summary() and print() report a battery of identification, weak-instrument,
and overidentification diagnostics, many named by acronym. This topic glosses
every acronym that reaches the console. The underlying statistics are stored
on the fitted object under fit$diagnostics; the headline ones are also in
glance().
Identification and weak instruments
- Underidentification test
Tests whether the excluded instruments have rank high enough to identify the endogenous regressors. Reported as the Anderson (1951) canonical-correlations LM statistic under
vcov = "iid", and the Kleibergen-Paap rk LM statistic under robust, cluster, or HAC errors.- Weak identification test
Gauges instrument strength against the Stock-Yogo (2005) critical values. Reported as the Cragg-Donald (1993) Wald F under
vcov = "iid", and the Kleibergen-Paap rk Wald F under robust, cluster, or HAC errors.- Cragg-Donald (CD)
The iid weak-identification Wald F (and the underlying eigenvalue statistic); see "Weak identification test".
- Kleibergen-Paap (KP) rk
Rank-based LM and Wald statistics that replace the Anderson and Cragg-Donald statistics when errors are not iid.
- Anderson-Rubin (AR)
A weak-instrument-robust test of the joint significance of the endogenous regressors: valid regardless of instrument strength.
- Stock-Wright (S)
A weak-instrument-robust statistic for the same hypothesis, the score (LM) counterpart of the Anderson-Rubin Wald test. It is distinct from the Hansen J overidentification statistic: S constrains the endogenous coefficients to zero and has degrees of freedom equal to the number of excluded instruments.
First-stage diagnostics
- Shea partial R-squared
A partial R-squared for the first stage that accounts for correlation among instruments; the relevant measure with more than one endogenous regressor.
- SW F (Sanderson-Windmeijer)
A conditional first-stage F statistic for the identification of an individual endogenous regressor, given the others.
- AP (Angrist-Pischke)
A conditional first-stage F (or chi-squared, depending on the VCE) for an individual endogenous regressor.
Overidentification and endogeneity
- Sargan / Hansen J
The overidentification test: Sargan (1958) under
vcov = "iid", and the Hansen J statistic under robust, cluster, or HAC errors. Tests the joint validity of the overidentifying restrictions.- C-statistic (C-stat)
A difference-of-J statistic used for the endogeneity test (
endog), the orthogonality test (orthog), and the redundancy test (redundant).
VCE and estimator labels
- Kiefer
The Kiefer (1980) VCE: autocorrelation-consistent with a Truncated kernel at bandwidth equal to the full time span.
- Driscoll-Kraay (DK)
The Driscoll-Kraay (1998) panel VCE, robust to cross-sectional dependence.
- dofminus / sdofminus
Large- and small-sample degrees-of-freedom adjustments; see ivreg2r-conventions.
- psd0 / psda
Positive-semidefinite corrections for the moment covariance matrix, zeroing (
psd0) or taking the absolute value of (psda) any negative eigenvalues.- COVIV
The "covariance at the IV estimates" variance matrix for LIML and k-class estimators, robust to misspecification of the LIML model.
- HOLS
Cragg's (1983) heteroskedastic OLS estimator, obtained from a no-endogenous-regressor model under
method = "gmm2s"with a robust VCE.- k-class
The family of IV estimators indexed by a scalar k (2SLS at k = 1, OLS at k = 0, LIML at k equal to the LIML eigenvalue).
See also
summary.ivreg2() for the console output; ivreg2r-conventions
for the statistical conventions; ivreg2() for the arguments that request
each test.
Other ivreg2r reference:
ivreg2r-conventions