悬赏：求助弱工具检验结果分析，得出的统计量特别大 - Stata专版

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fuweiwei 发表于 2018-8-13 18:13:58 |AI写论文

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使用的code： xtivreg2 lnzscore lnta lta fta EI Noninterestincomeoperating GDPrealgrowthrate year2-year5 (lerner = llerner overhead), fe gmm2s robust

得到如下代码
Underidentification test (Kleibergen-Paap rk LM statistic):          65.711
                                                Chi-sq(2) P-val = 0.0000
------------------------------------------------------------------------------
Weak identification test (Cragg-Donald Wald F statistic):             2.1e+05
                     (Kleibergen-Paap rk Wald F statistic):       5.0e+04
Stock-Yogo weak ID test critical values: 10% maximal IV size          19.93
                                       15% maximal IV size          11.59
                                       20% maximal IV size             8.75
                                       25% maximal IV size             7.25
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):       1.332
                                                Chi-sq(1) P-val = 0.2484
------------------------------------------------------------------------------
Instrumented:       lerner
Included instruments: lnta lta fta EI Noninterestincomeoperating
                  GDPrealgrowthrate year2 year3 year4
Excluded instruments: llerner overhead
Dropped collinear: year5
------------------------------------------------------------------------------

得到Weak identification test (Cragg-Donald Wald F statistic):             2.1e+05
                     (Kleibergen-Paap rk Wald F statistic):       5.0e+04
特别的大，请问这种情况是否正常，若不正常的话是什么原因造成的
谢谢！！！