19.93 {txt}{col 42}15% maximal IV size{res}{col 73} 11.59 {txt}{col 42}20% maximal IV size{res}{col 73} 8.75 {txt}{col 42}25% maximal IV size{res}{col 73} 7.25 {txt}Source: Stock-Yogo (2005). Reproduced by permission. NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 3.445 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.0635 {txt}{hline 78} Instrumented:{col 23}unem Excluded instruments:{col 23}L.unem L2.unem {hline 78} r; t=3.08 20:13:34 {com}. ivreg2 cinf (unem=L(1/2).unem), bw(auto) kernel(par) {res} {txt}IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics robust to autocorrelation kernel=Parzen; bandwidth= 18 Automatic bw selection according to Newey-West (1994) time variable (t): {res}year {txt} {col 55}Number of obs = {res} 47 {txt}{col 55}F( 1, 45) = {res} 3.60 {txt}{col 55}Prob > F = {res} 0.0642 {txt}Total (centered) SS = {res} 223.3646815{txt}{col 55}Centered R2 = {res} 0.1362 {txt}Total (uncentered) SS = {res} 223.7400005{txt}{col 55}Uncentered R2 = {res} 0.1376 {txt}Residual SS = {res} 192.9432814{txt}{col 55}Root MSE = {res} 2.026 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} cinf{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 8}unem {c |}{col 14}{result}{space 2}-.4079928{col 26}{space 2} .210372{col 37}{space 1} -1.94{col 46}{space 3}0.052{col 55}{space 3}-.8203143{col 67}{space 3} .0043287 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 2.447039{col 26}{space 2} 1.227558{col 37}{space 1} 1.99{col 46}{space 3}0.046{col 55}{space 3} .0410701{col 67}{space 3} 4.853008 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Kleibergen-Paap rk LM statistic):{res}{col 71} 15.415 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.0004 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Kleibergen-Paap rk Wald F statistic):{res}{col 71} 29.356 {txt}Stock-Yogo weak ID test critical values:{col 42}10% maximal IV size{res}{col 73} 19.93 {txt}{col 42}15% maximal IV size{res}{col 73} 11.59 {txt}{col 42}20% maximal IV size{res}{col 73} 8.75 {txt}{col 42}25% maximal IV size{res}{col 73} 7.25 {txt}Source: Stock-Yogo (2005). Reproduced by permission. NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 3.438 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.0637 {txt}{hline 78} Instrumented:{col 23}unem Excluded instruments:{col 23}L.unem L2.unem {hline 78} r; t=3.25 20:13:37 {com}. ivreg2 cinf unem, bw(auto) kernel(qua) {res}Computing kernel ... {txt}OLS estimation {hline 14} Estimates efficient for homoskedasticity only Statistics robust to autocorrelation kernel=Quadratic spectral; bandwidth= 16 Automatic bw selection according to Newey-West (1994) time variable (t): {res}year {txt} {col 55}Number of obs = {res} 48 {txt}{col 55}F( 1, 46) = {res} 7.20 {txt}{col 55}Prob > F = {res} 0.0101 {txt}Total (centered) SS = {res} 309.6881289{txt}{col 55}Centered R2 = {res} 0.1078 {txt}Total (uncentered) SS = {res} 310.2300041{txt}{col 55}Uncentered R2 = {res} 0.1094 {txt}Residual SS = {res} 276.3051302{txt}{col 55}Root MSE = {res} 2.399 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} cinf{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 8}unem {c |}{col 14}{result}{space 2}-.5425869{col 26}{space 2} .1980143{col 37}{space 1} -2.74{col 46}{space 3}0.006{col 55}{space 3}-.9306879{col 67}{space 3} -.154486 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 3.030581{col 26}{space 2} 1.187293{col 37}{space 1} 2.55{col 46}{space 3}0.011{col 55}{space 3} .7035291{col 67}{space 3} 5.357632 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} Included instruments:{col 23}unem {hline 78} r; t=0.22 20:13:37 {com}. ivreg2 cinf (unem=L(1/2).unem), bw(auto) kernel(qua) {res}Computing kernel ... {txt}IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics robust to autocorrelation kernel=Quadratic spectral; bandwidth= 9.1 Automatic bw selection according to Newey-West (1994) time variable (t): {res}year {txt} {col 55}Number of obs = {res} 47 {txt}{col 55}F( 1, 45) = {res} 3.61 {txt}{col 55}Prob > F = {res} 0.0637 {txt}Total (centered) SS = {res} 223.3646815{txt}{col 55}Centered R2 = {res} 0.1362 {txt}Total (uncentered) SS = {res} 223.7400005{txt}{col 55}Uncentered R2 = {res} 0.1376 {txt}Residual SS = {res} 192.9432814{txt}{col 55}Root MSE = {res} 2.026 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} cinf{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 8}unem {c |}{col 14}{result}{space 2}-.4079928{col 26}{space 