-------------------------------------------------------------------------------------------------------------------------------- log: C:\Documents and Settings\Corrado\Ambiente de trabalho\Data6095.log log type: text opened on: 25 Mar 2010, 16:34:16 . . . ************************************************************************************ . *FINANCIAL DEVELOPMENT AND LONG-RUN GROWTH: IS THE CROSS-SECTIONAL EVIDENCE ROBUST?* . ************************************************************************************ . . *CORRADO ANDINI* . . . ******************************************************************** . *THIS DO-FILE RE-EVALUATES THE CROSS-SECTIONAL EVIDENCE PROVIDED BY* . *LEVINE ET AL. (2000), JOURNAL OF MONETARY ECONOMICS 46, 31-77 * . ******************************************************************** . . . use "C:\Documents and Settings\Corrado\Ambiente de trabalho\Data6095.dta" . . . generate lnprivo = ln(privo) . generate lnbtot = ln(btot) . generate lnlly = ln(lly) . generate lngov = ln(gov) (7 missing values generated) . generate ln1pluspi = ln(1+pi) . generate ln1plusbmp = ln(1+bmp) (4 missing values generated) . generate lntrade = ln(trade) (5 missing values generated) . . . ******************************************************* . *REPLICATION OF TABLE 2 IN LEVINE ET AL. (2000, P. 43)* . ******************************************************* . . *TABLE 2: no conditioning* . . regress lnprivo englishn frenchn germann, robust Linear regression Number of obs = 71 F( 3, 67) = 19.32 Prob > F = 0.0000 R-squared = 0.2586 Root MSE = .67904 ------------------------------------------------------------------------------ | Robust lnprivo | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- englishn | -.7218478 .2234686 -3.23 0.002 -1.167893 -.2758027 frenchn | -.8945167 .2054941 -4.35 0.000 -1.304685 -.4843489 germann | .3995175 .2226651 1.79 0.077 -.0449238 .8439589 _cons | 4.027346 .1681645 23.95 0.000 3.691688 4.363003 ------------------------------------------------------------------------------ . regress lnbtot englishn frenchn germann, robust Linear regression Number of obs = 71 F( 3, 67) = 11.35 Prob > F = 0.0000 R-squared = 0.1156 Root MSE = .28958 ------------------------------------------------------------------------------ | Robust lnbtot | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- englishn | -.1703954 .0533805 -3.19 0.002 -.2769433 -.0638474 frenchn | -.2698666 .0639642 -4.22 0.000 -.3975397 -.1421936 germann | .048443 .029057 1.67 0.100 -.009555 .1064411 _cons | 4.506291 .0165799 271.79 0.000 4.473198 4.539385 ------------------------------------------------------------------------------ . regress lnlly englishn frenchn germann, robust Linear regression Number of obs = 71 F( 3, 67) = 8.71 Prob > F = 0.0001 R-squared = 0.2253 Root MSE = .4974 ------------------------------------------------------------------------------ | Robust lnlly | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- englishn | -.133697 .1348654 -0.99 0.325 -.4028895 .1354955 frenchn | -.4340803 .1278677 -3.39 0.001 -.6893054 -.1788553 germann | .4767791 .1918483 2.49 0.015 .0938484 .8597098 _cons | 3.828697 .0900835 42.50 0.000 3.64889 4.008504 ------------------------------------------------------------------------------ . . *TABLE 2: conditioning on initial income* . . regress lnprivo englishn frenchn germann lrgdpsh, robust Linear regression Number of obs = 71 F( 4, 66) = 22.97 Prob > F = 0.0000 R-squared = 0.5547 Root MSE = .53026 ------------------------------------------------------------------------------ | Robust lnprivo | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- englishn | -.092238 .1956432 -0.47 0.639 -.4828523 .2983762 frenchn | -.2655175 .2018365 -1.32 0.193 -.668497 .137462 germann | .7387071 .2322279 3.18 0.002 .2750491 1.202365 lrgdpsh | .5434159 .0866513 6.27 0.000 .370411 .7164209 _cons | -.697076 .7683227 -0.91 0.368 -2.231082 .8369298 ------------------------------------------------------------------------------ . regress lnbtot englishn frenchn germann lrgdpsh, robust Linear regression Number of obs = 71 F( 4, 66) = 8.11 Prob > F = 0.0000 R-squared = 0.2969 Root MSE = .26015 ------------------------------------------------------------------------------ | Robust lnbtot | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- englishn | .0219897 .0602297 0.37 0.716 -.0982628 .1422421 frenchn | -.0776682 .0536191 -1.45 0.152 -.1847222 .0293858 germann | .1520866 .0571934 2.66 0.010 .0378964 .2662768 lrgdpsh | .1660474 .0443842 3.74 0.000 .0774314 .2546634 _cons | 3.062686 .3866502 7.92 0.000 2.290714 3.834658 ------------------------------------------------------------------------------ . regress lnlly englishn frenchn germann lrgdpsh, robust Linear regression Number of obs = 71 F( 4, 66) = 18.95 Prob > F = 0.0000 R-squared = 0.4382 Root MSE = .42677 ------------------------------------------------------------------------------ | Robust lnlly | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- englishn | .2489287 .1177825 2.11 0.038 .0137683 .4840891 frenchn | -.0518257 .1352731 -0.38 0.703 -.3219072 .2182559 germann | .682911 .1713498 3.99 0.000 .3408001 1.025022 lrgdpsh | .3302441 .061404 5.38 0.000 .207647 .4528412 _cons | .957577 .5408035 1.77 0.081 -.1221721 2.037326 ------------------------------------------------------------------------------ . . . ******************************************************* . *REPLICATION OF TABLE 3 IN LEVINE ET AL. (2000, P. 46)* . ******************************************************* . . *TABLE 3: simple conditioning* . . ivreg2 growth lschool lrgdpsh (lnprivo = englishn frenchn germann), gmm small first First-stage regressions ----------------------- First-stage regression of lnprivo: OLS estimation -------------- Statistics robust to heteroskedasticity Number of obs = 71 F( 5, 65) = 26.09 Prob > F = 0.0000 Total (centered) SS = 41.67129152 