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* Example generated by -dataex-. To install: ssc install dataex clear input float(y1 y2 x1 x2) int(x3 x4) byte x5 89.1 99.6 96.7 101 12 28 1 99.2 102.6 98.1 100.1 15 35 2 99 125.6 100 100 17 37 3 100 130.1 104.9 90.6 22 42 4 111.6 135.6 104.9 86.5 36 47 5 122.2 142.2 109.5 89.7 45 51 6 117.6 157.6 110.8 90.6 66 56 7 121.1 125.2 112.3 82.8 89 60 8 136 136 109.3 70.1 99 65 9 154.2 154.2 105.3 65.4 118 69 10 153.6 153.6 101.7 61.3 134 74 11 158.5 155.5 95.4 62.5 151 78 12 140.6 140.7 96.4 63.6 167 83 13 136.2 176.2 97.6 52.6 184 87 14 168 185.8 102.4 59.7 200 92 15 154.3 186.3 101.6 59.5 217 96 16 149 189 103.8 61.3 233 101 17 end fvunab Z: c.x3##c.x4##c.x5 di "`Z'" fvunab XY: c.y2##c.x1##c.x2 di "`XY'" local Y y2 di "`Y'" local X: list XY - Y di "`X'" ivreg2 y1 `X' (`Y' = `Z')
HTML Code:
. fvunab Z: c.x3##c.x4##c.x5
. di "`Z'"
x3 x4 c.x3#c.x4 x5 c.x3#c.x5 c.x4#c.x5 c.x3#c.x4#c.x5
.
. fvunab XY: c.y2##c.x1##c.x2
. di "`XY'"
y2 x1 c.y2#c.x1 x2 c.y2#c.x2 c.x1#c.x2 c.y2#c.x1#c.x2
. local Y y2
. di "`Y'"
y2.
. local X: list XY - Y
. di "`X'"
x1 c.y2#c.x1 x2 c.y2#c.x2 c.x1#c.x2 c.y2#c.x1#c.x2
. ivreg2 y1 `X' (`Y' = `Z')
IV (2SLS) estimation
--------------------
Estimates efficient for homoskedasticity only
Statistics consistent for homoskedasticity only
Number of obs = 17
F( 7, 9) = 9.75
Prob > F = 0.0014
Total (centered) SS = 9651.958509 Centered R2 = 0.8824
Total (uncentered) SS = 297003.9601 Uncentered R2 = 0.9962
Residual SS = 1135.353606 Root MSE = 8.172
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y1 | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
y2 | 8.968341 22.04413 0.41 0.684 -34.23736 52.17404
x1 | 20.51112 35.59004 0.58 0.564 -49.24408 90.26632
|
c.y2#c.x1 | -.0988948 .2215917 -0.45 0.655 -.5332067 .335417
|
x2 | 23.23761 40.19759 0.58 0.563 -55.54822 102.0234
|
c.y2#c.x2 | -.1099902 .245903 -0.45 0.655 -.5919513 .3719708
|
c.x1#c.x2 | -.2647819 .4065415 -0.65 0.515 -1.061589 .5320248
|
c.y2#c.x1#|
c.x2 | .001266 .0025016 0.51 0.613 -.0036372 .0061691
|
_cons | -1717.589 3558.498 -0.48 0.629 -8692.117 5256.94
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Underidentification test (Anderson canon. corr. LM statistic): 10.961
Chi-sq(7) P-val = 0.1403
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Weak identification test (Cragg-Donald Wald F statistic): 0.778
Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 19.86
10% maximal IV relative bias 11.29
20% maximal IV relative bias 6.73
30% maximal IV relative bias 5.07
10% maximal IV size 31.50
15% maximal IV size 17.38
20% maximal IV size 12.48
25% maximal IV size 9.93
Source: Stock-Yogo (2005). Reproduced by permission.
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Sargan statistic (overidentification test of all instruments): 9.989
Chi-sq(6) P-val = 0.1251
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Instrumented: y2
Included instruments: x1 c.y2#c.x1 x2 c.y2#c.x2 c.x1#c.x2 c.y2#c.x1#c.x2
Excluded instruments: x3 x4 c.x3#c.x4 x5 c.x3#c.x5 c.x4#c.x5 c.x3#c.x4#c.x5
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