2} .2099958{col 37}{space 1} -1.94{col 46}{space 3}0.052{col 55}{space 3} -.819577{col 67}{space 3} .0035914 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 2.447039{col 26}{space 2} 1.224977{col 37}{space 1} 2.00{col 46}{space 3}0.046{col 55}{space 3} .0461277{col 67}{space 3} 4.847951 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Kleibergen-Paap rk LM statistic):{res}{col 71} 15.471 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.0004 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Kleibergen-Paap rk Wald F statistic):{res}{col 71} 29.505 {txt}Stock-Yogo weak ID test critical values:{col 42}10% maximal IV size{res}{col 73} 19.93 {txt}{col 42}15% maximal IV size{res}{col 73} 11.59 {txt}{col 42}20% maximal IV size{res}{col 73} 8.75 {txt}{col 42}25% maximal IV size{res}{col 73} 7.25 {txt}Source: Stock-Yogo (2005). Reproduced by permission. NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 3.457 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.0630 {txt}{hline 78} Instrumented:{col 23}unem Excluded instruments:{col 23}L.unem L2.unem {hline 78} r; t=5.06 20:13:42 {com}. . * equivalence of ivendog and orthog option (Wooldridge 2002, pp.59, 61) . . use http://fmwww.bc.edu/ec-p/data/wooldridge/mroz.dta {txt}r; t=0.16 20:13:43 {com}. ivreg2 lwage exper expersq (educ=age kidslt6 kidsge6) {txt}IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 428 {txt}{col 55}F( 3, 424) = {res} 7.49 {txt}{col 55}Prob > F = {res} 0.0001 {txt}Total (centered) SS = {res} 223.3274513{txt}{col 55}Centered R2 = {res} 0.1556 {txt}Total (uncentered) SS = {res} 829.594813{txt}{col 55}Uncentered R2 = {res} 0.7727 {txt}Residual SS = {res} 188.5780571{txt}{col 55}Root MSE = {res} .6638 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} lwage{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 8}educ {c |}{col 14}{result}{space 2} .0964002{col 26}{space 2} .0814278{col 37}{space 1} 1.18{col 46}{space 3}0.236{col 55}{space 3}-.0631952{col 67}{space 3} .2559957 {txt}{space 7}exper {c |}{col 14}{result}{space 2} .042193{col 26}{space 2} .0138831{col 37}{space 1} 3.04{col 46}{space 3}0.002{col 55}{space 3} .0149827{col 67}{space 3} .0694033 {txt}{space 5}expersq {c |}{col 14}{result}{space 2}-.0008323{col 26}{space 2} .0004204{col 37}{space 1} -1.98{col 46}{space 3}0.048{col 55}{space 3}-.0016563{col 67}{space 3}-8.33e-06 {txt}{space 7}_cons {c |}{col 14}{result}{space 2}-.3848718{col 26}{space 2} 1.011551{col 37}{space 1} -0.38{col 46}{space 3}0.704{col 55}{space 3}-2.367476{col 67}{space 3} 1.597732 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Anderson canon. corr. LM statistic):{res}{col 71} 12.816 {txt}{col 52}Chi-sq({res}3{txt}) P-val = {res}{col 73}0.0051 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Cragg-Donald Wald F statistic):{res}{col 71} 4.342 {txt}Stock-Yogo weak ID test critical values:{col 43}5% maximal IV relative bias{res}{col 73} 13.91 {txt}{col 42}10% maximal IV relative bias{res}{col 73} 9.08 {txt}{col 42}20% maximal IV relative bias{res}{col 73} 6.46 {txt}{col 42}30% maximal IV relative bias{res}{col 73} 5.39 {txt}{col 42}10% maximal IV size{res}{col 73} 22.30 {txt}{col 42}15% maximal IV size{res}{col 73} 12.83 {txt}{col 42}20% maximal IV size{res}{col 73} 9.54 {txt}{col 42}25% maximal IV size{res}{col 73} 7.80 {txt}Source: Stock-Yogo (2005). Reproduced by permission. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 0.702 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.7042 {txt}{hline 78} Instrumented:{col 23}educ Included instruments:{col 23}exper expersq Excluded instruments:{col 23}age kidslt6 kidsge6 {hline 78} r; t=0.21 20:13:43 {com}. // CANNOT EXEC WITH ivreg2--NOT SET UP TO RUN > ivreg2 . /* > which ivendog > ivendog educ > local rdf = r(df) > local dwh = r(DWH) > local dwhp = r(DWHp) > ivreg2 lwage exper expersq educ (=age kidslt6 kidsge6), orthog(educ) > assert `rdf' == e(cstatdf) > assert reldif(`dwh',e(cstat)) < 1.0e-5 > assert reldif(`dwhp',e(cstatp)) < 1.0e-5 > */ . . * equivalence of coviv+liml and cue options . ivreg2 lwage exper expersq (educ=age kidslt6 kidsge6), liml coviv {txt}LIML estimation {hline 15} k =1.00164 lambda =1.00164 Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 428 {txt}{col 55}F( 3, 424) = {res} 7.49 {txt}{col 55}Prob > F = {res} 0.0001 {txt}Total (centered) SS = {res} 223.3274513{txt}{col 55}Centered R2 = {res} 0.1555 {txt}Total (uncentered) SS = {res} 829.594813{txt}{col 