Centered R2 = 0.6215 Total (uncentered) SS = 849.5781371 Uncentered R2 = 0.9814 Residual SS = 15.77371075 Root MSE = .4926 ------------------------------------------------------------------------------ | Robust lnprivo | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lschool | .631221 .1788212 3.53 0.001 .2740903 .9883517 lrgdpsh | .180435 .1220104 1.48 0.144 -.0632366 .4241066 englishn | -.0628682 .2199925 -0.29 0.776 -.5022235 .3764871 frenchn | -.181457 .2291754 -0.79 0.431 -.6391519 .276238 germann | .7087913 .2198081 3.22 0.002 .2698042 1.147778 _cons | 1.135876 .8450745 1.34 0.184 -.5518542 2.823607 ------------------------------------------------------------------------------ Included instruments: lschool lrgdpsh englishn frenchn germann ------------------------------------------------------------------------------ Partial R-squared of excluded instruments: 0.1940 Test of excluded instruments: F( 3, 65) = 14.06 Prob > F = 0.0000 Summary results for first-stage regressions ------------------------------------------- Variable | Shea Partial R2 | Partial R2 | F( 3, 65) P-value lnprivo | 0.1940 | 0.1940 | 14.06 0.0000 NB: first-stage F-stat heteroskedasticity-robust Underidentification tests Ho: matrix of reduced form coefficients has rank=K-1 (underidentified) Ha: matrix has rank=K (identified) Chi-sq(3) P-value Anderson canon. corr. -N*ln(1-CCEV) LR stat. 15.31 0.0016 Cragg-Donald N*CDEV statistic 17.08 0.0007 Robust chi-square statistic 46.08 0.0000 Weak identification tests Ho: equation is weakly identified Cragg-Donald (N-L)*CDEV/L1 F-statistic 5.21 Robust F-statistic 14.06 See main output for Cragg-Donald weak id test critical values NB: Anderson and Cragg-Donald under- and weak identification stats not robust Robust identification stats heteroskedasticity-robust Weak-instrument-robust inference Tests of joint significance of endogenous regressors B1 in main equation Ho: B1=0 and overidentifying restrictions are valid Anderson-Rubin test F(3,65)= 2.75 P-val=0.0496 Anderson-Rubin test Chi-sq(3)=9.02 P-val=0.0290 Stock-Wright S statistic Chi-sq(3)=4.79 P-val=0.1880 NB: Test statistics heteroskedasticity-robust Number of observations N = 71 Number of regressors K = 4 Number of instruments L = 6 Number of excluded instruments L1 = 3 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 71 F( 3, 67) = 10.35 Prob > F = 0.0000 Total (centered) SS = 243.0322417 Centered R2 = 0.3992 Total (uncentered) SS = 493.3035576 Uncentered R2 = 0.7040 Residual SS = 146.0117837 Root MSE = 1.476 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnprivo | 2.515114 .8346498 3.01 0.004 .8491464 4.181082 lschool | 1.045972 .8041532 1.30 0.198 -.5591241 2.651069 lrgdpsh | -1.688606 .4411358 -3.83 0.000 -2.569117 -.8080954 _cons | 4.849293 2.554497 1.90 0.062 -.2495054 9.948091 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 15.309 Chi-sq(3) P-val = 0.0016 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 5.213 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 0.147 Chi-sq(2) P-val = 0.9293 ------------------------------------------------------------------------------ Instrumented: lnprivo Included instruments: lschool lrgdpsh Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . ivreg2 growth lschool lrgdpsh (lnbtot = englishn frenchn germann), gmm small first First-stage regressions ----------------------- First-stage regression of lnbtot: OLS estimation -------------- Statistics robust to heteroskedasticity Number of obs = 71 F( 5, 65) = 7.01 Prob > F = 0.0000 Total (centered) SS = 6.353071492 Centered R2 = 0.3092 Total (uncentered) SS = 1332.338635 Uncentered R2 = 0.9967 Residual SS = 4.388868427 Root MSE = .2598 ------------------------------------------------------------------------------ | Robust lnbtot | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lschool | .1055841 .1246091 0.85 0.400 -.1432774 .3544456 lrgdpsh | .1053317 .0742419 1.42 0.161 -.0429397 .2536031 englishn | .0269023 .0618116 0.44 0.665 -.096544 .1503487 frenchn | -.0636074 .0609093 -1.04 0.300 -.1852517 .0580369 germann | .1470826 .0508651 2.89 0.005 .0454979 .2486672 _cons | 3.369283 .4600607 7.32 0.000 2.450479 4.288088 ------------------------------------------------------------------------------ Included instruments: lschool lrgdpsh englishn frenchn germann ------------------------------------------------------------------------------ Partial R-squared of excluded instruments: 0.0567 Test of excluded instruments: F( 3, 65) = 4.74 Prob > F = 0.0047 Summary results for first-stage regressions ------------------------------------------- Variable | Shea Partial R2 | Partial R2 | F( 3, 65) P-value lnbtot | 0.0567 | 0.0567 | 4.74 0.0047 NB: first-stage F-stat heteroskedasticity-robust Underidentification tests Ho: matrix of reduced form coefficients has rank=K-1 (underidentified) Ha: matrix has rank=K (identified) Chi-sq(3) P-value Anderson canon. corr. -N*ln(1-CCEV) LR stat. 4.14 0.2463 Cragg-Donald N*CDEV statistic 4.27 0.2339 Robust chi-square statistic 15.55 0.0014 Weak identification tests Ho: equation is weakly identified Cragg-Donald (N-L)*CDEV/L1 F-statistic 1.30 Robust F-statistic 4.74 See main output for Cragg-Donald weak id test critical values NB: Anderson and Cragg-Donald under- and weak identification stats not robust Robust identification stats heteroskedasticity-robust Weak-instrument-robust inference Tests of joint significance of endogenous regressors B1 in main equation Ho: B1=0 and overidentifying restrictions are valid Anderson-Rubin test F(3,65)= 2.75 P-val=0.0496 Anderson-Rubin test Chi-sq(3)=9.02 P-val=0.0290 Stock-Wright S statistic Chi-sq(3)=4.79 P-val=0.1880 NB: Test statistics heteroskedasticity-robust Number of observations N = 71 Number of regressors K = 4 Number of instruments L = 6 Number of excluded instruments L1 = 3 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 71 F( 3, 67) = 6.60 Prob > F = 0.0006 