Hi to everyone,
I was wondering if Sargan -Hansen test could be used in the case of a single IV in the extent instrumental variable regression (ivreg2) , or there is an alternative for testing exogeneity of an instrument. Below are the tests from my ivreg2 regression. All of them support the model, except for the Sargan-Hansen test..
Thank you in advance any help.
I was wondering if Sargan -Hansen test could be used in the case of a single IV in the extent instrumental variable regression (ivreg2) , or there is an alternative for testing exogeneity of an instrument. Below are the tests from my ivreg2 regression. All of them support the model, except for the Sargan-Hansen test..
Code:
----------------------------------------------------------------------------- Underidentification test (Kleibergen-Paap rk LM statistic): 392.487 Chi-sq(1) P-val = 0.0000 ------------------------------------------------------------------------------ Weak identification test (Kleibergen-Paap rk Wald F statistic): 7515.033 Stock-Yogo weak ID test critical values: 10% maximal IV size 16.38 15% maximal IV size 8.96 20% maximal IV size 6.66 25% maximal IV size 5.53 Source: Stock-Yogo (2005). Reproduced by permission. NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 0.000 (equation exactly identified) -endog- option: Endogeneity test of endogenous regressors: 77.328 Chi-sq(1) P-val = 0.0000 Regressors tested: lnl ------------------------------------------------------------------------------ Instrumented: lnl Included instruments: lnk lnm ln_K_l1 ln_M_l1 km_l1 k2_l1 m2_l1 k2m_l1 km2_l1 k3_l1 m3_l1 ln_M_l2 Excluded instruments: ln_L_b_l1 ------------------------------------------------------------------------------ (0 real changes made) Estimating confidence sets over 100 grid points ----+--- 1 ---+--- 2 ---+--- 3 ---+--- 4 ---+--- 5 .................................................. 50 .................................................. 100 Weak instrument robust tests and confidence sets for linear IV H0: beta[lnrev:lnl] = 0 ------------------------------------------------------------------------------ Test | Statistic p-value | Conf. level Conf. Set ------+---------------------------------+------------------------------------- AR | chi2(1) = 39.67 0.0000 | 95% [ .066825, .121308] ------+---------------------------------+------------------------------------- Wald | chi2(1) = 44.88 0.0000 | 95% [ .066547, .121586] ------------------------------------------------------------------------------ Confidence sets estimated for 100 points in [ .039027, .149106]. Number of obs N = 6752. Method = lagrange multiplier (LM). Tests robust to heteroskedasticity and clustering on id (N_clust=1265). Wald statistic in last row is based on ivreg2 estimation and is not robust to weak instruments.
Comment