55}Uncentered R2 = {res} 0.7726 {txt}Residual SS = {res} 188.6105763{txt}{col 55}Root MSE = {res} .6638 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} lwage{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 8}educ {c |}{col 14}{result}{space 2} .0957581{col 26}{space 2} .0814348{col 37}{space 1} 1.18{col 46}{space 3}0.240{col 55}{space 3}-.0638511{col 67}{space 3} .2553674 {txt}{space 7}exper {c |}{col 14}{result}{space 2} .0422292{col 26}{space 2} .0138843{col 37}{space 1} 3.04{col 46}{space 3}0.002{col 55}{space 3} .0150166{col 67}{space 3} .0694419 {txt}{space 5}expersq {c |}{col 14}{result}{space 2}-.0008335{col 26}{space 2} .0004204{col 37}{space 1} -1.98{col 46}{space 3}0.047{col 55}{space 3}-.0016576{col 67}{space 3}-9.48e-06 {txt}{space 7}_cons {c |}{col 14}{result}{space 2}-.3769294{col 26}{space 2} 1.011638{col 37}{space 1} -0.37{col 46}{space 3}0.709{col 55}{space 3}-2.359704{col 67}{space 3} 1.605845 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Anderson canon. corr. LM statistic):{res}{col 71} 12.816 {txt}{col 52}Chi-sq({res}3{txt}) P-val = {res}{col 73}0.0051 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Cragg-Donald Wald F statistic):{res}{col 71} 4.342 {txt}Stock-Yogo weak ID test critical values:{col 42}10% maximal LIML size{res}{col 73} 6.46 {txt}{col 42}15% maximal LIML size{res}{col 73} 4.36 {txt}{col 42}20% maximal LIML size{res}{col 73} 3.69 {txt}{col 42}25% maximal LIML size{res}{col 73} 3.32 {txt}Source: Stock-Yogo (2005). Reproduced by permission. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 0.701 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.7042 {txt}{hline 78} {help ivreg2##liml:Anderson-Rubin statistic} (overidentification test of all instruments):{res}{col 72} 0.702 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.7040 {txt}{hline 78} Instrumented:{col 23}educ Included instruments:{col 23}exper expersq Excluded instruments:{col 23}age kidslt6 kidsge6 {hline 78} r; t=0.13 20:13:43 {com}. savedresults save limlcov e() {txt}r; t=0.00 20:13:43 {com}. ivreg2 lwage exper expersq (educ=age kidslt6 kidsge6), cue {txt}initial: neg GMM obj function -J = {res}-.70151243 {txt}rescale: neg GMM obj function -J = {res}-.70151243 {txt}Iteration 0:{col 16}neg GMM obj function -J = {res}-.70151243{txt} Iteration 1:{col 16}neg GMM obj function -J = {res}-.70145365{txt} Iteration 2:{col 16}neg GMM obj function -J = {res}-.70145365{txt} CUE estimation {hline 14} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 428 {txt}{col 55}F( 3, 424) = {res} 7.49 {txt}{col 55}Prob > F = {res} 0.0001 {txt}Total (centered) SS = {res} 223.3274513{txt}{col 55}Centered R2 = {res} 0.1555 {txt}Total (uncentered) SS = {res} 829.594813{txt}{col 55}Uncentered R2 = {res} 0.7726 {txt}Residual SS = {res} 188.6105763{txt}{col 55}Root MSE = {res} .6638 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} lwage{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 8}educ {c |}{col 14}{result}{space 2} .0957581{col 26}{space 2} .0814348{col 37}{space 1} 1.18{col 46}{space 3}0.240{col 55}{space 3}-.0638511{col 67}{space 3} .2553674 {txt}{space 7}exper {c |}{col 14}{result}{space 2} .0422292{col 26}{space 2} .0138843{col 37}{space 1} 3.04{col 46}{space 3}0.002{col 55}{space 3} .0150166{col 67}{space 3} .0694419 {txt}{space 5}expersq {c |}{col 14}{result}{space 2}-.0008335{col 26}{space 2} .0004204{col 37}{space 1} -1.98{col 46}{space 3}0.047{col 55}{space 3}-.0016576{col 67}{space 3}-9.48e-06 {txt}{space 7}_cons {c |}{col 14}{result}{space 2}-.3769294{col 26}{space 2} 1.011638{col 37}{space 1} -0.37{col 46}{space 3}0.709{col 55}{space 3}-2.359704{col 67}{space 3} 1.605845 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Anderson canon. corr. LM statistic):{res}{col 71} 12.816 {txt}{col 52}Chi-sq({res}3{txt}) P-val = {res}{col 73}0.0051 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Cragg-Donald Wald F statistic):{res}{col 71} 4.342 {txt}Stock-Yogo weak ID test critical values:{col 42}10% maximal LIML size{res}{col 73} 6.46 {txt}{col 42}15% maximal LIML size{res}{col 73} 4.36 {txt}{col 42}20% maximal LIML size{res}{col 73} 3.69 {txt}{col 42}25% maximal LIML size{res}{col 73} 3.32 {txt}Source: Stock-Yogo (2005). Reproduced by permission. