Hello,
I would like some clarification on the interpretation of tests after running xtivreg2 with the -endog option
Below is my model & output:
Here for the endogeneity test - I get a p-value of 0.1192, therefore I cannot reject the null hypothesis that
1. Does this mean that my regressors namely,
are exogenous and thus there is no need to use instrumental variables or rather that my instruments are suitable.
For the hansen j statistic -i get a p-value of 0.8946, therefore i cannot reject the null hypothesis that
2. Does this mean that my instruments are valid, and not over-identified?
Thank you,
I would like some clarification on the interpretation of tests after running xtivreg2 with the -endog option
Below is my model & output:
Code:
xtivreg2 dly dlpop dlk lly ic ec corr mip gs (dlm lm gsinter corrinter mipinter = onset nofc lonset lnofc ivgsinter1 ivgsinter2 ivcorrinter1
> ivcorrinter2 ivmipinter1 ivmipinter2), fe cluster(country_id) small endog(dlm lm gsinter corrinter mipinter)
FIXED EFFECTS ESTIMATION
------------------------
Number of groups = 86 Obs per group: min = 4
avg = 18.6
max = 20
IV (2SLS) estimation
--------------------
Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity and clustering on country_id
Number of clusters (country_id) = 86 Number of obs = 1602
F( 13, 85) = 4.12
Prob > F = 0.0000
Total (centered) SS = 1.597127942 Centered R2 = -0.7060
Total (uncentered) SS = 1.597127942 Uncentered R2 = -0.7060
Residual SS = 2.724638077 Root MSE = .04258
------------------------------------------------------------------------------
| Robust
dly | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
dlm | -.3289986 .383945 -0.86 0.394 -1.092384 .4343869
lm | -.0734162 .0644577 -1.14 0.258 -.2015755 .054743
gsinter | .0925139 .1210401 0.76 0.447 -.1481462 .333174
corrinter | .1488751 .2384394 0.62 0.534 -.3252063 .6229564
mipinter | -.0937414 .1413317 -0.66 0.509 -.3747468 .1872639
dlpop | -1.424706 .4682995 -3.04 0.003 -2.355811 -.493601
dlk | .026437 .0260477 1.01 0.313 -.0253528 .0782268
lly | -.0531175 .028976 -1.83 0.070 -.1107296 .0044945
ic | -.0041952 .0018853 -2.23 0.029 -.0079438 -.0004467
ec | -.0015734 .0019708 -0.80 0.427 -.0054919 .0023452
corr | .0000575 .0083722 0.01 0.995 -.0165887 .0167038
mip | -.0008769 .0053712 -0.16 0.871 -.0115562 .0098025
gs | -.002366 .0067116 -0.35 0.725 -.0157104 .0109784
------------------------------------------------------------------------------
Underidentification test (Kleibergen-Paap rk LM statistic): 1.530
Chi-sq(6) P-val = 0.9575
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic): 0.123
(Kleibergen-Paap rk Wald F statistic): 0.159
Stock-Yogo weak ID test critical values: <not available>
------------------------------------------------------------------------------
Hansen J statistic (overidentification test of all instruments): 1.654
Chi-sq(5) P-val = 0.8946
-endog- option:
Endogeneity test of endogenous regressors: 8.757
Chi-sq(5) P-val = 0.1192
Regressors tested: dlm lm gsinter corrinter mipinter
------------------------------------------------------------------------------
Instrumented: dlm lm gsinter corrinter mipinter
Included instruments: dlpop dlk lly ic ec corr mip gs
Excluded instruments: onset nofc lonset lnofc ivgsinter1 ivgsinter2
ivcorrinter1 ivcorrinter2 ivmipinter1 ivmipinter2
Under the null hypothesis that the specified endogenous regressors can actually be treated as exogenous, the test statistic is distributed as chi-squared with degrees of freedom equal to the number of regressors tested.
Code:
dlm lm gsinter corrinter mipinter
For the hansen j statistic -i get a p-value of 0.8946, therefore i cannot reject the null hypothesis that
The Sargan-Hansen test is a test of overidentifying restrictions. The joint null hypothesis is that the instruments are valid instruments, i.e., uncorrelated with the error term, and that the excluded instruments are correctly excluded from the estimated equation.
Thank you,
