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  • #1

    2SLS using ivreghdfe

    please i need to run 2SLS with firm fixed effect and year fixed effect. scholar suggest to use ivreghdfe code

    ivreghdfe EQUITY FSIZE OP_CF SD_OCF TAX BM LEV MA DPP RPP PSIZE DR Gov_score Sustain_Perf Sust_Commit (CSO = CSO_Percentage), first absorb(id year) robust endog(CSO)


    the problem that the constant is not appear in the regression .Can you advice me where is the problem and how can i solve it ?

    Thanks alot

    HTML Code:
    ivreghdfe EQUITY FSIZE OP_CF SD_OCF TAX  BM LEV MA DPP RPP PSIZE DR Gov_score Sustain_Perf Sust_Commit  (CSO = CSO_Percentage), first absorb(id year) robust  endog(CSO)
(dropped 7 singleton observations)
(MWFE estimator converged in 7 iterations)

First-stage regressions
-----------------------


First-stage regression of CSO:

Statistics robust to heteroskedasticity
Number of obs =                   4181
--------------------------------------------------------------------------------
               |               Robust
           CSO | Coefficient  std. err.      t    P>|t|     [95% conf. interval]
---------------+----------------------------------------------------------------
CSO_Percentage |   1.186504   .0821453    14.44   0.000     1.025451    1.347556
         FSIZE |   .0213839   .0182422     1.17   0.241    -.0143815    .0571492
         OP_CF |  -.2299433   .1500126    -1.53   0.125    -.5240549    .0641684
        SD_OCF |   1.339969   .2911594     4.60   0.000     .7691282     1.91081
           TAX |   .0201922   .0190697     1.06   0.290    -.0171955    .0575799
            BM |  -.0550446   .0301754    -1.82   0.068    -.1142058    .0041166
           LEV |   .0471235   .0717561     0.66   0.511      -.09356     .187807
            MA |  -.0166494   .0378968    -0.44   0.660    -.0909491    .0576503
           DPP |  -.0296341   .0541658    -0.55   0.584    -.1358306    .0765623
           RPP |  -.0905304   .0767933    -1.18   0.239    -.2410899     .060029
         PSIZE |   .0504669   .0165391     3.05   0.002     .0180406    .0828932
            DR |  -.0058747   .0156901    -0.37   0.708    -.0366365    .0248871
     Gov_score |   .0002265   .0003204     0.71   0.480    -.0004017    .0008547
  Sustain_Perf |   .0009879   .0004888     2.02   0.043     .0000295    .0019463
   Sust_Commit |   .0048192   .0158254     0.30   0.761    -.0262077    .0358462
--------------------------------------------------------------------------------
F test of excluded instruments:
  F(  1,  3854) =   208.63
  Prob > F      =   0.0000
Sanderson-Windmeijer multivariate F test of excluded instruments:
  F(  1,  3854) =   208.63
  Prob > F      =   0.0000



Summary results for first-stage regressions
-------------------------------------------

                                           (Underid)            (Weak id)
Variable     | F(  1,  3854)  P-val | SW Chi-sq(  1) P-val | SW F(  1,  3854)
CSO          |     208.63    0.0000 |      226.33   0.0000 |      208.63

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)=178.63   P-val=0.0000

Weak identification test
Ho: equation is weakly identified
Cragg-Donald Wald F statistic                                     220.80
Kleibergen-Paap Wald rk F statistic                               208.63

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(1,3854)=     10.35     P-val=0.0013
Anderson-Rubin Wald test           Chi-sq(1)=     11.23     P-val=0.0008
Stock-Wright LM S statistic        Chi-sq(1)=     11.23     P-val=0.0008

NB: Underidentification, weak identification and weak-identification-robust
    test statistics heteroskedasticity-robust

Number of observations               N  =       4181
Number of regressors                 K  =         15
Number of endogenous regressors      K1 =          1
Number of instruments                L  =         15
Number of excluded instruments       L1 =          1

IV (2SLS) estimation
--------------------

Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity

                                                      Number of obs =     4181
                                                      F( 15,  3854) =     8.19
                                                      Prob > F      =   0.0000
Total (centered) SS     =  48.43091059                Centered R2   =   0.0114
Total (uncentered) SS   =  48.43091059                Uncentered R2 =   0.0114
Residual SS             =  47.87789735                Root MSE      =    .1115

------------------------------------------------------------------------------
             |               Robust
      EQUITY | Coefficient  std. err.      t    P>|t|     [95% conf. interval]
-------------+----------------------------------------------------------------
         CSO |  -.0892582    .028242    -3.16   0.002    -.1446289   -.0338875
       FSIZE |   .0107465   .0078442     1.37   0.171    -.0046327    .0261257
       OP_CF |  -.0650899   .0626089    -1.04   0.299    -.1878396    .0576597
      SD_OCF |  -.2200024   .1347572    -1.63   0.103    -.4842046    .0441999
         TAX |  -.0098609   .0073923    -1.33   0.182    -.0243541    .0046323
          BM |  -.0211888   .0116607    -1.82   0.069    -.0440505    .0016729
         LEV |  -.0290775   .0296273    -0.98   0.326    -.0871641    .0290091
          MA |   .0067771    .014232     0.48   0.634    -.0211258      .03468
         DPP |   .1312567   .0239277     5.49   0.000     .0843445    .1781689
         RPP |   .1006525   .0315921     3.19   0.001     .0387137    .1625914
       PSIZE |   .0175778   .0085408     2.06   0.040      .000833    .0343227
          DR |   .0389498   .0067774     5.75   0.000     .0256621    .0522375
   Gov_score |  -.0000623   .0001213    -0.51   0.608       -.0003    .0001755
Sustain_Perf |   -.000138    .000195    -0.71   0.479    -.0005203    .0002443
 Sust_Commit |   -.007984   .0063319    -1.26   0.207    -.0203982    .0044303
------------------------------------------------------------------------------
Underidentification test (Kleibergen-Paap rk LM statistic):            178.632
                                                   Chi-sq(1) P-val =    0.0000
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic):              220.804
                         (Kleibergen-Paap rk Wald F statistic):        208.628
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.
-----------------------------------------------------------------------------
    Tags: None
  • #2
    Do you need to interpret the constant? It is included in estimation as far as I know, just not displayed in the output. Or another possibility, if ever it was dropped, is that it was dropped in order to identify all the fixed effect parameters.

    Comment

    • #3
      Hi Maxcne .

      Actually the literature that I'm following display the constant . what you mean it is (included in estimation) . actually the result does not appear a constan

      Thanks

      Comment

      • #4
        It's fixed effects. constant doesn't really mean anything, so is left out.

        you can retrieve the fixed effects.

        Comment

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