Sanderson-Windmeijer stats in outreg

[nazlikaramollaoglu]

Dear All,

1. Which abbreviation I have to use in outreg command above to insert Sanderson-Windmeijer (SW) chi-squared statistics into my excel table?

outreg2 using xtivreg2_LII.xls, ctitle(`y'_`t', K-INTENSİVE in LII)keep( `z' ) e(N N_g F r2_a r2u r2c widstat j idstat idp cdf rkf arf arfp archi2 archi2p sstat sstatp)


widstat for Sanderson-Windmeijer multivariate F test of excluded instruments:
idstat Kleibergen-Paap rk LM statistic

idp Kleibergen-Paap rk LM statistic p value

1. How to interpret if Kleibergen-Paap rk LM statistic and SW chisquare shows different outcomes as below. SW chisquare stat reject the null which is the particular

endogenous regressor in question is unidentified. On the other hand, Kleibergen-Paap rk LM statistic
p value suggest the acceptance of null hypothesis that the equation is underidentified.

Many thanks in advance,


F test of excluded instruments:
F( 1, 80) = 81.84
Prob > F = 0.0000
Sanderson-Windmeijer multivariate F test of excluded instruments:
F( 1, 80) = 81.84
Prob > F = 0.0000





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

(Underid) (Weak id)
Variable | F( 1, 80) P-val | SW Chi-sq( 1) P-val | SW F( 1, 80)
im_den_city | 81.84 0.0000 | 82.87 0.0000 | 81.84

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)=2.38 P-val=0.1230

Weak identification test
Ho: equation is weakly identified
Cragg-Donald Wald F statistic 1.2e+05
Kleibergen-Paap Wald rk F statistic 81.84

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(1,80)= 4.92 P-val=0.0294
Anderson-Rubin Wald test Chi-sq(1)= 4.98 P-val=0.0256
Stock-Wright LM S statistic Chi-sq(1)= 6.34 P-val=0.0118

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

Number of clusters N_clust = 81
Number of observations N = 83037
Number of regressors K = 10
Number of endogenous regressors K1 = 1
Number of instruments L = 10
Number of excluded instruments L1 = 1

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

[Nick Cox]

Note that outreg (Stata Journal) and outreg2 (SSC) are utterly different commands.

#4 at https://www.statalist.org/forums/for...les-and-panels remains up-to-date.

[nazlikaramollaoglu]

Note that outreg (Stata Journal) and outreg2 (SSC) are utterly different commands.

#4 at https://www.statalist.org/forums/for...les-and-panels remains up-to-date.

It should be outreg2.