Total (centered) SS = 243.0322417 Centered R2 = -0.6580 Total (uncentered) SS = 493.3035576 Uncentered R2 = 0.1832 Residual SS = 402.9448206 Root MSE = 2.452 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnbtot | 9.954841 3.173064 3.14 0.003 3.621379 16.2883 lschool | 1.804232 .957514 1.88 0.064 -.1069741 3.715438 lrgdpsh | -2.194084 .6420757 -3.42 0.001 -3.475672 -.9124951 _cons | -27.01274 11.08327 -2.44 0.017 -49.13504 -4.89044 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 4.145 Chi-sq(3) P-val = 0.2463 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 1.302 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 1.515 Chi-sq(2) P-val = 0.4687 ------------------------------------------------------------------------------ Instrumented: lnbtot Included instruments: lschool lrgdpsh Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . ivreg2 growth lschool lrgdpsh (lnlly = englishn frenchn germann), gmm small first First-stage regressions ----------------------- First-stage regression of lnlly: OLS estimation -------------- Statistics robust to heteroskedasticity Number of obs = 71 F( 5, 65) = 14.66 Prob > F = 0.0000 Total (centered) SS = 21.39661645 Centered R2 = 0.4697 Total (uncentered) SS = 952.1281537 Uncentered R2 = 0.9881 Residual SS = 11.3460745 Root MSE = .4178 ------------------------------------------------------------------------------ | Robust lnlly | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lschool | .3107381 .1854305 1.68 0.099 -.0595922 .6810684 lrgdpsh | .1515555 .1232889 1.23 0.223 -.0946695 .3977804 englishn | .2633869 .1190972 2.21 0.031 .0255335 .5012404 frenchn | -.0104442 .1418108 -0.07 0.942 -.29366 .2727715 germann | .668184 .1649483 4.05 0.000 .3387595 .9976085 _cons | 1.859905 .7608919 2.44 0.017 .3402986 3.37951 ------------------------------------------------------------------------------ Included instruments: lschool lrgdpsh englishn frenchn germann ------------------------------------------------------------------------------ Partial R-squared of excluded instruments: 0.1994 Test of excluded instruments: F( 3, 65) = 8.11 Prob > F = 0.0001 Summary results for first-stage regressions ------------------------------------------- Variable | Shea Partial R2 | Partial R2 | F( 3, 65) P-value lnlly | 0.1994 | 0.1994 | 8.11 0.0001 NB: first-stage F-stat heteroskedasticity-robust Underidentification tests Ho: matrix of reduced form coefficients has rank=K-1 (underidentified) Ha: matrix has rank=K (identified) Chi-sq(3) P-value Anderson canon. corr. -N*ln(1-CCEV) LR stat. 15.79 0.0013 Cragg-Donald N*CDEV statistic 17.68 0.0005 Robust chi-square statistic 26.59 0.0000 Weak identification tests Ho: equation is weakly identified Cragg-Donald (N-L)*CDEV/L1 F-statistic 5.40 Robust F-statistic 8.11 See main output for Cragg-Donald weak id test critical values NB: Anderson and Cragg-Donald under- and weak identification stats not robust Robust identification stats heteroskedasticity-robust Weak-instrument-robust inference Tests of joint significance of endogenous regressors B1 in main equation Ho: B1=0 and overidentifying restrictions are valid Anderson-Rubin test F(3,65)= 2.75 P-val=0.0496 Anderson-Rubin test Chi-sq(3)=9.02 P-val=0.0290 Stock-Wright S statistic Chi-sq(3)=4.79 P-val=0.1880 NB: Test statistics heteroskedasticity-robust Number of observations N = 71 Number of regressors K = 4 Number of instruments L = 6 Number of excluded instruments L1 = 3 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 71 F( 3, 67) = 15.72 Prob > F = 0.0000 Total (centered) SS = 243.0322417 Centered R2 = 0.5278 Total (uncentered) SS = 493.3035576 Uncentered R2 = 0.7673 Residual SS = 114.7672866 Root MSE = 1.309 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnlly | 1.844528 .8856832 2.08 0.041 .0766972 3.612359 lschool | 1.989624 .4727746 4.21 0.000 1.045962 2.933286 lrgdpsh | -1.310886 .389948 -3.36 0.001 -2.089225 -.5325465 _cons | 2.322315 2.693495 0.86 0.392 -3.053922 7.698553 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 15.791 Chi-sq(3) P-val = 0.0013 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 5.397 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 2.559 Chi-sq(2) P-val = 0.2782 ------------------------------------------------------------------------------ Instrumented: lnlly Included instruments: lschool lrgdpsh Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . . *TABLE 3: policy conditioning* . . ivreg2 growth lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade (lnprivo = englishn frenchn germann), gmm small first First-stage regressions ----------------------- First-stage regression of lnprivo: OLS estimation -------------- Statistics robust to heteroskedasticity Number of obs = 63 F( 9, 53) = 17.53 Prob > F = 0.0000 Total (centered) SS = 32.99056981 Centered R2 = 0.7580 Total (uncentered) SS = 789.5258684 Uncentered R2 = 0.9899 Residual SS = 7.983793742 Root MSE = .3881 ------------------------------------------------------------------------------ | Robust lnprivo | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lschool | .3856894 .176963 2.18 0.034 .0307466 .7406323 lrgdpsh | .1281049 .0878162 1.46 0.151 -.0480321 .3042418 lngov | .1712428 .1533888 1.12 0.269 -.1364162 .4789018 ln1pluspi | -.2860363 .1028989 -2.78 0.008 -.4924254 -.0796472 ln1plusbmp | -.1072978 .0387584 -2.77 0.008 -.1850373 -.0295583 lntrade | -.1145151 .1016644 -1.13 0.265 -.318428 .0893978 englishn | .0883257 .2374329 0.37 0.711 -.3879044 .5645557 frenchn | .009295 .2514294 0.04 0.971 -.4950085 .5135984 germann | .5384206 .2669435 2.02 0.049 .0029997 1.073841 _cons | 2.737544 .8646448 3.17 0.003 1.003286 4.471802 ------------------------------------------------------------------------------ Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade englishn frenchn germann ------------------------------------------------------------------------------ Partial R-squared of