Wages and characteristics of young men from the National Longitudinal Survey (NLS), originally analyzed in Griliches (1976). This dataset is a standard IV example used in Hayashi (2000, Ch. 3) and Baum, Schaffer & Stillman (2007, pp. 492–494) to illustrate weak identification tests, Anderson–Rubin inference, Stock–Wright S statistics, and instrument redundancy.
Format
A data frame with 758 observations and 20 variables:
- rns
Residency in the South (1 = yes).
- rns80
Residency in the South in 1980.
- mrt
Marital status (1 = married).
- mrt80
Marital status in 1980.
- smsa
Resides in metropolitan area (1 = urban).
- smsa80
Resides in metropolitan area in 1980.
- med
Mother's education (years).
- iq
IQ score.
- kww
Score on Knowledge of the World of Work test.
- year
Survey year (66–73 or 80).
- age
Age at survey.
- age80
Age in 1980.
- s
Completed years of schooling.
- s80
Completed years of schooling in 1980.
- expr
Work experience (years).
- expr80
Work experience in 1980 (years).
- tenure
Job tenure (years).
- tenure80
Job tenure in 1980 (years).
- lw
Log wage.
- lw80
Log wage in 1980.
Source
Griliches, Z. (1976). Wages of very young men. Journal of Political Economy, 84(4), S69–S85.
Downloaded from http://fmwww.bc.edu/ec-p/data/hayashi/griliches76.dta.
Redistribution basis: system.file("COPYRIGHTS", package = "ivreg2r").
Details
Two cross-sections are pooled (survey years 66–73 and 80). The Baum,
Schaffer & Stillman (2007) examples use year dummies via
factor(year).
References
Hayashi, F. (2000). Econometrics. Princeton University Press. (Chapter 3, p. 255.)
Baum, C.F., Schaffer, M.E. and Stillman, S. (2007). Enhanced routines for instrumental variables/generalized method of moments estimation and testing. The Stata Journal, 7(4), 465–506. (pp. 492–494.)
Examples
data(griliches)
# Baum, Schaffer & Stillman (2007), p. 493: IV with robust SEs, weak-ID
# diagnostics, redundancy test
fit <- ivreg2(lw ~ s + expr + tenure + rns + smsa + factor(year) |
iq | age + mrt,
data = griliches, vcov = "robust",
redundant = "mrt")
summary(fit)
#>
#> 2SLS Estimation
#>
#> Call:
#> ivreg2(formula = lw ~ s + expr + tenure + rns + smsa + factor(year) |
#> iq | age + mrt, data = griliches, vcov = "robust", redundant = "mrt")
#>
#> Observations: 758
#> VCV type: Robust
#>
#> Coefficients:
#> Estimate Std. Error z value Pr(>|z|)
#> (Intercept) 10.550965 2.781762 3.793 0.000149 ***
#> iq -0.094890 0.041890 -2.265 0.023500 *
#> s 0.339712 0.118327 2.871 0.004092 **
#> expr -0.006604 0.029255 -0.226 0.821406
#> tenure 0.084885 0.030668 2.768 0.005643 **
#> rns -0.376939 0.155997 -2.416 0.015678 *
#> smsa 0.218119 0.103112 2.115 0.034399 *
#> factor(year)67 0.007775 0.166325 0.047 0.962717
#> factor(year)68 0.037799 0.152359 0.248 0.804061
#> factor(year)69 0.334703 0.163799 2.043 0.041016 *
#> factor(year)70 0.628643 0.246846 2.547 0.010875 *
#> factor(year)71 0.444610 0.186188 2.388 0.016942 *
#> factor(year)73 0.439027 0.166866 2.631 0.008513 **
#> ---
#> Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1
#> ---
#> R-squared: -6.4195
#> Adj. R-squared: -6.5390
#> Wald chi2(12): 4.4 (p = 0.0000)
#> Root MSE: 1.1676
#>
#> Underidentification test (Kleibergen-Paap rk LM statistic):
#> Chi-sq(2) = 5.90 (p = 0.0524)
#>
#> Weak identification test:
#> Cragg-Donald Wald F: 2.72
#> Kleibergen-Paap rk Wald F: 2.93
#> (Stock-Yogo critical values are for iid errors)
#> Stock-Yogo critical values (IV size):
#> 10% maximal IV size 19.93
#> 15% maximal IV size 11.59
#> 20% maximal IV size 8.75
#> 25% maximal IV size 7.25
#>
#> Overidentification test (Hansen J):
#> Chi-sq(1) = 1.56 (p = 0.2111)
#>
#> Weak-instrument-robust inference:
#> H0: B1=0 and orthogonality conditions are valid
#> Anderson-Rubin Wald F(2,744) = 46.95 (p < 2.2e-16)
#> Anderson-Rubin Wald Chi-sq(2) = 95.66 (p < 2.2e-16)
#> Stock-Wright LM S Chi-sq(2) = 71.33 (p = 0.0000)
#>
#> Endogeneity test:
#> Chi-sq(1) = 56.06 (p = 0.0000)
#> Tested: iq
#>
#> Redundancy test (LM):
#> Chi-sq(1) = 0.00 (p = 0.9665)
#> Tested: mrt
#>
#> First-stage diagnostics:
#> Endogenous F-stat p-value Partial R2 Shea PR2 SW F AP F
#> iq 2.93 0.0539 0.0073 0.0073 2.93 2.93
#>
#> Instrumented: iq
#> Included instruments: s, expr, tenure, rns, smsa, factor(year)67, factor(year)68, factor(year)69, factor(year)70, factor(year)71, factor(year)73
#> Excluded instruments: age, mrt
#>