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xi:xtivreg2 profit profit_1 lnwz ( lnbor lninv =lnarate lncjl lnfeestr2 i.safe2 i.cu i.ll i.pp ),fe first
i.safe2 _Isafe2_1-6 (naturally coded; _Isafe2_1 omitted)
i.cu _Icu_1-3 (naturally coded; _Icu_1 omitted)
i.ll _Ill_1-6 (naturally coded; _Ill_1 omitted)
i.pp _Ipp_0-1 (naturally coded; _Ipp_0 omitted)
Warning - collinearities detected
Vars dropped: _Isafe2_2 _Isafe2_3 _Isafe2_4 _Isafe2_5 _Isafe2_6 _Icu_2
_Icu_3 _Ill_2 _Ill_3 _Ill_4 _Ill_5 _Ill_6
FIXED EFFECTS ESTIMATION
------------------------
Number of groups = 79 Obs per group: min = 11
avg = 19.1
max = 33
Warning - collinearities detected
Vars dropped: _Isafe2_2 _Isafe2_3 _Isafe2_4 _Isafe2_5 _Isafe2_6 _Icu_2 _Icu_3
_Ill_2 _Ill_3 _Ill_4 _Ill_5 _Ill_6
First-stage regressions
-----------------------
FIXED EFFECTS ESTIMATION
------------------------
Number of groups = 79 Obs per group: min = 11
avg = 19.1
max = 33
First-stage regression of lnbor:
Statistics consistent for homoskedasticity only
Number of obs = 1506
------------------------------------------------------------------------------
lnbor | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lnarate | -.2580607 .0739022 -3.49 0.000 -.4030298 -.1130915
lncjl | 1.014545 .0260508 38.94 0.000 .9634427 1.065647
lnfeestr2 | -.5609088 .0181967 -30.82 0.000 -.5966041 -.5252135
_Isafe2_2 | 0 (omitted)
_Isafe2_3 | 0 (omitted)
_Isafe2_4 | 0 (omitted)
_Isafe2_5 | 0 (omitted)
_Isafe2_6 | 0 (omitted)
_Icu_2 | 0 (omitted)
_Icu_3 | 0 (omitted)
_Ill_2 | 0 (omitted)
_Ill_3 | 0 (omitted)
_Ill_4 | 0 (omitted)
_Ill_5 | 0 (omitted)
_Ill_6 | 0 (omitted)
_Ipp_1 | .0920488 .0899191 1.02 0.306 -.0843396 .2684371
profit_1 | -.0407056 .0552689 -0.74 0.462 -.1491231 .0677119
lnwz | -2.601228 .408739 -6.36 0.000 -3.403024 -1.799431
------------------------------------------------------------------------------
F test of excluded instruments:
F( 4, 1421) = 553.35
Prob > F = 0.0000
Sanderson-Windmeijer multivariate F test of excluded instruments:
F( 3, 1421) = 1360.97
Prob > F = 0.0000
FIXED EFFECTS ESTIMATION
------------------------
Number of groups = 79 Obs per group: min = 11
avg = 19.1
max = 33
First-stage regression of lninv:
Statistics consistent for homoskedasticity only
Number of obs = 1506
------------------------------------------------------------------------------
lninv | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lnarate | .0579601 .0641956 0.90 0.367 -.0679682 .1838885
lncjl | .6363782 .0226292 28.12 0.000 .5919879 .6807685
lnfeestr2 | .246972 .0158067 15.62 0.000 .215965 .2779789
_Isafe2_2 | 0 (omitted)
_Isafe2_3 | 0 (omitted)
_Isafe2_4 | 0 (omitted)
_Isafe2_5 | 0 (omitted)
_Isafe2_6 | 0 (omitted)
_Icu_2 | 0 (omitted)
_Icu_3 | 0 (omitted)
_Ill_2 | 0 (omitted)
_Ill_3 | 0 (omitted)
_Ill_4 | 0 (omitted)
_Ill_5 | 0 (omitted)
_Ill_6 | 0 (omitted)
_Ipp_1 | -.0233949 .0781088 -0.30 0.765 -.1766157 .129826
profit_1 | .0007914 .0480097 0.02 0.987 -.0933862 .0949689
lnwz | -2.207571 .3550537 -6.22 0.000 -2.904057 -1.511085
------------------------------------------------------------------------------
F test of excluded instruments:
F( 4, 1421) = 293.19
Prob > F = 0.0000
Sanderson-Windmeijer multivariate F test of excluded instruments:
F( 3, 1421) = 516.13
Prob > F = 0.0000
Summary results for first-stage regressions
-------------------------------------------
(Underid) (Weak id)
Variable | F( 4, 1421) P-val | SW Chi-sq( 3) P-val | SW F( 3, 1421)
lnbor | 553.35 0.0000 | 4100.14 0.0000 | 1360.97
lninv | 293.19 0.0000 | 1554.92 0.0000 | 516.13
Stock-Yogo weak ID F test critical values for single endogenous regressor:
5% maximal IV relative bias 16.85
10% maximal IV relative bias 10.27
20% maximal IV relative bias 6.71
30% maximal IV relative bias 5.34
10% maximal IV size 24.58
15% maximal IV size 13.96
20% maximal IV size 10.26
25% maximal IV size 8.31
Source: Stock-Yogo (2005). Reproduced by permission.
NB: Critical values are for Sanderson-Windmeijer F statistic.