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 0.701 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.7042 {txt}{hline 78} Instrumented:{col 23}educ Included instruments:{col 23}exper expersq Excluded instruments:{col 23}age kidslt6 kidsge6 {hline 78} r; t=2.85 20:13:46 {com}. savedresults comp limlcov e(), include(macros: inst instd depvar scalar: N rmse matrix: b V) tol(1e-7) verbose {txt}comparing macro e(inst) comparing macro e(instd) comparing macro e(depvar) comparing scalar e(N) comparing scalar e(rmse) comparing matrix e(b) comparing matrix e(V) r; t=0.00 20:13:46 {com}. * savedresults save ols e() . ivreg2 lwage exper expersq educ (=age kidslt6 kidsge6),small {txt}OLS estimation {hline 14} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 428 {txt}{col 55}F( 3, 424) = {res} 26.29 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 223.3274513{txt}{col 55}Centered R2 = {res} 0.1568 {txt}Total (uncentered) SS = {res} 829.594813{txt}{col 55}Uncentered R2 = {res} 0.7730 {txt}Residual SS = {res} 188.3051489{txt}{col 55}Root MSE = {res} .6664 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} lwage{col 14}{c |} Coef.{col 26} Std. Err.{col 37} t{col 46} P>|t|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 7}exper {c |}{col 14}{result}{space 2} .0415665{col 26}{space 2} .0131752{col 37}{space 1} 3.15{col 46}{space 3}0.002{col 55}{space 3} .0156697{col 67}{space 3} .0674633 {txt}{space 5}expersq {c |}{col 14}{result}{space 2}-.0008112{col 26}{space 2} .0003932{col 37}{space 1} -2.06{col 46}{space 3}0.040{col 55}{space 3}-.0015841{col 67}{space 3}-.0000382 {txt}{space 8}educ {c |}{col 14}{result}{space 2} .1074896{col 26}{space 2} .0141465{col 37}{space 1} 7.60{col 46}{space 3}0.000{col 55}{space 3} .0796837{col 67}{space 3} .1352956 {txt}{space 7}_cons {c |}{col 14}{result}{space 2}-.5220407{col 26}{space 2} .1986321{col 37}{space 1} -2.63{col 46}{space 3}0.009{col 55}{space 3}-.9124668{col 67}{space 3}-.1316145 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##overidtests:Sargan statistic} (Lagrange multiplier test of excluded instruments):{res}{col 71} 0.722 {txt}{col 52}Chi-sq({res}3{txt}) P-val = {res}{col 73}0.8681 {txt}{hline 78} Included instruments:{col 23}exper expersq educ Excluded instruments:{col 23}age kidslt6 kidsge6 {hline 78} r; t=0.11 20:13:46 {com}. * savedresults comp ols e(), include(macros: depvar scalar: N df_r matrix: b V) tol(1e-7) verbose . . * 1.0.13 cue with nocons . ivreg2 lwage exper expersq (educ=age kidslt6 kidsge6), cue nocons {txt}initial: neg GMM obj function -J = {res} -.5040751 {txt}rescale: neg GMM obj function -J = {res} -.5040751 {txt}Iteration 0:{col 16}neg GMM obj function -J = {res} -.5040751{txt} Iteration 1:{col 16}neg GMM obj function -J = {res}-.50406949{txt} Iteration 2:{col 16}neg GMM obj function -J = {res}-.50406949{txt} CUE estimation {hline 14} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 428 {txt}{col 55}F( 3, 425) = {res} 448.37 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 223.3274513{txt}{col 55}Centered R2 = {res} 0.1377 {txt}Total (uncentered) SS = {res} 829.594813{txt}{col 55}Uncentered R2 = {res} 0.7679 {txt}Residual SS = {res} 192.5827982{txt}{col 55}Root MSE = {res} .6708 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} lwage{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 8}educ {c |}{col 14}{result}{space 2} .0636867{col 26}{space 2} .0082765{col 37}{space 1} 7.69{col 46}{space 3}0.000{col 55}{space 3} .0474652{col 67}{space 3} .0799083 {txt}{space 7}exper {c |}{col 14}{result}{space 2} .0465055{col 26}{space 2} .0145299{col 37}{space 1} 3.20{col 46}{space 3}0.001{col 55}{space 3} .0180274{col 67}{space 3} .0749835 {txt}{space 5}expersq {c |}{col 14}{result}{space 2}-.0009571{col 26}{space 2} .0004262{col 37}{space 1} -2.25{col 46}{space 3}0.025{col 55}{space 3}-.0017926{col 67}{space 3}-.0001217 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Anderson canon. corr. LM statistic):{res}{col 71} 283.708 {txt}{col 52}Chi-sq({res}3{txt}) P-val = {res}{col 73}0.0000 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Cragg-Donald Wald F statistic):{res}{col 71} 277.235 {txt}Stock-Yogo weak ID test critical values:{col 42}10% maximal LIML size{res}{col 73} 6.46 {txt}{col 42}15% maximal LIML size{res}{col 73} 4.36 {txt}{col 42}20% maximal LIML size{res}{col 73} 3.69 {txt}{col 42}25% maximal LIML size{res}{col 73} 3.32 {txt}Source: Stock-Yogo (2005). Reproduced by permission. