I am getting different results from -weakivtest- when I run -ivreg2- with the partial option than when I run the same specification without the partial option although the regression output is exactly the same. I understand the correct effective F-stat is that outputted in the latter case as it is similar to the KP F-stat as expected in this setting of single instrument.
I am trying to get this to work in this data example as I am running regressions using the partial option in my real data.
I am trying to get this to work in this data example as I am running regressions using the partial option in my real data.
Code:
. sysuse auto, clear
(1978 automobile data)
. ivreg2 price (weight=length) i.turn, cluster(turn) small
IV (2SLS) estimation
--------------------
Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity and clustering on turn
Number of clusters (turn) = 18 Number of obs = 74
F( 18, 17) = 0.00
Prob > F = 1.0000
Total (centered) SS = 635065396.1 Centered R2 = 0.6125
Total (uncentered) SS = 3447834321 Uncentered R2 = 0.9286
Residual SS = 246111883.9 Root MSE = 2115
------------------------------------------------------------------------------
| Robust
price | Coefficient std. err. t P>|t| [95% conf. interval]
-------------+----------------------------------------------------------------
weight | 4.246995 .9098988 4.67 0.000 2.327276 6.166713
|
turn |
32 | 5011.514 1055.483 4.75 0.000 2784.64 7238.387
33 | 5166.623 1173.769 4.40 0.000 2690.186 7643.06
34 | 5058.718 943.2618 5.36 0.000 3068.609 7048.826
35 | 4229.605 876.5359 4.83 0.000 2380.276 6078.934
36 | 5187.873 879.5689 5.90 0.000 3332.144 7043.601
37 | 4947.753 377.608 13.10 0.000 4151.069 5744.436
38 | 5900.982 257.8047 22.89 0.000 5357.061 6444.902
39 | 1873.197 545.9393 3.43 0.003 721.3655 3025.028
40 | 486.6475 131.9353 3.69 0.002 208.2883 765.0068
41 | 1896.418 88.71514 21.38 0.000 1709.245 2083.591
42 | -679.5457 245.6727 -2.77 0.013 -1197.87 -161.2216
43 | 730.7564 367.7508 1.99 0.063 -45.12995 1506.643
44 | 94.51 558.0713 0.17 0.868 -1082.917 1271.937
45 | 1680.927 633.8962 2.65 0.017 343.5231 3018.331
46 | -1073.264 424.6195 -2.53 0.022 -1969.133 -177.3954
48 | -156.3634 1100.978 -0.14 0.889 -2479.223 2166.496
51 | -57.01098 1510.432 -0.04 0.970 -3243.744 3129.722
|
_cons | -9001.443 2893.478 -3.11 0.006 -15106.15 -2896.737
------------------------------------------------------------------------------
Underidentification test (Kleibergen-Paap rk LM statistic): 6.096
Chi-sq(1) P-val = 0.0136
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic): 67.103
(Kleibergen-Paap rk Wald F statistic): 66.028
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.
------------------------------------------------------------------------------
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)
partial option may address problem.
------------------------------------------------------------------------------
Instrumented: weight
Included instruments: 32.turn 33.turn 34.turn 35.turn 36.turn 37.turn 38.turn
39.turn 40.turn 41.turn 42.turn 43.turn 44.turn 45.turn
46.turn 48.turn 51.turn
Excluded instruments: length
------------------------------------------------------------------------------
. weakivtest
(obs=74)
Montiel-Pflueger robust weak instrument test
--------------------------------------------
Effective F statistic: 66.028
Confidence level alpha: 5%
--------------------------------------------
--------------------------------------------
Critical Values TSLS LIML
--------------------------------------------
% of Worst Case Bias
tau=5% 37.418 37.418
tau=10% 23.109 23.109
tau=20% 15.062 15.062
tau=30% 12.039 12.039
--------------------------------------------
. ivreg2 price (weight=length) i.turn, cluster(turn) small partial(i.turn)
IV (2SLS) estimation
--------------------
Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity and clustering on turn
Number of clusters (turn) = 18 Number of obs = 74
F( 1, 17) = 21.79
Prob > F = 0.0002
Total (centered) SS = 436283540.4 Centered R2 = 0.4359
Total (uncentered) SS = 436283540.4 Uncentered R2 = 0.4359
Residual SS = 246111883.9 Root MSE = 2115
------------------------------------------------------------------------------
| Robust
price | Coefficient std. err. t P>|t| [95% conf. interval]
-------------+----------------------------------------------------------------
weight | 4.246995 .9098988 4.67 0.000 2.327276 6.166713
------------------------------------------------------------------------------
Underidentification test (Kleibergen-Paap rk LM statistic): 6.096
Chi-sq(1) P-val = 0.0136
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic): 67.103
(Kleibergen-Paap rk Wald F statistic): 66.028
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: weight
Excluded instruments: length
Partialled-out: 32.turn 33.turn 34.turn 35.turn 36.turn 37.turn 38.turn
39.turn 40.turn 41.turn 42.turn 43.turn 44.turn 45.turn
46.turn 48.turn 51.turn _cons
nb: total SS, model F and R2s are after partialling-out;
any small-sample adjustments include partialled-out
variables in regressor count K
------------------------------------------------------------------------------
. weakivtest
(obs=74)
Montiel-Pflueger robust weak instrument test
--------------------------------------------
Effective F statistic: 55.999
Confidence level alpha: 5%
--------------------------------------------
--------------------------------------------
Critical Values TSLS LIML
--------------------------------------------
% of Worst Case Bias
tau=5% 37.418 37.418
tau=10% 23.109 23.109
tau=20% 15.062 15.062
tau=30% 12.039 12.039
--------------------------------------------
.
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