My regression equation has endogenous variable and since I want fixed effect for Year and Industry I am using xtivreg2 user written command. After going through the documentation of ivreg2 on the different tests the command does I found Hausman Test can be done using the command ivendog command.
However, whenever I run ivendog right after the regression it throws me an error. Reading through the documentation of ivendog although I found mentioning of ivreg and invreg2 but did not find anything about xtivreg2. I am stuck with this, it would be really helpful if anyone could advise a way around this.
Additionally, if anyone has suggestion/advise on my overall regression results would be helpful as well. Thank you for you kind help.
However, whenever I run ivendog right after the regression it throws me an error. Reading through the documentation of ivendog although I found mentioning of ivreg and invreg2 but did not find anything about xtivreg2. I am stuck with this, it would be really helpful if anyone could advise a way around this.
Additionally, if anyone has suggestion/advise on my overall regression results would be helpful as well. Thank you for you kind help.
Code:
. xtset id Year, y
Panel variable: id (strongly balanced)
Time variable: Year, 1995 to 2003
Delta: 1 year
. xi:xtivreg2 REM_PROXY_w POST_REG INBD ROA_w Size MTB_x_w LEV_w NOA_X_w (ABS_DA_w = C_PROD_w) i.Year, first
> fe robust
i.Year _IYear_1995-2003 (naturally coded; _IYear_1995 omitted)
Warning - singleton groups detected. 24 observation(s) not used.
Warning - collinearities detected
Vars dropped: _IYear_1999 _IYear_2003
FIXED EFFECTS ESTIMATION
------------------------
Number of groups = 262 Obs per group: min = 2
avg = 5.0
max = 8
Warning - collinearities detected
Vars dropped: _IYear_1999 _IYear_2003
First-stage regressions
-----------------------
FIXED EFFECTS ESTIMATION
------------------------
Number of groups = 262 Obs per group: min = 2
avg = 5.0
max = 8
First-stage regression of ABS_DA_w:
Statistics robust to heteroskedasticity
Number of obs = 1323
------------------------------------------------------------------------------
| Robust
ABS_DA_w | Coefficient std. err. t P>|t| [95% conf. interval]
-------------+----------------------------------------------------------------
C_PROD_w | .0003189 .0051077 0.06 0.950 -.0097035 .0103414
POST_REG | .0058297 .0077954 0.75 0.455 -.0094667 .0211261
INBD | .0097056 .0139399 0.70 0.486 -.0176477 .0370589
ROA_w | -.1641145 .0462745 -3.55 0.000 -.2549157 -.0733133
Size | .0169224 .0113974 1.48 0.138 -.005442 .0392867
MTB_x_w | .0058593 .0036976 1.58 0.113 -.0013963 .0131149
LEV_w | .0063436 .0261565 0.24 0.808 -.0449815 .0576688
NOA_X_w | -.0005691 .0042303 -0.13 0.893 -.0088699 .0077317
_IYear_1996 | .0039979 .0074563 0.54 0.592 -.010633 .0186288
_IYear_1997 | .0447984 .0095482 4.69 0.000 .0260627 .0635341
_IYear_1998 | .025455 .0077656 3.28 0.001 .010217 .040693
_IYear_1999 | 0 (omitted)
_IYear_2000 | .0070051 .0080869 0.87 0.387 -.0088632 .0228734
_IYear_2001 | .0148897 .0088242 1.69 0.092 -.0024254 .0322048
_IYear_2002 | .0311732 .0076571 4.07 0.000 .0161482 .0461982
_IYear_2003 | 0 (omitted)
------------------------------------------------------------------------------
F test of excluded instruments:
F( 1, 1047) = 0.00
Prob > F = 0.9502
Sanderson-Windmeijer multivariate F test of excluded instruments:
F( 1, 1047) = 0.00
Prob > F = 0.9502
Summary results for first-stage regressions
-------------------------------------------
(Underid) (Weak id)
Variable | F( 1, 1047) P-val | SW Chi-sq( 1) P-val | SW F( 1, 1047)
ABS_DA_w | 0.00 0.9502 | 0.00 0.9499 | 0.00
NB: first-stage test statistics heteroskedasticity-robust
Stock-Yogo weak ID F test critical values for single endogenous regressor:
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 i.i.d. errors only.
