Hi
please im using Ivreg2 to estimate for 2SLS , i control form year using I.year also i use fixed effect by controing i.id , Also i use robust
ivreg2 EQUITY FSIZE OP_CF SD_OCF TAX BM LEV MA DPP RPP PSIZE DR Gov_score Sustain_Perf Sust_Commit i.id i.year (CSO = Instrumental), first endog(CSO) robust
at the end of the estimation it appear for me (Warning: estimated covariance matrix of moment conditions not of full rank.)
When i remove robust at the end of the Ivreg2 , the warning sign disappear
ivreg2 EQUITY FSIZE OP_CF SD_OCF TAX BM LEV MA DPP RPP PSIZE DR Gov_score Sustain_Perf Sust_Commit i.id i.year (CSO = Instrumental), first endog(CSO)
Im not sure where is the problem
please im using Ivreg2 to estimate for 2SLS , i control form year using I.year also i use fixed effect by controing i.id , Also i use robust
ivreg2 EQUITY FSIZE OP_CF SD_OCF TAX BM LEV MA DPP RPP PSIZE DR Gov_score Sustain_Perf Sust_Commit i.id i.year (CSO = Instrumental), first endog(CSO) robust
at the end of the estimation it appear for me (Warning: estimated covariance matrix of moment conditions not of full rank.)
When i remove robust at the end of the Ivreg2 , the warning sign disappear
ivreg2 EQUITY FSIZE OP_CF SD_OCF TAX BM LEV MA DPP RPP PSIZE DR Gov_score Sustain_Perf Sust_Commit i.id i.year (CSO = Instrumental), first endog(CSO)
Im not sure where is the problem
HTML Code:
. ivreg2 EQUITY FSIZE OP_CF SD_OCF TAX BM LEV MA DPP RPP PSIZE DR Gov_score Sustain_Perf Sust_Commit i.id i.year (CSO = Instrumental), first endog(CSO) robust
First-stage regressions
-----------------------
First-stage regression of CSO:
Statistics robust to heteroskedasticity
Number of obs = 4051
------------------------------------------------------------------------------
| Robust
CSO | Coefficient std. err. t P>|t| [95% conf. interval]
-------------+----------------------------------------------------------------
Instrumental | .0156519 .0025078 6.24 0.000 .0107352 .0205686
FSIZE | .008078 .0195917 0.41 0.680 -.0303335 .0464895
OP_CF | -.0828493 .1582074 -0.52 0.601 -.3930308 .2273321
SD_OCF | 1.446089 .3087004 4.68 0.000 .8408507 2.051327
TAX | .0273629 .0207264 1.32 0.187 -.0132732 .0679991
BM | -.0247828 .0320911 -0.77 0.440 -.0877006 .038135
LEV | .1534906 .0765899 2.00 0.045 .0033284 .3036528
MA | -.0171832 .039293 -0.44 0.662 -.0942211 .0598546
DPP | -.0248049 .0594671 -0.42 0.677 -.1413962 .0917863
RPP | -.1013338 .0870105 -1.16 0.244 -.2719265 .069259
PSIZE | .0500369 .0181779 2.75 0.006 .0143974 .0856764
DR | -.0142629 .0173808 -0.82 0.412 -.0483397 .0198139
Gov_score | .0003102 .0003373 0.92 0.358 -.0003512 .0009715
Sustain_Perf | .0011279 .0005127 2.20 0.028 .0001227 .0021331
Sust_Commit | .0079999 .0161639 0.49 0.621 -.0236909 .0396908
|
id |
3 | .0768793 .0915472 0.84 0.401 -.1026081 .2563667
6 | .2510733 .2196025 1.14 0.253 -.1794794 .6816259
8 | .2230446 .0895023 2.49 0.013 .0475664 .3985229
10 | .2780777 .0483471 5.75 0.000 .1832884 .372867
12 | .1085079 .0698411 1.55 0.120 -.0284226 .2454385
13 | .3877063 .093848 4.13 0.000 .2037079 .5717047
14 | .4627727 .1094081 4.23 0.000 .2482672 .6772782