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 0.504 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.7772 {txt}{hline 78} Instrumented:{col 23}educ Included instruments:{col 23}exper expersq Excluded instruments:{col 23}age kidslt6 kidsge6 {hline 78} r; t=1.98 20:13:48 {com}. . * 1.0.13 b0 option . ivreg2 lwage exper expersq (educ=age kidslt6 kidsge6) {txt}IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 428 {txt}{col 55}F( 3, 424) = {res} 7.49 {txt}{col 55}Prob > F = {res} 0.0001 {txt}Total (centered) SS = {res} 223.3274513{txt}{col 55}Centered R2 = {res} 0.1556 {txt}Total (uncentered) SS = {res} 829.594813{txt}{col 55}Uncentered R2 = {res} 0.7727 {txt}Residual SS = {res} 188.5780571{txt}{col 55}Root MSE = {res} .6638 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} lwage{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 8}educ {c |}{col 14}{result}{space 2} .0964002{col 26}{space 2} .0814278{col 37}{space 1} 1.18{col 46}{space 3}0.236{col 55}{space 3}-.0631952{col 67}{space 3} .2559957 {txt}{space 7}exper {c |}{col 14}{result}{space 2} .042193{col 26}{space 2} .0138831{col 37}{space 1} 3.04{col 46}{space 3}0.002{col 55}{space 3} .0149827{col 67}{space 3} .0694033 {txt}{space 5}expersq {c |}{col 14}{result}{space 2}-.0008323{col 26}{space 2} .0004204{col 37}{space 1} -1.98{col 46}{space 3}0.048{col 55}{space 3}-.0016563{col 67}{space 3}-8.33e-06 {txt}{space 7}_cons {c |}{col 14}{result}{space 2}-.3848718{col 26}{space 2} 1.011551{col 37}{space 1} -0.38{col 46}{space 3}0.704{col 55}{space 3}-2.367476{col 67}{space 3} 1.597732 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Anderson canon. corr. LM statistic):{res}{col 71} 12.816 {txt}{col 52}Chi-sq({res}3{txt}) P-val = {res}{col 73}0.0051 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Cragg-Donald Wald F statistic):{res}{col 71} 4.342 {txt}Stock-Yogo weak ID test critical values:{col 43}5% maximal IV relative bias{res}{col 73} 13.91 {txt}{col 42}10% maximal IV relative bias{res}{col 73} 9.08 {txt}{col 42}20% maximal IV relative bias{res}{col 73} 6.46 {txt}{col 42}30% maximal IV relative bias{res}{col 73} 5.39 {txt}{col 42}10% maximal IV size{res}{col 73} 22.30 {txt}{col 42}15% maximal IV size{res}{col 73} 12.83 {txt}{col 42}20% maximal IV size{res}{col 73} 9.54 {txt}{col 42}25% maximal IV size{res}{col 73} 7.80 {txt}Source: Stock-Yogo (2005). Reproduced by permission. {hline 78} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 0.702 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.7042 {txt}{hline 78} Instrumented:{col 23}educ Included instruments:{col 23}exper expersq Excluded instruments:{col 23}age kidslt6 kidsge6 {hline 78} r; t=0.15 20:13:48 {com}. mat b=e(b) {txt}r; t=0.00 20:13:48 {com}. savedresults save b0 e() {txt}r; t=0.00 20:13:48 {com}. ivreg2 lwage exper expersq (educ=age kidslt6 kidsge6), b0(b) {txt}CUE evaluated at user-supplied parameter vector {hline 47} Estimates based on supplied parameter vector Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 428 {txt}{col 55}F( 3, 424) = {res} 7.49 {txt}{col 55}Prob > F = {res} 0.0001 {txt}Total (centered) SS = {res} 223.3274513{txt}{col 55}Centered R2 = {res} 0.1556 {txt}Total (uncentered) SS = {res} 829.594813{txt}{col 55}Uncentered R2 = {res} 0.7727 {txt}Residual SS = {res} 188.5780571{txt}{col 55}Root MSE = {res} .6638 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} lwage{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 8}educ {c |}{col 14}{result}{space 2} .0964002{col 26}{space 2} .0814278{col 37}{space 1} 1.18{col 46}{space 3}0.236{col 55}{space 3}-.0631952{col 67}{space 3} .2559957 {txt}{space 7}exper {c |}{col 14}{result}{space 2} .042193{col 26}{space 2} .0138831{col 37}{space 1} 3.04{col 46}{space 3}0.002{col 55}{space 3} .0149827{col 67}{space 3} .0694033 {txt}{space 5}expersq {c |}{col 14}{result}{space 2}-.0008323{col 26}{space 2} .0004204{col 37}{space 1} -1.98{col 46}{space 3}0.048{col 55}{space 3}-.0016563{col 67}{space 3}-8.33e-06 {txt}{space 7}_cons {c |}{col 14}{result}{space 2}-.3848718{col 26}{space 2} 1.011551{col 37}{space 1} -0.38{col 46}{space 3}0.704{col 55}{space 3}-2.367476{col 67}{space 3} 1.597732 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##overidtests:Sargan statistic} (overidentification test of all instruments):{res}{col 71} 0.702 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.7042 {txt}{hline 78} Instrumented:{col 23}educ Included instruments:{col 23}exper expersq Excluded instruments:{col 23}age kidslt6 kidsge6 {hline 78} r; t=0.21 20:13:48 {com}. savedresults comp b0 e(), include(scalar: