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雷达卡
怎么解释下面的结果啊？哪位大佬可以解释一下？
. ivreg2 apply MKI lnAge lnAsset lnRDInput lnDist lnHGdp i.region ( Wgi = wgi ), robust first
First-stage regressions
-----------------------
First-stage regression of Wgi:
Statistics robust to heteroskedasticity
Number of obs = 3491
------------------------------------------------------------------------------
| Robust
Wgi | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
wgi | .9928898 .0013489 736.05 0.000 .990245 .9955346
MKI | -.0377669 .0187579 -2.01 0.044 -.0745446 -.0009892
lnAge | .0331318 .063058 0.53 0.599 -.0905025 .1567662
lnAsset | .0143521 .0375927 0.38 0.703 -.0593539 .0880581
lnRDInput | -.01906 .032588 -0.58 0.559 -.0829536 .0448336
lnDist | -.5222458 .0461639 -11.31 0.000 -.6127568 -.4317347
lnHGdp | .0831525 .0141777 5.87 0.000 .055355 .11095
|
region |
M | -.1243458 .0829606 -1.50 0.134 -.2870022 .0383106
W | -.1546941 .1231176 -1.26 0.209 -.396084 .0866958
|
_cons | 3.090925 .7195265 4.30 0.000 1.680188 4.501661
------------------------------------------------------------------------------
F test of excluded instruments:
F( 1, 3481) = 5.4e+05
Prob > F = 0.0000
Sanderson-Windmeijer multivariate F test of excluded instruments:
F( 1, 3481) = 5.4e+05
Prob > F = 0.0000
Summary results for first-stage regressions
-------------------------------------------
(Underid) (Weak id)
Variable | F( 1, 3481) P-val | SW Chi-sq( 1) P-val | SW F( 1, 3481)
Wgi | 5.4e+05 0.0000 | 5.4e+05 0.0000 | 5.4e+05
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)=1382.98 P-val=0.0000
Weak identification test
Ho: equation is weakly identified
Cragg-Donald Wald F statistic 7.5e+05
Kleibergen-Paap Wald rk F statistic 5.4e+05
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(1,3481)= 11.67 P-val=0.0006
Anderson-Rubin Wald test Chi-sq(1)= 11.70 P-val=0.0006
Stock-Wright LM S statistic Chi-sq(1)= 12.28 P-val=0.0005
NB: Underidentification, weak identification and weak-identification-robust
test statistics heteroskedasticity-robust
Number of observations N = 3491
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
--------------------
Estimates efficient for homoskedasticity only
Statistics robust to heteroskedasticity
Number of obs = 3491
F( 9, 3481) = 236.72
Prob > F = 0.0000
Total (centered) SS = 8903.005058 Centered R2 = 0.4209
Total (uncentered) SS = 51535.75337 Uncentered R2 = 0.9000
Residual SS = 5155.384862 Root MSE = 1.215
------------------------------------------------------------------------------
| Robust
apply | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
Wgi | -.0035507 .0010378 -3.42 0.001 -.0055848 -.0015167
MKI | -.068469 .0172044 -3.98 0.000 -.1021889 -.034749
lnAge | .0713314 .0522452 1.37 0.172 -.0310672 .1737301
lnAsset | -.0511744 .0788259 -0.65 0.516 -.2056703 .1033215
lnRDInput | .7573301 .0758681 9.98 0.000 .6086313 .9060289
lnDist | -.0281788 .0379678 -0.74 0.458 -.1025944 .0462367
lnHGdp | .0199215 .0130249 1.53 0.126 -.0056069 .0454498
|
region |
M | .0192971 .0793153 0.24 0.808 -.1361581 .1747523
W | -.0315046 .1159995 -0.27 0.786 -.2588594 .1958501
|
_cons | -9.407868 .6925278 -13.58 0.000 -10.7652 -8.050538
------------------------------------------------------------------------------
Underidentification test (Kleibergen-Paap rk LM statistic): 1382.985
Chi-sq(1) P-val = 0.0000
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic): 7.5e+05
(Kleibergen-Paap rk Wald F statistic): 5.4e+05
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.
------------------------------------------------------------------------------
Hansen J statistic (overidentification test of all instruments): 0.000
(equation exactly identified)
------------------------------------------------------------------------------
Instrumented: Wgi
Included instruments: MKI lnAge lnAsset lnRDInput lnDist lnHGdp 2.region
3.region
Excluded instruments: wgi
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