15 | .835076 .088949 9.39 0.000 .6606826 1.009469
16 | .2096608 .0886564 2.36 0.018 .035841 .3834806
17 | .8564496 .0760335 11.26 0.000 .7073784 1.005521
18 | -.0750803 .0701352 -1.07 0.284 -.2125875 .0624269
19 | .2760072 .1006024 2.74 0.006 .0787662 .4732482
20 | .5141315 .1317224 3.90 0.000 .2558765 .7723865
21 | .5060567 .10118 5.00 0.000 .3076831 .7044303
22 | 1.182202 .0703706 16.80 0.000 1.044233 1.320171
24 | .4078878 .1374321 2.97 0.003 .1384383 .6773373
26 | -.0875506 .0660016 -1.33 0.185 -.2169534 .0418523
28 | .0475152 .0647136 0.73 0.463 -.0793624 .1743927
29 | .1551686 .0917831 1.69 0.091 -.0247814 .3351186
30 | .3185186 .0959249 3.32 0.001 .1304483 .506589
32 | .1039583 .0671306 1.55 0.122 -.027658 .2355746
35 | .1501911 .087355 1.72 0.086 -.021077 .3214593
40 | .2972917 .1006934 2.95 0.003 .0998722 .4947113
41 | .3714094 .1728426 2.15 0.032 .0325342 .7102846
42 | .1620113 .0989343 1.64 0.102 -.0319594 .355982
43 | -.0279063 .0760293 -0.37 0.714 -.1769694 .1211569
44 | .5646908 .0945926 5.97 0.000 .3792325 .7501492
45 | .4045257 .1457874 2.77 0.006 .1186949 .6903565
47 | .0631079 .073268 0.86 0.389 -.0805414 .2067572
50 | -.0801545 .0909942 -0.88 0.378 -.2585579 .0982488
51 | .2019402 .0511246 3.95 0.000 .1017054 .302175
52 | -.0615122 .0662779 -0.93 0.353 -.1914565 .0684322
53 | .9020011 .1437957 6.27 0.000 .6200752 1.183927
55 | -.0200097 .09144 -0.22 0.827 -.1992869 .1592675
56 | .0360549 .0923699 0.39 0.696 -.1450455 .2171553
57 | .2298868 .0798969 2.88 0.004 .0732409 .3865326
58 | -.1481876 .0711771 -2.08 0.037 -.2877375 -.0086377
61 | .6765226 .0946321 7.15 0.000 .490987 .8620583
62 | .2721111 .087072 3.13 0.002 .1013977 .4428244
63 | .4976292 .0903594 5.51 0.000 .3204706 .6747878
64 | .4859941 .1073784 4.53 0.000 .275468 .6965202
66 | -.0395931 .0840909 -0.47 0.638 -.2044617 .1252756
|
year |
2005 | .0082807 .0325949 0.25 0.799 -.0556249 .0721863
2006 | .0192298 .0320162 0.60 0.548 -.0435413 .0820008
2007 | .0387829 .0325025 1.19 0.233 -.0249414 .1025072
2008 | .0400047 .0449738 0.89 0.374 -.0481709 .1281803
2009 | .0540236 .034973 1.54 0.122 -.0145444 .1225917
2010 | .0595171 .0372905 1.60 0.111 -.0135946 .1326287
2011 | .0674747 .0426429 1.58 0.114 -.016131 .1510804
2012 | .083411 .0504951 1.65 0.099 -.0155897 .1824117
2013 | .1160374 .0429438 2.70 0.007 .0318418 .200233
2014 | .0968027 .0515162 1.88 0.060 -.0042001 .1978054
2015 | .1064947 .049516 2.15 0.032 .0094137 .2035758
2016 | .1348759 .0539288 2.50 0.012 .0291431 .2406087
2017 | .153104 .0594751 2.57 0.010 .036497 .269711
2018 | .1841829 .0566266 3.25 0.001 .0731607 .2952051
2019 | .2249801 .0674822 3.33 0.001 .0926745 .3572857
2020 | .234567 .0796006 2.95 0.003 .078502 .390632
2021 | .2408054 .0773085 3.11 0.002 .0892344 .3923764
2022 | .2706711 .0777777 3.48 0.001 .1181802 .4231621
|
_cons | -.7063311 .1920645 -3.68 0.000 -1.082893 -.3297693
------------------------------------------------------------------------------
F test of excluded instruments:
F( 1, 3730) = 38.95
Prob > F = 0.0000
Sanderson-Windmeijer multivariate F test of excluded instruments:
F( 1, 3730) = 38.95
Prob > F = 0.0000
Summary results for first-stage regressions
-------------------------------------------
(Underid) (Weak id)
Variable | F( 1, 3730) P-val | SW Chi-sq( 1) P-val | SW F( 1, 3730)
CSO | 38.95 0.0000 | 42.31 0.0000 | 38.95
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)=41.78 P-val=0.0000
Weak identification test
Ho: equation is weakly identified
Cragg-Donald Wald F statistic 52.18
Kleibergen-Paap Wald rk F statistic 38.95
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(1,3730)= 9.34 P-val=0.0023
Anderson-Rubin Wald test Chi-sq(1)= 10.14 P-val=0.0014
Stock-Wright LM S statistic Chi-sq(1)= . P-val= .
NB: Underidentification, weak identification and weak-identification-robust
test statistics heteroskedasticity-robust
Number of observations N = 4051
Number of regressors K = 321
Number of endogenous regressors K1 = 1
Number of instruments L = 321
Number of excluded instruments L1 = 1
IV (2SLS) estimation
--------------------
Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity
Number of obs = 4051
F(320, 3730) = 410.26
Prob > F = 0.0000
Total (centered) SS = 153.8218013 Centered R2 = 0.6665
Total (uncentered) SS = 1071.865387 Uncentered R2 = 0.9521
Residual SS = 51.30371339 Root MSE = .1125
------------------------------------------------------------------------------
| Robust
EQUITY | Coefficient std. err. z P>|z| [95% conf. interval]
-------------+----------------------------------------------------------------
CSO | -.1729897 .0584959 -2.96 0.003 -.2876396 -.0583398
FSIZE | .0123795 .0080366 1.54 0.123 -.0033721 .028131
OP_CF | -.0683 .065158 -1.05 0.295 -.1960073 .0594074
SD_OCF | -.1461356 .1487631 -0.98 0.326 -.4377059 .1454348
TAX | -.0058738 .0077634 -0.76 0.449 -.0210899 .0093422
BM | -.0258302 .0120476 -2.14 0.032 -.0494431 -.0022173
LEV | -.020226 .0316568 -0.64 0.523 -.0822721 .0418201
MA | .0038532 .0145438 0.26 0.791 -.0246522 .0323585
DPP | .1396388 .0246513 5.66 0.000 .0913231 .1879546
RPP | .0998273 .0351349 2.84 0.004 .0309642 .1686904
PSIZE | .0209352 .0090069 2.32 0.020 .0032821 .0385884
DR | .0404173 .0071513 5.65 0.000 .026401 .0544337
Gov_score | -.0000358 .0001254 -0.29 0.775 -.0002816 .0002099
Sustain_Perf | -.000039 .0002055 -0.19 0.850 -.0004418 .0003639
Sust_Commit | -.0079053 .0065138 -1.21 0.225 -.0206721 .0048615
|
id |
3 | -.196843 .0440745 -4.47 0.000 -.2832275 -.1104585
6 | -.2818958 .0703924 -4.00 0.000 -.4198623 -.1439292
8 | -.1530946 .0370148 -4.14 0.000 -.2256422 -.0805469
10 | -.0958093 .0346259 -2.77 0.006 -.1636748 -.0279439
12 | -.0715845 .050358 -1.42 0.155 -.1702843 .0271153
13 | -.1566972 .0515031 -3.04 0.002 -.2576414 -.0557529
14 | -.0983788 .0501605 -1.96 0.050 -.1966917 -.000066
15 | .0873498 .0690924 1.26 0.206 -.0480688 .2227685
16 | -.1577911 .042644 -3.70 0.000 -.2413718 -.0742103
17 | -.1926949 .0632552 -3.05 0.002 -.3166729 -.068717
18 | -.2842097 .0337847 -8.41 0.000 -.3504264 -.217993
19 | -.2289776 .0464038 -4.93 0.000 -.3199275 -.1380278
20 | -.27578 .0534121 -5.16 0.000 -.3804659 -.1710942
21 | -.3130877 .0490545 -6.38 0.000 -.4092326 -.2169427