j) tol(1e-7) verbose {txt}comparing scalar e(j) r; t=0.00 20:13:48 {com}. rcof "noi ivreg2 lwage exper expersq (educ=age kidslt6 kidsge6), b0(b) liml" == 198 {err}incompatible options: -b0- and liml {txt}r; t=0.00 20:13:48 {com}. . * ivendog cstat versus ivreg2 cstat . ivreg lwage exper expersq (educ=age kidslt6 kidsge6) {txt}Instrumental variables (2SLS) regression Source {c |} SS df MS Number of obs ={res} 428 {txt}{hline 13}{char +}{hline 30} F( 3, 424) ={res} 7.49 {txt} Model {char |} {res} 34.7493942 3 11.5831314 {txt}Prob > F = {res} 0.0001 {txt}Residual {char |} {res} 188.578057 424 .444759569 {txt}R-squared = {res} 0.1556 {txt}{hline 13}{char +}{hline 30} Adj R-squared = {res} 0.1496 {txt} Total {char |} {res} 223.327451 427 .523015108 {txt}Root MSE = {res} .6669 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} lwage{col 14}{c |} Coef.{col 26} Std. Err.{col 37} t{col 46} P>|t|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 8}educ {c |}{col 14}{result}{space 2} .0964002{col 26}{space 2} .081811{col 37}{space 1} 1.18{col 46}{space 3}0.239{col 55}{space 3}-.0644053{col 67}{space 3} .2572058 {txt}{space 7}exper {c |}{col 14}{result}{space 2} .042193{col 26}{space 2} .0139484{col 37}{space 1} 3.02{col 46}{space 3}0.003{col 55}{space 3} .0147764{col 67}{space 3} .0696096 {txt}{space 5}expersq {c |}{col 14}{result}{space 2}-.0008323{col 26}{space 2} .0004224{col 37}{space 1} -1.97{col 46}{space 3}0.049{col 55}{space 3}-.0016625{col 67}{space 3}-2.08e-06 {txt}{space 7}_cons {c |}{col 14}{result}{space 2}-.3848718{col 26}{space 2} 1.016311{col 37}{space 1} -0.38{col 46}{space 3}0.705{col 55}{space 3}-2.382508{col 67}{space 3} 1.612764 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {p 0 15 4}Instrumented:{space 2}educ{p_end} {p 0 15 4}Instruments:{space 3}exper expersq age kidslt6 kidsge6{p_end} {hline 78} r; t=0.09 20:13:48 {com}. savedresults save ivendog e() {txt}r; t=0.00 20:13:48 {com}. ivendog educ {txt}Tests of endogeneity of: {res}educ {txt}H0: Regressor is exogenous Wu-Hausman F test: {col 39}{res} 0.01892{txt} F({res}1{txt},{res}423{txt}){col 62}P-value = {res}0.89065 {txt} Durbin-Wu-Hausman chi-sq test: {col 39}{res} 0.01915{txt} Chi-sq({res}1{txt}){col 62}P-value = {res}0.88995 {txt}r; t=0.04 20:13:48 {com}. scalar cstat = r(DWH) {txt}r; t=0.00 20:13:48 {com}. scalar cstatp = r(DWHp) {txt}r; t=0.00 20:13:48 {com}. scalar cstatdf = r(df) {txt}r; t=0.00 20:13:48 {com}. ivreg2 lwage exper expersq educ (=age kidslt6 kidsge6), orthog(educ) {txt}OLS estimation {hline 14} Estimates efficient for homoskedasticity only Statistics consistent for homoskedasticity only {col 55}Number of obs = {res} 428 {txt}{col 55}F( 3, 424) = {res} 26.29 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 223.3274513{txt}{col 55}Centered R2 = {res} 0.1568 {txt}Total (uncentered) SS = {res} 829.594813{txt}{col 55}Uncentered R2 = {res} 0.7730 {txt}Residual SS = {res} 188.3051489{txt}{col 55}Root MSE = {res} .6633 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 1}{text} lwage{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 7}exper {c |}{col 14}{result}{space 2} .0415665{col 26}{space 2} .0131135{col 37}{space 1} 3.17{col 46}{space 3}0.002{col 55}{space 3} .0158645{col 67}{space 3} .0672685 {txt}{space 5}expersq {c |}{col 14}{result}{space 2}-.0008112{col 26}{space 2} .0003914{col 37}{space 1} -2.07{col 46}{space 3}0.038{col 55}{space 3}-.0015783{col 67}{space 3}-.0000441 {txt}{space 8}educ {c |}{col 14}{result}{space 2} .1074896{col 26}{space 2} .0140802{col 37}{space 1} 7.63{col 46}{space 3}0.000{col 55}{space 3} .0798929{col 67}{space 3} .1350864 {txt}{space 7}_cons {c |}{col 14}{result}{space 2}-.5220407{col 26}{space 2} .1977017{col 37}{space 1} -2.64{col 46}{space 3}0.008{col 55}{space 3}-.9095289{col 67}{space 3}-.1345525 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##overidtests:Sargan statistic} (Lagrange multiplier test of excluded instruments):{res}{col 71} 0.722 {txt}{col 52}Chi-sq({res}3{txt}) P-val = {res}{col 73}0.8681 {txt}-orthog- option: Sargan statistic (eqn. excluding suspect orthogonality conditions):{res}{col 71} 0.703 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.7038 {help ivreg2##ctest:C statistic}{txt} (exogeneity/orthogonality of suspect instruments): {res}{col 71} 0.019 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.8899 {txt}Instruments tested: {col 23}educ {hline 78} Included instruments:{col 23}exper expersq