excluded instruments: 0.1305 Test of excluded instruments: F( 3, 53) = 2.63 Prob > F = 0.0598 Summary results for first-stage regressions ------------------------------------------- Variable | Shea Partial R2 | Partial R2 | F( 3, 53) P-value lnprivo | 0.1305 | 0.1305 | 2.63 0.0598 NB: first-stage F-stat heteroskedasticity-robust Underidentification tests Ho: matrix of reduced form coefficients has rank=K-1 (underidentified) Ha: matrix has rank=K (identified) Chi-sq(3) P-value Anderson canon. corr. -N*ln(1-CCEV) LR stat. 8.81 0.0320 Cragg-Donald N*CDEV statistic 9.45 0.0238 Robust chi-square statistic 9.37 0.0248 Weak identification tests Ho: equation is weakly identified Cragg-Donald (N-L)*CDEV/L1 F-statistic 2.65 Robust F-statistic 2.63 See main output for Cragg-Donald weak id test critical values NB: Anderson and Cragg-Donald under- and weak identification stats not robust Robust identification stats heteroskedasticity-robust Weak-instrument-robust inference Tests of joint significance of endogenous regressors B1 in main equation Ho: B1=0 and overidentifying restrictions are valid Anderson-Rubin test F(3,53)= 1.78 P-val=0.1621 Anderson-Rubin test Chi-sq(3)=6.35 P-val=0.0958 Stock-Wright S statistic Chi-sq(3)=4.43 P-val=0.2190 NB: Test statistics heteroskedasticity-robust Number of observations N = 63 Number of regressors K = 8 Number of instruments L = 10 Number of excluded instruments L1 = 3 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 63 F( 7, 55) = 7.64 Prob > F = 0.0000 Total (centered) SS = 227.4043784 Centered R2 = 0.4665 Total (uncentered) SS = 466.0464976 Uncentered R2 = 0.7397 Residual SS = 121.3147073 Root MSE = 1.485 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnprivo | 3.364011 1.572694 2.14 0.037 .2122624 6.51576 lschool | 1.518938 1.032597 1.47 0.147 -.5504328 3.588309 lrgdpsh | -1.982817 .4292431 -4.62 0.000 -2.843039 -1.122594 lngov | -1.0982 .7914959 -1.39 0.171 -2.684393 .4879933 ln1pluspi | .8304861 .6479699 1.28 0.205 -.4680746 2.129047 ln1plusbmp | .0142849 .2267682 0.06 0.950 -.4401688 .4687386 lntrade | .8500249 .5239187 1.62 0.110 -.1999316 1.899981 _cons | .7874404 6.526006 0.12 0.904 -12.29097 13.86585 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 8.808 Chi-sq(3) P-val = 0.0320 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 2.651 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 0.298 Chi-sq(2) P-val = 0.8615 ------------------------------------------------------------------------------ Instrumented: lnprivo Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . ivreg2 growth lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade (lnbtot = englishn frenchn germann), gmm small first First-stage regressions ----------------------- First-stage regression of lnbtot: OLS estimation -------------- Statistics robust to heteroskedasticity Number of obs = 63 F( 9, 53) = 5.23 Prob > F = 0.0000 Total (centered) SS = 5.245005488 Centered R2 = 0.4618 Total (uncentered) SS = 1191.234849 Uncentered R2 = 0.9976 Residual SS = 2.822939496 Root MSE = .2308 ------------------------------------------------------------------------------ | Robust lnbtot | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lschool | -.0164762 .1269395 -0.13 0.897 -.2710847 .2381322 lrgdpsh | .1054256 .0632619 1.67 0.102 -.0214617 .2323129 lngov | .0425423 .0891946 0.48 0.635 -.1363594 .2214441 ln1pluspi | -.1028301 .081353 -1.26 0.212 -.2660036 .0603433 ln1plusbmp | -.0460837 .0210085 -2.19 0.033 -.0882214 -.003946 lntrade | .0329762 .0528209 0.62 0.535 -.072969 .1389215 englishn | .0974982 .0654842 1.49 0.142 -.0338464 .2288428 frenchn | .0579564 .0695873 0.83 0.409 -.081618 .1975309 germann | .134805 .0812378 1.66 0.103 -.0281373 .2977473 _cons | 3.578235 .5307299 6.74 0.000 2.513725 4.642744 ------------------------------------------------------------------------------ Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade englishn frenchn germann ------------------------------------------------------------------------------ Partial R-squared of excluded instruments: 0.0190 Test of excluded instruments: F( 3, 53) = 1.05 Prob > F = 0.3778 Summary results for first-stage regressions ------------------------------------------- Variable | Shea Partial R2 | Partial R2 | F( 3, 53) P-value lnbtot | 0.0190 | 0.0190 | 1.05 0.3778 NB: first-stage F-stat heteroskedasticity-robust Underidentification tests Ho: matrix of reduced form coefficients has rank=K-1 (underidentified) Ha: matrix has rank=K (identified) Chi-sq(3) P-value Anderson canon. corr. -N*ln(1-CCEV) LR stat. 1.21 0.7512 Cragg-Donald N*CDEV statistic 1.22 0.7484 Robust chi-square statistic 3.75 0.2901 Weak identification tests Ho: equation is weakly identified Cragg-Donald (N-L)*CDEV/L1 F-statistic 0.34 Robust F-statistic 1.05 See main output for Cragg-Donald weak id test critical values NB: Anderson and Cragg-Donald under- and weak identification stats not robust Robust identification stats heteroskedasticity-robust Weak-instrument-robust inference Tests of joint significance of endogenous regressors B1 in main equation Ho: B1=0 and overidentifying restrictions are valid Anderson-Rubin test F(3,53)= 1.78 P-val=0.1621 Anderson-Rubin test Chi-sq(3)=6.35 P-val=0.0958 Stock-Wright S statistic Chi-sq(3)=4.43 P-val=0.2190 NB: Test statistics heteroskedasticity-robust Number of observations N = 63 Number of regressors K = 8 Number of instruments L = 10 Number of excluded instruments L1 = 3 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 63 F( 7, 55) = 3.58 Prob > F = 0.0030 Total (centered) SS = 227.4043784 Centered R2 = -0.3777 Total (uncentered) SS = 466.0464976 Uncentered R2 = 0.3278 Residual SS = 313.2852757 Root MSE = 2.387 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnbtot | 10.62795 7.465386 1.42 0.160 -4.333017 25.58892 lschool | 3.213367 1.550642 2.07 0.043 .1058112 6.320924 lrgdpsh | -2.740244 1.054026 -2.60 0.012 -4.85256 -.6279281 lngov | -1.068111 .9517489 -1.12 0.267 -2.975458 .8392365 ln1pluspi | .5420782 1.394948 0.39 0.699 -2.25346 3.337617 ln1plusbmp | .1469561 .3730919 0.39 0.695 -.6007367 .8946489 lntrade | -.0995415 .4785758 -0.21 0.836 -1.058629 .8595459 _cons | -26.23415 31.22749 -0.84 0.404 -88.81545 36.34714 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 1.207 Chi-sq(3) P-val = 0.7512 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 0.342 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 3.099 Chi-sq(2) P-val = 0.2123 ------------------------------------------------------------------------------ Instrumented: lnbtot Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . ivreg2 growth lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade (lnlly = englishn frenchn germann), gmm small first First-stage regressions ----------------------- First-stage regression of lnlly: OLS estimation -------------- Statistics robust to heteroskedasticity Number of obs = 63 F( 9, 53) = 22.20 Prob > F = 0.0000 Total (centered) SS = 18.12403751 Centered R2 = 0.6640 Total (uncentered) SS = 864.8005352 Uncentered R2 = 0.9930 Residual SS = 6.089338831 Root MSE = .339 ------------------------------------------------------------------------------ | Robust lnlly | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lschool | .1566746 .1940581 0.81 0.423 -.2325568 .5459059 lrgdpsh | .1233379 .0948583 1.30 0.199 -.0669237 .3135995 lngov | .0846884 .1423125 0.60 0.554 -.2007542 .3701311 ln1pluspi | -.1961226 .0797669 -2.46 0.017 -.3561148 -.0361305 ln1plusbmp | -.0667809 .0381251 -1.75 0.086 -.1432501 .0096883 lntrade | .1177473 .1061317 1.11 0.272 -.095126 .3306206 englishn | .3507572 .1077471 3.26 0.002 .1346438 .5668706 frenchn | .0978137 .1328998 0.74 0.465 -.1687495 .3643769 germann | .5729039 .1640999 3.49 0.001 .2437613 .9020466 _cons | 2.186451 .883317 2.48 0.017 .4147413 3.95816 ------------------------------------------------------------------------------ Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade englishn frenchn germann ------------------------------------------------------------------------------ Partial R-squared of excluded instruments: 0.1858 Test of excluded instruments: F( 3, 53) = 7.98 Prob > F = 0.0002 Summary results for first-stage regressions ------------------------------------------- Variable | Shea Partial R2 | Partial R2 | F( 3, 53) P-value lnlly | 0.1858 | 0.1858 | 7.98 0.0002 NB: first-stage F-stat heteroskedasticity-robust Underidentification tests Ho: matrix of reduced form coefficients has rank=K-1 (underidentified) Ha: matrix has rank=K (identified) Chi-sq(3) P-value Anderson canon. corr. -N*ln(1-CCEV) LR stat. 12.95 0.0047 Cragg-Donald N*CDEV statistic 14.38 0.0024 Robust chi-square statistic 28.45 0.0000 Weak identification tests Ho: equation is weakly identified Cragg-Donald (N-L)*CDEV/L1 F-statistic 4.03 Robust F-statistic 7.98 See main output for Cragg-Donald weak id test critical values NB: Anderson and Cragg-Donald under- and weak identification stats not robust Robust identification stats heteroskedasticity-robust Weak-instrument-robust inference Tests of joint significance of endogenous regressors B1 in main equation Ho: B1=0 and overidentifying restrictions are valid Anderson-Rubin test F(3,53)= 1.78 P-val=0.1621 Anderson-Rubin test Chi-sq(3)=6.35 P-val=0.0958 Stock-Wright S statistic Chi-sq(3)=4.43 P-val=0.2190 NB: Test statistics heteroskedasticity-robust Number of observations N = 63 Number of regressors K = 8 Number of instruments L = 10 Number of excluded instruments L1 = 3 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 63 F( 7, 55) = 9.95 Prob > F = 0.0000 Total (centered) SS = 227.4043784 Centered R2 = 0.5648 Total (uncentered) SS = 466.0464976 Uncentered R2 = 0.7877 Residual SS = 98.95776719 Root MSE = 1.341 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnlly | 1.934577 1.018853 1.90 0.063 -.1072503 3.976404 lschool | 2.37449 .6936634 3.42 0.001 .9843578 3.764623 lrgdpsh | -1.640158 .3764017 -4.36 0.000 -2.394484 -.885832 lngov | -.7467853 .6958233 -1.07 0.288 -2.141246 .6476759 ln1pluspi | .2363669 .485438 0.49 0.628 -.7364727 1.209206 ln1plusbmp | -.2447752 .1956164 -1.25 0.216 -.6367992 .1472488 lntrade | .2133313 .3523613 0.61 0.547 -.4928165 .919479 _cons | 4.928496 4.473965 1.10 0.275 -4.03753 13.89452 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 12.953 Chi-sq(3) P-val = 0.0047 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 4.033 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 1.310 Chi-sq(2) P-val = 0.5195 ------------------------------------------------------------------------------ Instrumented: lnlly Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . . *TABLE 3: full conditioning* . . ivreg2 growth lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf (lnprivo = englishn frenchn germann), > gmm small first First-stage regressions ----------------------- First-stage regression of lnprivo: OLS estimation -------------- Statistics robust to heteroskedasticity Number of obs = 63 F( 12, 50) = 15.15 Prob > F = 0.0000 Total (centered) SS = 32.99056981 Centered R2 = 0.7690 Total (uncentered) SS = 789.5258684 Uncentered R2 = 0.9903 Residual SS = 7.621522992 Root MSE = .3904 ------------------------------------------------------------------------------ | Robust lnprivo | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lschool | .3591948 .231604 1.55 0.127 -.1059955 .8243852 lrgdpsh | .0658549 .1060003 0.62 0.537 -.1470529 .2787627 lngov | .1787984 .1487148 1.20 0.235 -.1199041 .4775009 ln1pluspi | -.2508002 .0994859 -2.52 0.015 -.4506236 -.0509769 ln1plusbmp | -.1161576 .0426821 -2.72 0.009 -.2018872 -.0304281 lntrade | -.0946435 .1043319 -0.91 0.369 -.3042003 .1149133 revc | -.2863821 .2689745 -1.06 0.292 -.8266334 .2538691 assass | .113416 .1365047 0.83 0.410 -.1607617 .3875937 avelf | -.259733 .3138402 -0.83 0.412 -.8900995 .3706336 englishn | .1139379 .2440218 0.47 0.643 -.3761943 .6040702 frenchn | -.0058928 .25197 -0.02 0.981 -.5119895 .5002039 germann | .5293412 .276291 1.92 0.061 -.0256056 1.084288 _cons | 3.178394 .9868238 3.22 0.002 1.1963 5.160488 ------------------------------------------------------------------------------ Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf englishn frenchn germann ------------------------------------------------------------------------------ Partial R-squared of excluded instruments: 0.1330 Test of excluded instruments: F( 3, 50) = 2.44 Prob > F = 0.0754 Summary results for first-stage regressions ------------------------------------------- Variable | Shea Partial R2 | Partial R2 | F( 3, 50) P-value lnprivo | 0.1330 | 0.1330 | 2.44 0.0754 NB: first-stage F-stat heteroskedasticity-robust Underidentification tests Ho: matrix of reduced form coefficients has rank=K-1 (underidentified) Ha: matrix has rank=K (identified) Chi-sq(3) P-value Anderson canon. corr. -N*ln(1-CCEV) LR stat. 8.99 0.0294 Cragg-Donald N*CDEV statistic 9.67 0.0216 Robust chi-square statistic 9.22 0.0266 Weak identification tests Ho: equation is weakly identified Cragg-Donald (N-L)*CDEV/L1 F-statistic 2.56 Robust F-statistic 2.44 See main output for Cragg-Donald weak id test critical values NB: Anderson and Cragg-Donald under- and weak identification stats not robust Robust identification stats heteroskedasticity-robust Weak-instrument-robust inference Tests of joint significance of endogenous regressors B1 in main equation Ho: B1=0 and overidentifying restrictions are valid Anderson-Rubin test F(3,50)= 2.79 P-val=0.0500 Anderson-Rubin test Chi-sq(3)=10.55 P-val=0.0144 Stock-Wright S statistic Chi-sq(3)=6.56 P-val=0.0874 NB: Test statistics heteroskedasticity-robust Number of observations N = 63 Number of regressors K = 11 Number of instruments L = 13 Number of excluded instruments L1 = 3 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 63 F( 10, 52) = 6.78 Prob > F = 0.0000 Total (centered) SS = 227.4043784 Centered R2 = 0.4722 Total (uncentered) SS = 466.0464976 Uncentered R2 = 0.7425 Residual SS = 120.0137434 Root MSE = 1.519 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnprivo | 3.462735 1.438401 2.41 0.020 .5763729 6.349097 lschool | 1.305488 .9720563 1.34 0.185 -.6450854 3.256062 lrgdpsh | -2.085669 .4473957 -4.66 0.000 -2.983434 -1.187903 lngov | -1.088945 .912934 -1.19 0.238 -2.920881 .7429916 ln1pluspi | .8997649 .5849641 1.54 0.130 -.2740514 2.073581 ln1plusbmp | -.0106436 .2386535 -0.04 0.965 -.4895368 .4682496 lntrade | .9076937 .5661148 1.60 0.115 -.2282988 2.043686 revc | -.2651885 1.080695 -0.25 0.807 -2.433762 1.903385 assass | .0289754 .5191386 0.06 0.956 -1.012752 1.070703 avelf | -.953458 1.301576 -0.73 0.467 -3.565262 1.658346 _cons | 1.521386 6.917702 0.22 0.827 -12.36 15.40277 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 8.995 Chi-sq(3) P-val = 0.0294 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 2.558 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 1.108 Chi-sq(2) P-val = 0.5747 ------------------------------------------------------------------------------ Instrumented: lnprivo Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . ivreg2 growth lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf (lnbtot = englishn frenchn germann), > gmm small first First-stage regressions ----------------------- First-stage regression of lnbtot: OLS estimation -------------- Statistics robust to heteroskedasticity Number of obs = 63 F( 12, 50) = 4.55 Prob > F = 0.0001 Total (centered) SS = 5.245005488 Centered R2 = 0.5208 Total (uncentered) SS = 1191.234849 Uncentered R2 = 0.9979 Residual SS = 2.513450432 Root MSE = .2242 ------------------------------------------------------------------------------ | Robust lnbtot | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lschool | .0299561 .1511166 0.20 0.844 -.2735706 .3334828 lrgdpsh | .0631527 .0638272 0.99 0.327 -.065048 .1913533 lngov | .0397483 .0851681 0.47 0.643 -.1313169 .2108135 ln1pluspi | -.0793367 .0775329 -1.02 0.311 -.2350662 .0763927 ln1plusbmp | -.0449738 .0267316 -1.68 0.099 -.0986657 .0087182 lntrade | .0642464 .0592544 1.08 0.283 -.0547696 .1832625 revc | -.3273364 .2462088 -1.33 0.190 -.8218612 .1671885 assass | .1672716 .0858313 1.95 0.057 -.0051256 .3396688 avelf | .0462168 .206419 0.22 0.824 -.3683881 .4608216 englishn | .0601595 .0626043 0.96 0.341 -.0655849 .1859038 frenchn | .0269797 .0658704 0.41 0.684 -.1053248 .1592843 germann | .1395603 .0827901 1.69 0.098 -.0267284 .3058491 _cons | 3.678117 .6186278 5.95 0.000 2.435566 4.920667 ------------------------------------------------------------------------------ Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf englishn frenchn germann ------------------------------------------------------------------------------ Partial R-squared of excluded instruments: 0.0241 Test of excluded instruments: F( 3, 50) = 1.27 Prob > F = 0.2948 Summary results for first-stage regressions ------------------------------------------- Variable | Shea Partial R2 | Partial R2 | F( 3, 50) P-value lnbtot | 0.0241 | 0.0241 | 1.27 0.2948 NB: first-stage F-stat heteroskedasticity-robust Underidentification tests Ho: matrix of reduced form coefficients has rank=K-1 (underidentified) Ha: matrix has rank=K (identified) Chi-sq(3) P-value Anderson canon. corr. -N*ln(1-CCEV) LR stat. 1.54 0.6732 Cragg-Donald N*CDEV statistic 1.56 0.6688 Robust chi-square statistic 4.80 0.1870 Weak identification tests Ho: equation is weakly identified Cragg-Donald (N-L)*CDEV/L1 F-statistic 0.41 Robust F-statistic 1.27 See main output for Cragg-Donald weak id test critical values NB: Anderson and Cragg-Donald under- and weak identification stats not robust Robust identification stats heteroskedasticity-robust Weak-instrument-robust inference Tests of joint significance of endogenous regressors B1 in main equation