Announcement

Collapse
No announcement yet.
X
  • Filter
  • Time
  • Show
Clear All
new posts

  • Using ivreg2 but f statistic too large

    I investigate a household data with IVREG2. I have only 1 endogenous variable and 1 instrument. This mean just identification. However, Kleibergen-Paap Wald rk F statistic is too large if I cluster standard errors at district level (F statistic = 32035), and still very large if I cluster at provincial level (F statistic = 1784.64 as below). If I create a variable combining province with type of work organization and cluster standard errors by that variable then the F statistic is equal to 151 (still large compare to Stock-Yogo indicator).

    I want to know if I can use the combined variable to cluster or not. Is F statistic equaling to 151 acceptable compared to Stock-Yogo below? Is there any other way to reduce F statistic? By the way, is Anderson Rubin test important for my case of just identification?

    ========
    Weak identification test
    Ho: equation is weakly identified
    Cragg-Donald Wald F statistic 78695.51
    Kleibergen-Paap Wald rk F statistic 1784.64
    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
    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(1,62)= 23.34 P-val=0.0000
    Anderson-Rubin Wald test Chi-sq(1)= 23.72 P-val=0.0000
    Stock-Wright LM S statistic Chi-sq(1)= 31.95 P-val=0.0000


  • #2
    what is the null of the Kleibergen-Paap Wald test?

    Comment

    Working...
    X