educ Excluded instruments:{col 23}age kidslt6 kidsge6 {hline 78} r; t=0.15 20:13:49 {com}. savedresults compare ivendog e(), include(macros: depvar scalar: N df_m) tol(1e-7) verbose {txt}comparing macro e(depvar) comparing scalar e(N) comparing scalar e(df_m) r; t=0.00 20:13:49 {com}. assert reldif(e(cstat),cstat) < 1e-7 {txt}r; t=0.00 20:13:49 {com}. assert reldif(e(cstatp),cstatp) < 1e-7 {txt}r; t=0.00 20:13:49 {com}. assert cstatdf == e(cstatdf) {txt}r; t=0.00 20:13:49 {com}. . use http://fmwww.bc.edu/ec-p/data/hayashi/griliches76.dta,clear {txt}(Wages of Very Young Men, Zvi Griliches, J.Pol.Ec. 1976) r; t=0.15 20:13:49 {com}. assert _N == 758 {txt}r; t=0.00 20:13:49 {com}. xi i.year {txt}i.year{col 19}_Iyear_66-73{col 39}(naturally coded; _Iyear_66 omitted) r; t=0.01 20:13:49 {com}. ivreg2 lw s expr tenure rns _I* (iq=kww age), cluster(year) {txt}IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics robust to heteroskedasticity and clustering on year Number of clusters (year) = {res}7 {txt}{col 55}Number of obs = {res} 758 {txt}{col 55}F( 11, 6) = {res} 28.08 {txt}{col 55}Prob > F = {res} 0.0003 {txt}Total (centered) SS = {res} 139.2861498{txt}{col 55}Centered R2 = {res} 0.4110 {txt}Total (uncentered) SS = {res} 24652.24662{txt}{col 55}Uncentered R2 = {res} 0.9967 {txt}Residual SS = {res} 82.0377585{txt}{col 55}Root MSE = {res} .329 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 14}{text}{c |}{col 14} Robust {col 1}{text} lw{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 10}iq {c |}{col 14}{result}{space 2} .0029033{col 26}{space 2} .0044047{col 37}{space 1} 0.66{col 46}{space 3}0.510{col 55}{space 3}-.0057297{col 67}{space 3} .0115362 {txt}{space 11}s {c |}{col 14}{result}{space 2} .0632679{col 26}{space 2} .0176721{col 37}{space 1} 3.58{col 46}{space 3}0.000{col 55}{space 3} .0286312{col 67}{space 3} .0979046 {txt}{space 8}expr {c |}{col 14}{result}{space 2} .0303563{col 26}{space 2} .0118331{col 37}{space 1} 2.57{col 46}{space 3}0.010{col 55}{space 3} .0071639{col 67}{space 3} .0535487 {txt}{space 6}tenure {c |}{col 14}{result}{space 2} .0434166{col 26}{space 2} .0054945{col 37}{space 1} 7.90{col 46}{space 3}0.000{col 55}{space 3} .0326476{col 67}{space 3} .0541855 {txt}{space 9}rns {c |}{col 14}{result}{space 2}-.1170553{col 26}{space 2} .0410638{col 37}{space 1} -2.85{col 46}{space 3}0.004{col 55}{space 3} -.197539{col 67}{space 3}-.0365717 {txt}{space 3}_Iyear_67 {c |}{col 14}{result}{space 2}-.0528787{col 26}{space 2} .0179969{col 37}{space 1} -2.94{col 46}{space 3}0.003{col 55}{space 3} -.088152{col 67}{space 3}-.0176054 {txt}{space 3}_Iyear_68 {c |}{col 14}{result}{space 2} .0809012{col 26}{space 2} .0214341{col 37}{space 1} 3.77{col 46}{space 3}0.000{col 55}{space 3} .0388912{col 67}{space 3} .1229111 {txt}{space 3}_Iyear_69 {c |}{col 14}{result}{space 2} .2007175{col 26}{space 2} .0166742{col 37}{space 1} 12.04{col 46}{space 3}0.000{col 55}{space 3} .1680366{col 67}{space 3} .2333983 {txt}{space 3}_Iyear_70 {c |}{col 14}{result}{space 2} .235459{col 26}{space 2} .0237865{col 37}{space 1} 9.90{col 46}{space 3}0.000{col 55}{space 3} .1888382{col 67}{space 3} .2820797 {txt}{space 3}_Iyear_71 {c |}{col 14}{result}{space 2} .2151632{col 26}{space 2} .0283299{col 37}{space 1} 7.59{col 46}{space 3}0.000{col 55}{space 3} .1596376{col 67}{space 3} .2706889 {txt}{space 3}_Iyear_73 {c |}{col 14}{result}{space 2} .3302726{col 26}{space 2} .0375734{col 37}{space 1} 8.79{col 46}{space 3}0.000{col 55}{space 3} .2566302{col 67}{space 3} .4039151 {txt}{space 7}_cons {c |}{col 14}{result}{space 2} 4.295046{col 26}{space 2} .3529368{col 37}{space 1} 12.17{col 46}{space 3}0.000{col 55}{space 3} 3.603302{col 67}{space 3} 4.986789 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Kleibergen-Paap rk LM statistic):{res}{col 71} 5.653 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.0592 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Kleibergen-Paap rk Wald F statistic):{res}{col 71} 43.005 {txt}Stock-Yogo weak ID test critical values:{col 42}10% maximal IV size{res}{col 73} 19.93 {txt}{col 42}15% maximal IV size{res}{col 73} 11.59 {txt}{col 42}20% maximal IV size{res}{col 73} 8.75 {txt}{col 42}25% maximal IV size{res}{col 73} 7.25 {txt}Source: Stock-Yogo (2005). Reproduced by permission. NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors. {hline 78} {err}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: number of clusters