22 | .158974 .0758572 2.10 0.036 .0102966 .3076515
24 | -.1280691 .0489432 -2.62 0.009 -.223996 -.0321423
26 | -.2706416 .0384196 -7.04 0.000 -.3459426 -.1953406
28 | -.5033943 .0452778 -11.12 0.000 -.5921372 -.4146513
29 | -.2097703 .0375714 -5.58 0.000 -.283409 -.1361317
30 | -.3230224 .0348629 -9.27 0.000 -.3913524 -.2546924
32 | -.1517933 .0331707 -4.58 0.000 -.2168067 -.0867798
35 | -.2780842 .0480705 -5.78 0.000 -.3723006 -.1838678
40 | -.3798279 .0493405 -7.70 0.000 -.4765335 -.2831223
41 | -.1239616 .0599064 -2.07 0.039 -.2413759 -.0065473
42 | -.2560138 .0408748 -6.26 0.000 -.3361269 -.1759008
43 | -.1209293 .0290472 -4.16 0.000 -.1778607 -.0639979
44 | -.0436356 .0541652 -0.81 0.420 -.1497974 .0625262
45 | -.249741 .043053 -5.80 0.000 -.3341234 -.1653586
47 | .0237943 .0339059 0.70 0.483 -.04266 .0902485
50 | -.541778 .060014 -9.03 0.000 -.6594032 -.4241528
51 | -.150783 .0442984 -3.40 0.001 -.2376062 -.0639598
52 | -.1356262 .0330178 -4.11 0.000 -.20034 -.0709124
53 | -.1439585 .0639517 -2.25 0.024 -.2693015 -.0186155
55 | -.4241971 .0417459 -10.16 0.000 -.5060176 -.3423766
56 | -.2505044 .043135 -5.81 0.000 -.3350474 -.1659613
57 | -.3619691 .0323835 -11.18 0.000 -.4254397 -.2984985
58 | -.1241552 .0265477 -4.68 0.000 -.1761878 -.0721226
61 | -.1885559 .0525321 -3.59 0.000 -.291517 -.0855948
62 | .1806477 .0518632 3.48 0.000 .0789976 .2822977
63 | -.0641431 .0580543 -1.10 0.269 -.1779275 .0496413
64 | -.738005 .060382 -12.22 0.000 -.8563515 -.6196585
66 | -.229681 .0357134 -6.43 0.000 -.2996779 -.159684
|
year |
2005 | .001583 .0130419 0.12 0.903 -.0239788 .0271447
2006 | -.0101608 .0133865 -0.76 0.448 -.0363978 .0160762
2007 | -.038981 .0135934 -2.87 0.004 -.0656236 -.0123384
2008 | -.0813137 .0190981 -4.26 0.000 -.1187454 -.0438821
2009 | -.0907544 .0153258 -5.92 0.000 -.1207924 -.0607163
2010 | -.0699317 .0160638 -4.35 0.000 -.1014162 -.0384471
2011 | -.0766685 .0182318 -4.21 0.000 -.1124023 -.0409348
2012 | -.0652068 .021339 -3.06 0.002 -.1070304 -.0233832
2013 | -.0893286 .0197775 -4.52 0.000 -.1280917 -.0505655
2014 | -.08869 .0221876 -4.00 0.000 -.1321769 -.0452031
2015 | -.0976987 .022044 -4.43 0.000 -.1409042 -.0544932
2016 | -.0936859 .0249886 -3.75 0.000 -.1426626 -.0447092
2017 | -.1017087 .0274862 -3.70 0.000 -.1555806 -.0478368
2018 | -.1531187 .0276838 -5.53 0.000 -.207378 -.0988595
2019 | -.1285871 .0330575 -3.89 0.000 -.1933786 -.0637956
2020 | -.0980854 .0372913 -2.63 0.009 -.171175 -.0249959
2021 | -.1394551 .0371555 -3.75 0.000 -.2122785 -.0666318
2022 | -.2075709 .0370445 -5.60 0.000 -.2801768 -.1349649
|
_cons | .3504631 .0915978 3.83 0.000 .1709347 .5299916
------------------------------------------------------------------------------
Underidentification test (Kleibergen-Paap rk LM statistic): 41.775
Chi-sq(1) P-val = 0.0000
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic): 52.182
(Kleibergen-Paap rk Wald F statistic): 38.954
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:
singleton dummy variable (dummy with one 1 and N-1 0s or vice versa)
partial option may address problem.
