Dear all
I am trying to obtain joint test F results for the excluded instrument for the first stage IV regression. But I am not sure how to obtain it.
My code for the first stage regression is where my IV is ENGO
: reg gw ENGO_popultion log_loanmat log_loansize SP_rating log_firmage log_assets profit_assets leverage tangibilit MTB Beta eng cr2002 GDP_growth inflation_consum i.SIC_4DGT i.Year if post_Paris==1 &country_id!=38 , vce(cluster brorroer_id)
An example of my data is below.
input float(brorroer_id country_id) double(gw ENGO_popultion log_loanmat log_loansize) float SP_rating double(log_assets profit_assets leverage tangibilit) float MTB double Beta byte(eng cr2002) double(GDP_growth inflation_consum) int(SIC_4DGT Year)
678 2 -.61 .75 4.7874917 3.3525927 0 20.26132 .0530022 .31922 .446045 .7992439 1.26 0 3 .025016 .0199838 3714 2018
664 5 -.68 .09 4.0943446 8.3779311 5 26.14035 -.0005506 .4462913 .7214542 .7955087 2.07 0 1 .0132287 .0344637 2911 2017
181 8 -.63 .01 3.5835189 6.2146081 0 23.43121 .0078546 .5291273 .8031732 .5617904 1.066 1 4 .0379609 .0149387 4911 2017
265 9 -.57 .21 4.0943446 6.499787 4 24.36186 .0583059 .3835267 .7280567 1.8965732 1.06 0 2 .0135936 .0431214 1311 2017
417 10 -.7 .67 3.5835189 5.7037825 0 21.7797 .0684932 .102459 .6746014 2.787042 .63 0 3 .0341409 .0112937 2911 2017
507 13 -.62 .28 4.0430513 7.2474366 0 23.02109 .0203498 .2980392 .372973 2.2358842 1.286 0 3 .0223 .0049175 2899 2016
472 16 -.52 .77 4.1431347 4.7004804 0 20.70241 .0505589 .0852222 .8229994 .4260071 -.0017 1 1 .0903016 .0048837 1099 2018
303 19 -.51 .12 3.871201 5.0106353 0 21.51808 .0402165 .3322952 .9427869 .6267857 .1 0 2 .0263053 .0282171 6512 2016
468 21 .19 1.78 3.5835189 5.0135377 0 19.78133 .096935 .0428894 .1014527 1.0896862 .63 1 4 .0219248 .0161963 5941 2019
747 22 0 .03 2.8903718 5.7037825 0 21.50226 -.0617762 .3047328 .5654945 .5691248 .88 1 4 -.0161687 .1567534 1311 2016
727 24 -.6 .04 4.0943446 7.6009025 0 24.17558 .0139237 .569402 .3603346 1.0698718 .625 0 1 .0634149 .05
Thanks for your help.
I am trying to obtain joint test F results for the excluded instrument for the first stage IV regression. But I am not sure how to obtain it.
My code for the first stage regression is where my IV is ENGO
: reg gw ENGO_popultion log_loanmat log_loansize SP_rating log_firmage log_assets profit_assets leverage tangibilit MTB Beta eng cr2002 GDP_growth inflation_consum i.SIC_4DGT i.Year if post_Paris==1 &country_id!=38 , vce(cluster brorroer_id)
An example of my data is below.
input float(brorroer_id country_id) double(gw ENGO_popultion log_loanmat log_loansize) float SP_rating double(log_assets profit_assets leverage tangibilit) float MTB double Beta byte(eng cr2002) double(GDP_growth inflation_consum) int(SIC_4DGT Year)
678 2 -.61 .75 4.7874917 3.3525927 0 20.26132 .0530022 .31922 .446045 .7992439 1.26 0 3 .025016 .0199838 3714 2018
664 5 -.68 .09 4.0943446 8.3779311 5 26.14035 -.0005506 .4462913 .7214542 .7955087 2.07 0 1 .0132287 .0344637 2911 2017
181 8 -.63 .01 3.5835189 6.2146081 0 23.43121 .0078546 .5291273 .8031732 .5617904 1.066 1 4 .0379609 .0149387 4911 2017
265 9 -.57 .21 4.0943446 6.499787 4 24.36186 .0583059 .3835267 .7280567 1.8965732 1.06 0 2 .0135936 .0431214 1311 2017
417 10 -.7 .67 3.5835189 5.7037825 0 21.7797 .0684932 .102459 .6746014 2.787042 .63 0 3 .0341409 .0112937 2911 2017
507 13 -.62 .28 4.0430513 7.2474366 0 23.02109 .0203498 .2980392 .372973 2.2358842 1.286 0 3 .0223 .0049175 2899 2016
472 16 -.52 .77 4.1431347 4.7004804 0 20.70241 .0505589 .0852222 .8229994 .4260071 -.0017 1 1 .0903016 .0048837 1099 2018
303 19 -.51 .12 3.871201 5.0106353 0 21.51808 .0402165 .3322952 .9427869 .6267857 .1 0 2 .0263053 .0282171 6512 2016
468 21 .19 1.78 3.5835189 5.0135377 0 19.78133 .096935 .0428894 .1014527 1.0896862 .63 1 4 .0219248 .0161963 5941 2019
747 22 0 .03 2.8903718 5.7037825 0 21.50226 -.0617762 .3047328 .5654945 .5691248 .88 1 4 -.0161687 .1567534 1311 2016
727 24 -.6 .04 4.0943446 7.6009025 0 24.17558 .0139237 .569402 .3603346 1.0698718 .625 0 1 .0634149 .05
Thanks for your help.