insufficient to calculate robust covariance matrix singleton dummy variable (dummy with one 1 and N-1 0s or vice versa) {help ivreg2##partial:partial} option may address problem. {txt}{hline 78} Instrumented:{col 23}iq Included instruments:{col 23}s expr tenure rns _Iyear_67 _Iyear_68 _Iyear_69 _Iyear_70 {col 23}_Iyear_71 _Iyear_73 Excluded instruments:{col 23}kww age {hline 78} r; t=0.30 20:13:49 {com}. mat bfwl1 = e(b) {txt}r; t=0.00 20:13:49 {com}. mat Vfwl1 = e(V) {txt}r; t=0.00 20:13:49 {com}. savedresults save nofwl e() {txt}r; t=0.04 20:13:49 {com}. ivreg2 lw s expr tenure rns _I* (iq=kww age), cluster(year) partial(_I*) {txt}IV (2SLS) estimation {hline 20} Estimates efficient for homoskedasticity only Statistics robust to heteroskedasticity and clustering on year Number of clusters (year) = {res}7 {txt}{col 55}Number of obs = {res} 758 {txt}{col 55}F( 5, 6) = {res} 84.64 {txt}{col 55}Prob > F = {res} 0.0000 {txt}Total (centered) SS = {res} 104.5637465{txt}{col 55}Centered R2 = {res} 0.2154 {txt}Total (uncentered) SS = {res} 104.5637465{txt}{col 55}Uncentered R2 = {res} 0.2154 {txt}Residual SS = {res} 82.03775814{txt}{col 55}Root MSE = {res} .329 {col 1}{text}{hline 13}{c TT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {col 14}{text}{c |}{col 14} Robust {col 1}{text} lw{col 14}{c |} Coef.{col 26} Std. Err.{col 37} z{col 46} P>|z|{col 55} [95% Conf. Interval] {col 1}{text}{hline 13}{c +}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {space 10}iq {c |}{col 14}{result}{space 2} .0029033{col 26}{space 2} .0044047{col 37}{space 1} 0.66{col 46}{space 3}0.510{col 55}{space 3}-.0057297{col 67}{space 3} .0115362 {txt}{space 11}s {c |}{col 14}{result}{space 2} .0632679{col 26}{space 2} .0176721{col 37}{space 1} 3.58{col 46}{space 3}0.000{col 55}{space 3} .0286312{col 67}{space 3} .0979046 {txt}{space 8}expr {c |}{col 14}{result}{space 2} .0303563{col 26}{space 2} .0118331{col 37}{space 1} 2.57{col 46}{space 3}0.010{col 55}{space 3} .0071639{col 67}{space 3} .0535487 {txt}{space 6}tenure {c |}{col 14}{result}{space 2} .0434166{col 26}{space 2} .0054945{col 37}{space 1} 7.90{col 46}{space 3}0.000{col 55}{space 3} .0326476{col 67}{space 3} .0541855 {txt}{space 9}rns {c |}{col 14}{result}{space 2}-.1170553{col 26}{space 2} .0410638{col 37}{space 1} -2.85{col 46}{space 3}0.004{col 55}{space 3} -.197539{col 67}{space 3}-.0365717 {col 1}{text}{hline 13}{c BT}{hline 11}{hline 11}{hline 9}{hline 9}{hline 12}{hline 12} {help ivreg2##idtest:Underidentification test} (Kleibergen-Paap rk LM statistic):{res}{col 71} 5.653 {txt}{col 52}Chi-sq({res}2{txt}) P-val = {res}{col 73}0.0592 {txt}{hline 78} {help ivreg2##widtest:Weak identification test} (Kleibergen-Paap rk Wald F statistic):{res}{col 71} 43.005 {txt}Stock-Yogo weak ID test critical values:{col 42}10% maximal IV size{res}{col 73} 19.93 {txt}{col 42}15% maximal IV size{res}{col 73} 11.59 {txt}{col 42}20% maximal IV size{res}{col 73} 8.75 {txt}{col 42}25% maximal IV size{res}{col 73} 7.25 {txt}Source: Stock-Yogo (2005). Reproduced by permission. NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors. {hline 78} {help ivreg2##overidtests:Hansen J statistic} (overidentification test of all instruments):{res}{col 71} 5.251 {txt}{col 52}Chi-sq({res}1{txt}) P-val = {res}{col 73}0.0219 {txt}{hline 78} Instrumented:{col 23}iq Included instruments:{col 23}s expr tenure rns Excluded instruments:{col 23}kww age {help ivreg2##partial:Partialled-out}:{col 23}_Iyear_67 _Iyear_68 _Iyear_69 _Iyear_70 _Iyear_71 {col 23}_Iyear_73 _cons {col 23}nb: small-sample adjustments account for {col 23} partialled-out variables {hline 78} r; t=0.30 20:13:49 {com}. mat bfwl2 = e(b) {txt}r; t=0.00 20:13:49 {com}. mat Vfwl2 = e(V) {txt}r; t=0.00 20:13:49 {com}. savedresults compare nofwl e(), include(scalar: N N_clust rss rmse idstat) tol(1e-7) {txt}r; t=0.00 20:13:49 {com}. assert reldif(bfwl1[1,1],bfwl2[1,1]) < 1e-7 {txt}r; t=0.00 20:13:49 {com}. assert reldif(bfwl1[1,2],bfwl2[1,2]) < 1e-7 {txt}r; t=0.00 20:13:49 {com}. assert reldif(Vfwl1[1,1],Vfwl2[1,1]) < 1e-7 {txt}r; t=0.00 20:13:49 {com}. assert reldif(Vfwl1[1,2],Vfwl2[1,2]) < 1e-7 {txt}r; t=0.00 20:13:49 {com}. assert reldif(Vfwl1[2,2],Vfwl2[2,2]) < 1e-7 {txt}r; t=0.00 20:13:49 {com}. . . log close {txt}name: {res} {txt}log: {res}/Users/baum/doc/Stata devel/ Cert scripts/cs_ivreg2.smcl {txt}log type: {res}smcl {txt}closed on: {res}14 Aug 2009, 20:13:49 {txt}{.-} {smcl} {txt}{sf}{ul off}