Underidentification test
Ho: matrix of reduced form coefficients has rank=K1-1 (underidentified)
Ha: matrix has rank=K1 (identified)
Kleibergen-Paap rk LM statistic Chi-sq(1)=0.00 P-val=0.9498
Weak identification test
Ho: equation is weakly identified
Cragg-Donald Wald F statistic 0.00
Kleibergen-Paap Wald rk F statistic 0.00
Stock-Yogo weak ID test critical values for K1=1 and L1=1:
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.
Weak-instrument-robust inference
Tests of joint significance of endogenous regressors B1 in main equation
Ho: B1=0 and orthogonality conditions are valid
Anderson-Rubin Wald test F(1,1047)= 4.71 P-val=0.0302
Anderson-Rubin Wald test Chi-sq(1)= 4.78 P-val=0.0289
Stock-Wright LM S statistic Chi-sq(1)= 4.97 P-val=0.0258
NB: Underidentification, weak identification and weak-identification-robust
test statistics heteroskedasticity-robust
Number of observations N = 1323
Number of regressors K = 14
Number of endogenous regressors K1 = 1
Number of instruments L = 14
Number of excluded instruments L1 = 1
IV (2SLS) estimation
--------------------
Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity
Number of obs = 1323
F( 14, 1047) = 0.00
Prob > F = 1.0000
Total (centered) SS = 21.63923171 Centered R2 = -8.6e+02
Total (uncentered) SS = 21.63923171 Uncentered R2 = -8.6e+02
Residual SS = 18699.71733 Root MSE = 4.198
------------------------------------------------------------------------------
| Robust
REM_PROXY_w | Coefficient std. err. z P>|z| [95% conf. interval]
-------------+----------------------------------------------------------------
ABS_DA_w | 60.49753 963.3464 0.06 0.950 -1827.627 1948.622
POST_REG | -.3266171 5.633492 -0.06 0.954 -11.36806 10.71482
INBD | -.6315695 9.362187 -0.07 0.946 -18.98112 17.71798
ROA_w | 9.618423 158.7458 0.06 0.952 -301.5177 320.7545
Size | -.9940734 16.34961 -0.06 0.952 -33.03872 31.05057
MTB_x_w | -.370475 5.658206 -0.07 0.948 -11.46036 10.71941
LEV_w | -.356007 6.121573 -0.06 0.954 -12.35407 11.64206
NOA_X_w | .0460123 .5477467 0.08 0.933 -1.027552 1.119576
_IYear_1996 | -.2439523 3.8278 -0.06 0.949 -7.746302 7.258397
_IYear_1997 | -2.763374 43.07429 -0.06 0.949 -87.18743 81.66068
_IYear_1998 | -1.554118 24.59491 -0.06 0.950 -49.75926 46.65102
_IYear_1999 | 0 (omitted)
_IYear_2000 | -.4395395 6.761036 -0.07 0.948 -13.69093 12.81185
_IYear_2001 | -.9103606 14.36654 -0.06 0.949 -29.06827 27.24754
_IYear_2002 | -1.895217 30.04091 -0.06 0.950 -60.77431 56.98388
_IYear_2003 | 0 (omitted)
------------------------------------------------------------------------------
Underidentification test (Kleibergen-Paap rk LM statistic): 0.004
Chi-sq(1) P-val = 0.9498
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic): 0.005
(Kleibergen-Paap rk Wald F statistic): 0.004
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)
------------------------------------------------------------------------------
Instrumented: ABS_DA_w
Included instruments: POST_REG INBD ROA_w Size MTB_x_w LEV_w NOA_X_w
_IYear_1996 _IYear_1997 _IYear_1998 _IYear_2000
_IYear_2001 _IYear_2002
Excluded instruments: C_PROD_w
Dropped collinear: _IYear_1999 _IYear_2003
------------------------------------------------------------------------------
Comment