im using the command ivreg2 for 2 SLS and im facing problem when i add i.year i.SIC_WRDS_2 , actually the endogeneity test result does not appear and warning sign appear for me this is my code for 2sls
ivreg2 hard_final_Exact_new Firm_Size_w ROA_four_w DCAPEX_w TAX_rate_w KZ_one_w DDIVi_w Leverage_w Book_Market_s_w UNION dividends_w FREE_CASH_FLOW_w CASH_FLOW_VOLATILITY_w Governance_Score_w Fund_Status_w FUNDING_RATIO_w Platn_Size_w Pension_contrib_four_w ACTUAL_RETURN_w CSR_Committee SustainabilityScore_w i.year i.SIC_WRDS_2 (csopresence1 = CSO_Percentage ) , first endog(csopresence1) robust cluster (id)
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.
.
ivreg2 hard_final_Exact_new Firm_Size_w ROA_four_w DCAPEX_w TAX_rate_w KZ_one_w DDIVi_w Leverage_w Book_Market_s_w UNION dividends_w FREE_CASH_FLOW_w CASH_FLOW_VOLATILITY_w Governance_Score_w Fund_Status_w FUNDING_RATIO_w Platn_Size_w Pension_contrib_four_w ACTUAL_RETURN_w CSR_Committee SustainabilityScore_w i.year i.SIC_WRDS_2 (csopresence1 = CSO_Percentage ) , first endog(csopresence1) robust cluster (id)
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.
HTML Code:
ivreg2 hard_final_Exact_new Firm_Size_w ROA_four_w DCAPEX_w TAX_rate_w KZ_one_w DDIVi_w Leverage_w Book_Market_s_w UNION dividends_w FREE_CASH_FLOW_w CASH_FLOW_VOLATILITY_w Governance_Score_w Fund_Statu > s_w FUNDING_RATIO_w Platn_Size_w Pension_contrib_four_w ACTUAL_RETURN_w CSR_Committee SustainabilityScore_w i.year i.SIC_WRDS_2 (csopresence1 = CSO_Percentage ) , first endog(csopresence1) robust cluster (id) First-stage regressions First-stage regression of csopresence1: Statistics robust to heteroskedasticity and clustering on id Number of obs = 3336 Number of clusters (id) = 263 Robust csopresence1 Coefficient std. err. t P>t [95% conf. interval] CSO_Percentage 1.097992 .0907797 12.10 0.000 .9200013 1.275983 Firm_Size_w .0121108 .02667 0.45 0.650 -.0401809 .0644024 ROA_four_w -.1025899 .7043419 -0.15 0.884 -1.483588 1.278408 DCAPEX_w .8024182 .5033664 1.59 0.111 -.1845285 1.789365 TAX_rate_w .0011333 .0314563 0.04 0.971 -.0605428 .0628094 KZ_one_w .0479463 .0252224 1.90 0.057 -.0015071 .0973997 DDIVi_w -4128.335 7197.016 -0.57 0.566 -18239.47 9982.802 Leverage_w -.2111824 .1469058 -1.44 0.151 -.4992196 .0768547 Book_Market_s_w -.0231991 .0605911 -0.38 0.702 -.1419996 .0956014 UNION -.0992665 .1675468 -0.59 0.554 -.4277743 .2292413 dividends_w 1.089643 1.323025 0.82 0.410 -1.504403 3.683689 FREE_CASH_FLOW_w .4497031 .6689588 0.67 0.501 -.8619195 1.761326 CASH_FLOW_VOLATILITY_w 1.150295 .8068628 1.43 0.154 -.4317149 2.732305 Governance_Score_w -.0000811 .0006863 -0.12 0.906 -.0014268 .0012646 Fund_Status_w .6693949 .6632205 1.01 0.313 -.6309766 1.969766 FUNDING_RATIO_w -.0515603 .1082133 -0.48 0.634 -.2637333 .1606128 Platn_Size_w .0495668 .0200231 2.48 0.013 .0103076 .088826 Pension_contrib_four_w .1194941 1.410955 0.08 0.933 -2.646956 2.885944 ACTUAL_RETURN_w -.0670515 .0799868 -0.84 0.402 -.2238811 .0897782 CSR_Committee .0889497 .0272679 3.26 0.001 .0354858 .1424136 SustainabilityScore_w .001427 .0009573 1.49 0.136 -.00045 .003304 year 2005 -.0088024 .0123333 -0.71 0.475 -.0329843 .0153794 2006 -.0349848 .0188321 -1.86 0.063 -.0719088 .0019393 2007 -.0523651 .0293687 -1.78 0.075 -.1099481 .0052179 2008 -.0641598 .042688 -1.50 0.133 -.1478579 .0195383 2009 -.0747544 .0365587 -2.04 0.041 -.1464348 -.003074 2010 -.0929572 .0369199 -2.52 0.012 -.1653457 -.0205687 2011 -.092446 .0393399 -2.35 0.019 -.1695796 -.0153125 2012 -.0818239 .0395148 -2.07 0.038 -.1593003 -.0043476 2013 -.0700623 .041613 -1.68 0.092 -.1516525 .0115279 2014 -.0886871 .041059 -2.16 0.031 -.1691912 -.0081831 2015 -.0765017 .0447721 -1.71 0.088 -.164286 .0112826 2016 -.0633824 .04783 -1.33 0.185 -.1571623 .0303975 2017 -.0987523 .0484569 -2.04 0.042 -.1937614 -.0037432 2018 -.1196817 .054697 -2.19 0.029 -.2269258 -.0124376 2019 -.1588183 .0594671 -2.67 0.008 -.2754151 -.0422215 2020 -.1710352 .0651368 -2.63 0.009 -.2987484 -.043322 2021 -.2086016 .0659653 -3.16 0.002 -.3379393 -.079264 2022 -.1012898 .0864433 -1.17 0.241 -.2707785 .0681989 SIC_WRDS_2 13 .0736134 .2369962 0.31 0.756 -.3910632 .5382901 14 .2287164 .2434955 0.94 0.348 -.2487035 .7061363 20 .2149059 .2912886 0.74 0.461 -.3562216 .7860333 21 .1147433 .3006407 0.38 0.703 -.4747207 .7042073 23 .4745806 .2932425 1.62 0.106 -.1003777 1.049539 26 .1602168 .3010061 0.53 0.595 -.4299637 .7503972 27 .2742583 .2487849 1.10 0.270 -.2135324 .762049 28 .2451585 .296396 0.83 0.408 -.3359829 .8262999 29 -.0209918 .2428064 -0.09 0.931 -.4970604 .4550769 34 .1962369 .2430616 0.81 0.420 -.2803322 .672806 35 .2500212 .3052323 0.82 0.413 -.3484455 .8484879 36 .1649337 .2523935 0.65 0.513 -.3299324 .6597998 37 .1717966 .2793391 0.62 0.539 -.3759015 .7194947 38 .1874449 .2357533 0.80 0.427 -.274795 .6496847 39 .20663 .2513227 0.82 0.411 -.2861365 .6993965 40 .0957867 .317558 0.30 0.763 -.5268469 .7184204 42 .3643892 .2367241 1.54 0.124 -.0997539 .8285323 45 .3854578 .2629495 1.47 0.143 -.1301053 .9010208 48 .3334553 .3174844 1.05 0.294 -.289034 .9559447 49 .2274079 .2879681 0.79 0.430 -.3372091 .7920248 50 .1988547 .243241 0.82 0.414 -.278066 .6757755 51 .145865 .2349346 0.62 0.535 -.3147695 .6064996 53 .1850267 .2249239 0.82 0.411 -.25598 .6260334 54 .0291998 .2170815 0.13 0.893 -.3964302 .4548298 55 .3693436 .230422 1.60 0.109 -.082443 .8211302 56 .1660768 .2369974 0.70 0.484 -.2986022 .6307558 58 .100971 .2324042 0.43 0.664 -.3547022 .5566443 59 .5067339 .2283996 2.22 0.027 .0589126 .9545553 60 .1046779 .2468537 0.42 0.672 -.3793264 .5886821 61 -.107855 .2740907 -0.39 0.694 -.6452626 .4295526 62 .067392 .2405542 0.28 0.779 -.4042608 .5390449 63 .1309878 .2387393 0.55 0.583 -.3371066 .5990823 64 .0149947 .2770663 0.05 0.957 -.528247 .5582365 70 .0373064 .2236936 0.17 0.868 -.401288 .4759007 72 .3207766 .2422015 1.32 0.185 -.154106 .7956593 73 .2236427 .2353691 0.95 0.342 -.2378438 .6851292 80 .1387708 .2637979 0.53 0.599 -.3784558 .6559975 87 .0552034 .2434282 0.23 0.821 -.4220844 .5324913 99 -.0079205 .2893155 -0.03 0.978 -.5751793 .5593383 _cons -.6292929 .3297123 -1.91 0.056 -1.275757 .0171715 F test of excluded instruments: F( 1, 262) = 146.29 Prob > F = 0.0000 Sanderson-Windmeijer multivariate F test of excluded instruments: F( 1, 262) = 146.29 Prob > F = 0.0000 Summary results for first-stage regressions (Underid) (Weak id) Variable F( 1, 262) P-val SW Chi-sq( 1) P-val SW F( 1, 262) csopresence1 146.29 0.0000 150.37 0.0000 146.29 NB: first-stage test statistics cluster-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)=43.88 P-val=0.0000 Weak identification test Ho: equation is weakly identified Cragg-Donald Wald F statistic 296.81 Kleibergen-Paap Wald rk F statistic 146.29 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(1,262)= 9.20 P-val=0.0027 Anderson-Rubin Wald test Chi-sq(1)= 9.45 P-val=0.0021 Stock-Wright LM S statistic Chi-sq(1)= . P-val= . NB: Underidentification, weak identification and weak-identification-robust test statistics cluster-robust Number of clusters N_clust = 263 Number of observations N = 3336 Number of regressors K = 79 Number of endogenous regressors K1 = 1 Number of instruments L = 79 Number of excluded instruments L1 = 1 IV (2SLS) estimation Estimates efficient for homoskedasticity only Statistics robust to heteroskedasticity and clustering on id Number of clusters (id) = 263 Number of obs = 3336 F( 78, 262) = 142.11 Prob > F = 0.0000 Total (centered) SS = 72.35851319 Centered R2 = 0.0077 Total (uncentered) SS = 74 Uncentered R2 = 0.0297 Residual SS = 71.79926397 Root MSE = .1467 Robust hard_final_Exact_new Coefficient std. err. z P>z [95% conf. interval] csopresence1 .0801542 .0264878 3.03 0.002 .028239 .1320694 Firm_Size_w -.0078716 .0055547 -1.42 0.156 -.0187586 .0030154 ROA_four_w -.3641893 .1255164 -2.90 0.004 -.610197 -.1181817 DCAPEX_w .0200928 .1687929 0.12 0.905 -.3107352 .3509209 TAX_rate_w -.0069881 .0133136 -0.52 0.600 -.0330823 .0191061 KZ_one_w -.0116238 .009556 -1.22 0.224 -.0303532 .0071057 DDIVi_w 4011.996 4007.044 