Simultaenous Systems and 2SLS
Thursday November 8 15:45:39 2012
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Statistics/Data Analysis
User: Prof. Erdinc, ECO 311
Project: Simultaenous Systems and 2SLS{space -7}
name:
log:
log type:
opened on:
<unnamed>
C:\Users\didar\Desktop\ECO 311\2SLSEstimation_MROZ.smcl
smcl
8 Nov 2012, 15:39:00
1 . ivreg2 hours (lwage= exper expersq) educ age kidslt6 nwifeinc
IV (2SLS) estimation
Estimates efficient for homoskedasticity only
Statistics consistent for homoskedasticity only
Total (centered) SS
Total (uncentered) SS
Residual SS
=
=
=
hours
Coef.
lwage
educ
age
kidslt6
nwifeinc
_cons
1639.556
-183.7513
-7.806092
-198.1543
-10.16959
2225.662
Number of obs
F( 5,
422)
Prob > F
Centered R2
Uncentered R2
Root MSE
257311019.9
983895094
773893123.1
Std. Err.
467.2656
58.68409
9.312048
181.6424
6.568215
570.5226
z
P>|z|
3.51
-3.13
-0.84
-1.09
-1.55
3.90
0.000
0.002
0.402
0.275
0.122
0.000
=
=
=
=
=
=
428
3.44
0.0046
-2.0076
0.2134
1345
[95% Conf. Interval]
723.7318
-298.77
-26.05737
-554.1669
-23.04306
1107.458
2555.379
-68.73257
10.44519
157.8583
2.703873
3343.866
18.164
0.0001
Underidentification test (Anderson canon. corr. LM statistic):
Chi-sq(2) P-val =
9.329
19.93
11.59
8.75
7.25
Weak identification test (Cragg-Donald Wald F statistic):
Stock-Yogo weak ID test critical values: 10% maximal IV size
15% maximal IV size
20% maximal IV size
25% maximal IV size
Source: Stock-Yogo (2005). Reproduced by permission.
0.862
0.3531
Sargan statistic (overidentification test of all instruments):
Chi-sq(1) P-val =
Instrumented:
lwage
Included instruments: educ age kidslt6 nwifeinc
Excluded instruments: exper expersq
2 .
3 . *// Note that the labor supply is estimated instrumenting the endogenous lwage with exper and
> (from the demand equation), and the sargan confirms that the instruments are valid with p>alp
4 . *// Now is the time for estimating the demand for labor using the instruments from the supply
> .
5 . ivreg2 lwage (hours=age kidslt6 nwifeinc)
educ exper expersq
IV (2SLS) estimation
Estimates efficient for homoskedasticity only
Statistics consistent for homoskedasticity only
Total (centered) SS
Total (uncentered) SS
Residual SS
=
=
=
223.3274409
829.5947861
195.2655578
Number of obs
F( 4,
423)
Prob > F
Centered R2
Uncentered R2
Root MSE
=
=
=
=
=
=
428
19.03
0.0000
0.1257
0.7646
.6754
Simultaenous Systems and 2SLS
lwage
Coef.
hours
educ
exper
expersq
_cons
.0001259
.11033
.0345824
-.0007058
-.6557254
Thursday November 8 15:45:39 2012
Std. Err.
.0002531
.0154334
.0193774
.0004514
.3358094
z
0.50
7.15
1.78
-1.56
-1.95
P>|z|
0.619
0.000
0.074
0.118
0.051
Page 2
[95% Conf. Interval]
-.0003702
.0800811
-.0033966
-.0015905
-1.3139
Underidentification test (Anderson canon. corr. LM statistic):
Chi-sq(3) P-val =
Weak identification test (Cragg-Donald Wald F statistic):
Stock-Yogo weak ID test critical values: 5% maximal IV relative
10% maximal IV relative
20% maximal IV relative
30% maximal IV relative
10% maximal IV size
15% maximal IV size
20% maximal IV size
25% maximal IV size
Source: Stock-Yogo (2005). Reproduced by permission.
bias
bias
bias
bias
Sargan statistic (overidentification test of all instruments):
Chi-sq(2) P-val =
.000622
.1405789
.0725613
.000179
.002449
13.175
0.0043
4.457
13.91
9.08
6.46
5.39
22.30
12.83
9.54
7.80
2.925
0.2316
Instrumented:
hours
Included instruments: educ exper expersq
Excluded instruments: age kidslt6 nwifeinc
6 . *// Note that we have used the exo variables (those which help us identify the demand equatio
> y included in the supply equation) as instruments for the endo variable lwage in the demand e
7 . *// See related data and examples 16.6, 16.7, and 16.8 (panel case) for further economic appl
> of simultaenous equation systems and the application of 2SLS method.
8 . log close
name:
log:
log type:
closed on:
<unnamed>
C:\Users\didar\Desktop\ECO 311\2SLSEstimation_MROZ.smcl
smcl
8 Nov 2012, 15:44:56