------------------------------------------------------------------------------
Instrumented: CSO
Included instruments: FSIZE OP_CF SD_OCF TAX BM LEV MA DPP RPP PSIZE DR
Gov_score Sustain_Perf Sust_Commit 3.id 6.id 8.id 10.id
12.id 13.id 14.id 15.id 16.id 17.id 18.id 19.id 20.id
21.id 22.id 24.id 26.id 28.id 29.id 30.id 32.id 35.id
40.id 41.id 42.id 43.id 44.id 45.id 47.id 50.id 51.id
52.id 53.id 55.id 56.id 57.id 58.id 61.id 62.id 63.id
64.id 66.id 70.id 76.id 78.id 79.id 81.id 82.id 85.id
88.id 91.id 93.id 94.id 95.id 97.id 98.id 99.id 100.id
101.id 102.id 104.id 106.id 107.id 109.id 110.id 111.id
114.id 117.id 121.id 122.id 123.id 124.id 126.id 127.id
128.id 130.id 131.id 133.id 134.id 135.id 139.id 140.id
144.id 145.id 147.id 148.id 149.id 151.id 152.id 156.id
157.id 158.id 159.id 160.id 161.id 162.id 163.id 169.id
170.id 172.id 173.id 175.id 176.id 177.id 181.id 184.id
186.id 187.id 193.id 200.id 201.id 202.id 206.id 207.id
208.id 209.id 210.id 212.id 215.id 217.id 218.id 219.id
222.id 223.id 224.id 227.id 228.id 229.id 230.id 233.id
235.id 236.id 237.id 239.id 240.id 243.id 246.id 247.id
248.id 249.id 253.id 254.id 255.id 257.id 259.id 261.id
262.id 263.id 264.id 265.id 266.id 268.id 269.id 270.id
271.id 272.id 273.id 274.id 277.id 278.id 279.id 280.id
281.id 282.id 283.id 284.id 287.id 290.id 291.id 293.id
296.id 300.id 301.id 302.id 303.id 307.id 309.id 310.id
311.id 313.id 315.id 316.id 319.id 321.id 322.id 325.id
326.id 333.id 334.id 335.id 337.id 339.id 341.id 342.id
344.id 348.id 350.id 351.id 354.id 355.id 356.id 357.id
360.id 361.id 362.id 365.id 366.id 368.id 369.id 370.id
371.id 372.id 374.id 376.id 379.id 380.id 381.id 382.id
384.id 385.id 386.id 388.id 399.id 404.id 405.id 409.id
414.id 416.id 417.id 419.id 420.id 421.id 423.id 425.id
426.id 427.id 429.id 431.id 432.id 435.id 436.id 437.id
438.id 439.id 440.id 442.id 443.id 444.id 445.id 446.id
447.id 448.id 454.id 457.id 458.id 460.id 461.id 463.id
465.id 468.id 469.id 471.id 472.id 473.id 475.id 476.id
481.id 482.id 483.id 484.id 485.id 486.id 489.id 491.id
492.id 494.id 497.id 499.id 500.id 502.id 503.id 504.id
505.id 506.id 507.id 509.id 510.id 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
Excluded instruments: Instrumental