1.00 0.317 -3841.667 11865.66 Leverage_w .0193079 .0389954 0.50 0.621 -.0571216 .0957374 Book_Market_s_w -.0119774 .0154124 -0.78 0.437 -.0421851 .0182303 UNION .0093873 .0289523 0.32 0.746 -.0473582 .0661328 dividends_w -.2672219 .4100998 -0.65 0.515 -1.071003 .5365589 FREE_CASH_FLOW_w .2570271 .1226137 2.10 0.036 .0167086 .4973455 CASH_FLOW_VOLATILITY_w -.0511036 .1569072 -0.33 0.745 -.3586361 .2564289 Governance_Score_w .0002583 .0001433 1.80 0.071 -.0000225 .0005392 Fund_Status_w -.3053186 .1467278 -2.08 0.037 -.5928998 -.0177373 FUNDING_RATIO_w -.0054256 .0238981 -0.23 0.820 -.052265 .0414138 Platn_Size_w .0000947 .0041335 0.02 0.982 -.0080069 .0081963 Pension_contrib_four_w -1.295574 .416823 -3.11 0.002 -2.112532 -.4786159 ACTUAL_RETURN_w .0085612 .0451347 0.19 0.850 -.0799012 .0970235 CSR_Committee -.0061234 .0067271 -0.91 0.363 -.0193082 .0070614 SustainabilityScore_w .0000651 .0001901 0.34 0.732 -.0003074 .0004376 year 2005 -.0098083 .0073261 -1.34 0.181 -.0241673 .0045507 2006 -.005745 .0074425 -0.77 0.440 -.0203321 .0088421 2007 .0048789 .0108217 0.45 0.652 -.0163312 .0260891 2008 .0163541 .0207674 0.79 0.431 -.0243492 .0570574 2009 .0324826 .0175828 1.85 0.065 -.001979 .0669442 2010 .0131961 .0146464 0.90 0.368 -.0155103 .0419025 2011 .0002 .0129329 0.02 0.988 -.0251479 .025548 2012 .0102419 .0159234 0.64 0.520 -.0209673 .0414511 2013 .0026298 .0139868 0.19 0.851 -.0247838 .0300435 2014 .0047771 .0150498 0.32 0.751 -.0247199 .0342742 2015 .006459 .0176337 0.37 0.714 -.0281023 .0410204 2016 -.0128889 .0160978 -0.80 0.423 -.04444 .0186622 2017 -.0164484 .0148177 -1.11 0.267 -.0454905 .0125938 2018 .006521 .0186376 0.35 0.726 -.030008 .0430499 2019 -.0196788 .0147382 -1.34 0.182 -.0485651 .0092074 2020 -.0005993 .0215407 -0.03 0.978 -.0428184 .0416198 2021 -.0249734 .0164056 -1.52 0.128 -.0571279 .007181 2022 -.0115215 .0297746 -0.39 0.699 -.0698786 .0468356 SIC_WRDS_2 13 .0119952 .0265481 0.45 0.651 -.0400381 .0640286 14 -.0212259 .0199625 -1.06 0.288 -.0603517 .0178998 20 -.0388021 .0342265 -1.13 0.257 -.1058848 .0282806 21 -.0651825 .0368441 -1.77 0.077 -.1373957 .0070306 23 -.0158226 .03285 -0.48 0.630 -.0802073 .0485621 26 -.0412067 .0384407 -1.07 0.284 -.1165491 .0341358 27 -.0153482 .0262752 -0.58 0.559 -.0668466 .0361502 28 -.035293 .0326578 -1.08 0.280 -.099301 .028715 29 .0121797 .0258391 0.47 0.637 -.038464 .0628233 34 -.0366601 .0197159 -1.86 0.063 -.0753027 .0019824 35 -.0329561 .0341038 -0.97 0.334 -.0997984 .0338861 36 -.0300153 .018292 -1.64 0.101 -.065867 .0058364 37 -.021545 .0305597 -0.71 0.481 -.081441 .038351 38 -.0149084 .0191952 -0.78 0.437 -.0525303 .0227134 39 .1549795 .0171361 9.04 0.000 .1213933 .1885657 40 -.0268583 .0252582 -1.06 0.288 -.0763634 .0226467 42 -.0537804 .0152938 -3.52 0.000 -.0837557 -.023805 45 -.00453 .0423727 -0.11 0.915 -.087579 .078519 48 -.0118183 .0430402 -0.27 0.784 -.0961755 .0725389 49 -.0262954 .0324767 -0.81 0.418 -.0899485 .0373577 50 .0534646 .0202092 2.65 0.008 .0138553 .093074 51 .0808119 .0178282 4.53 0.000 .0458692 .1157545 53 -.0340633 .012588 -2.71 0.007 -.0587353 -.0093913 54 .0167346 .0121019 1.38 0.167 -.0069847 .0404539 55 .1740546 .0164443 10.58 0.000 .1418244 .2062848 56 -.0076884 .0195395 -0.39 0.694 -.0459852 .0306084 58 -.0167598 .0186669 -0.90 0.369 -.0533463 .0198267 59 -.0850228 .0123317 -6.89 0.000 -.1091925 -.060853 60 -.0085479 .0262765 -0.33 0.745 -.0600489 .042953 61 .0418616 .0497663 0.84 0.400 -.0556787 .1394018 62 .0274917 .038859 0.71 0.479 -.0486705 .1036538 63 .0035319 .0262013 0.13 0.893 -.0478218 .0548856 64 .0080424 .0314679 0.26 0.798 -.0536336 .0697184 70 -.0793502 .020918 -3.79 0.000 -.1203487 -.0383516 72 -.0364841 .0189971 -1.92 0.055 -.0737178 .0007496 73 -.0250073 .0214818 -1.16 0.244 -.0671109 .0170963 80 .0100795 .0360277 0.28 0.780 -.0605335 .0806926 87 -.0193404 .0225085 -0.86 0.390 -.0634563 .0247755 99 -.0294638 .0280938 -1.05 0.294 -.0845266 .0255989 _cons .1137578 .0519667 2.19 0.029 .0119049 .2156106 Underidentification test (Kleibergen-Paap rk LM statistic): 43.876 Chi-sq(1) P-val = 0.0000 Weak identification test (Cragg-Donald Wald F statistic): 296.811 (Kleibergen-Paap rk Wald F statistic): 146.292 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: csopresence1 Included instruments: Firm_Size_w ROA_four_w DCAPEX_w TAX_rate_w KZ_one_w DDIVi_w Leverage_w Book_Market_s_w UNION dividends_w FREE_CASH_FLOW_w CASH_FLOW_VOLATILITY_w Governance_Score_w Fund_Status_w FUNDING_RATIO_w Platn_Size_w Pension_contrib_four_w ACTUAL_RETURN_w CSR_Committee SustainabilityScore_w 2005.year 2006.year 2007.year 2008.year 2009.year 2010.year 2011.year 2012.year 2013.year 2014.year 2015.year 2016.year 2017.year 2018.year 2019.year 2020.year 2021.year 2022.year 13.SIC_WRDS_2 14.SIC_WRDS_2 20.SIC_WRDS_2 21.SIC_WRDS_2 23.SIC_WRDS_2 26.SIC_WRDS_2 27.SIC_WRDS_2 28.SIC_WRDS_2 29.SIC_WRDS_2 34.SIC_WRDS_2 35.SIC_WRDS_2 36.SIC_WRDS_2 37.SIC_WRDS_2 38.SIC_WRDS_2 39.SIC_WRDS_2 40.SIC_WRDS_2 42.SIC_WRDS_2 45.SIC_WRDS_2 48.SIC_WRDS_2 49.SIC_WRDS_2 50.SIC_WRDS_2 51.SIC_WRDS_2 53.SIC_WRDS_2 54.SIC_WRDS_2 55.SIC_WRDS_2 56.SIC_WRDS_2 58.SIC_WRDS_2 59.SIC_WRDS_2 60.SIC_WRDS_2 61.SIC_WRDS_2 62.SIC_WRDS_2 63.SIC_WRDS_2 64.SIC_WRDS_2 70.SIC_WRDS_2 72.SIC_WRDS_2 73.SIC_WRDS_2 80.SIC_WRDS_2 87.SIC_WRDS_2 99.SIC_WRDS_2 Excluded instruments: CSO_Percentage
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