Ho: B1=0 and overidentifying restrictions are valid Anderson-Rubin test F(3,50)= 2.79 P-val=0.0500 Anderson-Rubin test Chi-sq(3)=10.55 P-val=0.0144 Stock-Wright S statistic Chi-sq(3)=6.56 P-val=0.0874 NB: Test statistics heteroskedasticity-robust Number of observations N = 63 Number of regressors K = 11 Number of instruments L = 13 Number of excluded instruments L1 = 3 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 63 F( 10, 52) = 2.49 Prob > F = 0.0162 Total (centered) SS = 227.4043784 Centered R2 = -0.6791 Total (uncentered) SS = 466.0464976 Uncentered R2 = 0.1807 Residual SS = 381.8299655 Root MSE = 2.71 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnbtot | 12.97126 6.651688 1.95 0.057 -.3763246 26.31885 lschool | 2.073354 1.820556 1.14 0.260 -1.579859 5.726567 lrgdpsh | -2.762955 .9528165 -2.90 0.005 -4.674921 -.8509886 lngov | -.6223544 1.058869 -0.59 0.559 -2.747131 1.502422 ln1pluspi | 1.041578 1.273493 0.82 0.417 -1.513872 3.597027 ln1plusbmp | .1488171 .4195004 0.35 0.724 -.6929721 .9906063 lntrade | -.407413 .7007362 -0.58 0.563 -1.813543 .9987171 revc | 3.245989 2.898091 1.12 0.268 -2.569455 9.061433 assass | -1.829262 1.191685 -1.54 0.131 -4.220552 .5620289 avelf | -2.807165 1.83524 -1.53 0.132 -6.489844 .8755137 _cons | -34.88078 29.85026 -1.17 0.248 -94.77971 25.01814 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 1.540 Chi-sq(3) P-val = 0.6732 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 0.412 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 0.474 Chi-sq(2) P-val = 0.7891 ------------------------------------------------------------------------------ Instrumented: lnbtot Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . ivreg2 growth lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf (lnlly = englishn frenchn germann), g > mm small first First-stage regressions ----------------------- First-stage regression of lnlly: OLS estimation -------------- Statistics robust to heteroskedasticity Number of obs = 63 F( 12, 50) = 22.06 Prob > F = 0.0000 Total (centered) SS = 18.12403751 Centered R2 = 0.6999 Total (uncentered) SS = 864.8005352 Uncentered R2 = 0.9937 Residual SS = 5.439408783 Root MSE = .3298 ------------------------------------------------------------------------------ | Robust lnlly | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lschool | .1660527 .2136064 0.78 0.441 -.2629884 .5950938 lrgdpsh | .0349491 .111519 0.31 0.755 -.1890433 .2589416 lngov | .0694068 .1515577 0.46 0.649 -.2350059 .3738194 ln1pluspi | -.1513113 .0793222 -1.91 0.062 -.3106347 .0080121 ln1plusbmp | -.0706792 .0442915 -1.60 0.117 -.1596413 .0182828 lntrade | .1393579 .1070336 1.30 0.199 -.0756255 .3543413 revc | -.5162603 .2281455 -2.26 0.028 -.974504 -.0580167 assass | .1602916 .1291207 1.24 0.220 -.0990551 .4196382 avelf | -.2345762 .2235444 -1.05 0.299 -.6835783 .2144259 englishn | .358336 .1194707 3.00 0.004 .118372 .5982999 frenchn | .078604 .1220403 0.64 0.522 -.1665212 .3237292 germann | .5616418 .1681738 3.34 0.002 .2238548 .8994287 _cons | 2.819977 .9976572 2.83 0.007 .8161231 4.82383 ------------------------------------------------------------------------------ Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf englishn frenchn germann ------------------------------------------------------------------------------ Partial R-squared of excluded instruments: 0.2059 Test of excluded instruments: F( 3, 50) = 6.98 Prob > F = 0.0005 Summary results for first-stage regressions ------------------------------------------- Variable | Shea Partial R2 | Partial R2 | F( 3, 50) P-value lnlly | 0.2059 | 0.2059 | 6.98 0.0005 NB: first-stage F-stat heteroskedasticity-robust Underidentification tests Ho: matrix of reduced form coefficients has rank=K-1 (underidentified) Ha: matrix has rank=K (identified) Chi-sq(3) P-value Anderson canon. corr. -N*ln(1-CCEV) LR stat. 14.53 0.0023 Cragg-Donald N*CDEV statistic 16.34 0.0010 Robust chi-square statistic 26.40 0.0000 Weak identification tests Ho: equation is weakly identified Cragg-Donald (N-L)*CDEV/L1 F-statistic 4.32 Robust F-statistic 6.98 See main output for Cragg-Donald weak id test critical values NB: Anderson and Cragg-Donald under- and weak identification stats not robust Robust identification stats heteroskedasticity-robust Weak-instrument-robust inference Tests of joint significance of endogenous regressors B1 in main equation Ho: B1=0 and overidentifying restrictions are valid Anderson-Rubin test F(3,50)= 2.79 P-val=0.0500 Anderson-Rubin test Chi-sq(3)=10.55 P-val=0.0144 Stock-Wright S statistic Chi-sq(3)=6.56 P-val=0.0874 NB: Test statistics heteroskedasticity-robust Number of observations N = 63 Number of regressors K = 11 Number of instruments L = 13 Number of excluded instruments L1 = 3 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 63 F( 10, 52) = 7.11 Prob > F = 0.0000 Total (centered) SS = 227.4043784 Centered R2 = 0.6048 Total (uncentered) SS = 466.0464976 Uncentered R2 = 0.8072 Residual SS = 89.86133311 Root MSE = 1.315 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnlly | 2.648955 .9905064 2.67 0.010 .6613586 4.636552 lschool | 1.925195 .7131935 2.70 0.009 .4940675 3.356323 lrgdpsh | -1.934496 .4362391 -4.43 0.000 -2.809874 -1.059118 lngov | -.506088 .8122025 -0.62 0.536 -2.135891 1.123715 ln1pluspi | .4910495 .4509112 1.09 0.281 -.4137701 1.395869 ln1plusbmp | -.2472679 .2158267 -1.15 0.257 -.6803558 .18582 lntrade | .1531805 .4691787 0.33 0.745 -.7882954 1.094656 revc | .2403484 1.184217 0.20 0.840 -2.135956 2.616653 assass | -.058823 .4821578 -0.12 0.903 -1.026343 .9086974 avelf | -1.66646 .9022961 -1.85 0.070 -3.47705 .1441293 _cons | 4.735618 5.130987 0.92 0.360 -5.560461 15.0317 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 14.528 Chi-sq(3) P-val = 0.0023 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 4.323 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 1.066 Chi-sq(2) P-val = 0.5869 ------------------------------------------------------------------------------ Instrumented: lnlly Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . . . **************** . *2SLS AND IVQR5* . **************** . . *2SLS AND IVQR5: lnprivohat - simple conditioning* . regress lnprivo englishn frenchn germann lschool lrgdpsh, robust Linear regression Number of obs = 71 F( 5, 65) = 26.09 Prob > F = 0.0000 R-squared = 0.6215 Root MSE = .49262 ------------------------------------------------------------------------------ | Robust lnprivo | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- englishn | -.0628682 .2199925 -0.29 0.776 -.5022235 .3764871 frenchn | -.181457 .2291754 -0.79 0.431 -.6391519 .276238 germann | .7087913 .2198081 3.22 0.002 .2698042 1.147778 lschool | .631221 .1788212 3.53 0.001 .2740903 .9883517 lrgdpsh | .180435 .1220104 1.48 0.144 -.0632366 .4241066 _cons | 1.135876 .8450745 1.34 0.184 -.5518542 2.823607 ------------------------------------------------------------------------------ . predict lnprivohat (option xb assumed; fitted values) . regress growth lnprivohat lschool lrgdpsh, robust Linear regression Number of obs = 71 F( 3, 67) = 10.21 Prob > F = 0.0000 R-squared = 0.3911 Root MSE = 1.4862 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnprivohat | 2.472739 .8841545 2.80 0.007 .7079591 4.237519 lschool | 1.095131 .8703991 1.26 0.213 -.6421924 2.832455 lrgdpsh | -1.694098 .4878731 -3.47 0.001 -2.667897 -.7202992 _cons | 4.953412 2.848254 1.74 0.087 -.7317279 10.63855 ------------------------------------------------------------------------------ . qreg growth lnprivohat lschool lrgdpsh, q(50) Iteration 1: WLS sum of weighted deviations = 81.065905 Iteration 1: sum of abs. weighted deviations = 82.366052 Iteration 2: sum of abs. weighted deviations = 81.040696 Iteration 3: sum of abs. weighted deviations = 80.578213 Iteration 4: sum of abs. weighted deviations = 80.570273 Median regression Number of obs = 71 Raw sum of deviations 96.81125 (about 1.9739418) Min sum of deviations 80.57027 Pseudo R2 = 0.1678 ------------------------------------------------------------------------------ growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnprivohat | 2.5767 .7527038 3.42 0.001 1.074297 4.079104 lschool | .9359698 .7642647 1.22 0.225 -.5895089 2.461449 lrgdpsh | -1.800955 .4321309 -4.17 0.000 -2.663492 -.9384179 _cons | 5.614787 2.503383 2.24 0.028 .6180127 10.61156 ------------------------------------------------------------------------------ . . *2SLS AND IVQR5: lbtot - simple conditioning* . regress lnbtot englishn frenchn germann lschool lrgdpsh, robust Linear regression Number of obs = 71 F( 5, 65) = 7.01 Prob > F = 0.0000 R-squared = 0.3092 Root MSE = .25985 ------------------------------------------------------------------------------ | Robust lnbtot | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- englishn | .0269023 .0618116 0.44 0.665 -.096544 .1503487 frenchn | -.0636074 .0609093 -1.04 0.300 -.1852517 .0580369 germann | .1470826 .0508651 2.89 0.005 .0454979 .2486672 lschool | .1055841 .1246091 0.85 0.400 -.1432774 .3544456 lrgdpsh | .1053317 .0742419 1.42 0.161 -.0429397 .2536031 _cons | 3.369283 .4600607 7.32 0.000 2.450479 4.288088 ------------------------------------------------------------------------------ . predict lnbtothat (option xb assumed; fitted values) . regress growth lnbtothat lschool lrgdpsh, robust Linear regression Number of obs = 71 F( 3, 67) = 9.65 Prob > F = 0.0000 R-squared = 0.3730 Root MSE = 1.508 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnbtothat | 8.446499 3.227543 2.62 0.011 2.004295 14.8887 lschool | 1.746195 .6594562 2.65 0.010 .4299145 3.062475 lrgdpsh | -2.081052 .6233112 -3.34 0.001 -3.325186 -.8369172 _cons | -21.17214 10.50151 -2.02 0.048 -42.13324 -.2110415 ------------------------------------------------------------------------------ . qreg growth lnbtothat lschool lrgdpsh, q(50) Iteration 1: WLS sum of weighted deviations = 83.030313 Iteration 1: sum of abs. weighted deviations = 1590.8783 Iteration 2: sum of abs. weighted deviations = 81.93947 Iteration 3: sum of abs. weighted deviations = 81.806279 Iteration 4: sum of abs. weighted deviations = 81.689219 Iteration 5: sum of abs. weighted deviations = 81.67419 Median regression Number of obs = 71 Raw sum of deviations 96.81125 (about 1.9739418) Min sum of deviations 81.67419 Pseudo R2 = 0.1564 ------------------------------------------------------------------------------ growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnbtothat | 7.986395 3.366766 2.37 0.021 1.266302 14.70649 lschool | 1.897641 .785872 2.41 0.018 .3290339 3.466248 lrgdpsh | -2.297288 .5258014 -4.37 0.000 -3.346792 -1.247784 _cons | -17.99417 11.76789 -1.53 0.131 -41.48298 5.494639 ------------------------------------------------------------------------------ . . *2SLS AND IVQR5: lnlly - simple conditioning* . regress lnlly englishn frenchn germann lschool lrgdpsh, robust Linear regression Number of obs = 71 F( 5, 65) = 14.66 Prob > F = 0.0000 R-squared = 0.4697 Root MSE = .4178 ------------------------------------------------------------------------------ | Robust lnlly | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- englishn | .2633869 .1190972 2.21 0.031 .0255335 .5012404 frenchn | -.0104442 .1418108 -0.07 0.942 -.29366 .2727715 germann | .668184 .1649483 4.05 0.000 .3387595 .9976085 lschool | .3107381 .1854305 1.68 0.099 -.0595922 .6810684 lrgdpsh | .1515555 .1232889 1.23 0.223 -.0946695 .3977804 _cons | 1.859905 .7608919 2.44 0.017 .3402986 3.37951 ------------------------------------------------------------------------------ . predict lnllyhat (option xb assumed; fitted values) . regress growth lnllyhat lschool lrgdpsh, robust Linear regression Number of obs = 71 F( 3, 67) = 9.54 Prob > F = 0.0000 R-squared = 0.3687 Root MSE = 1.5132 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnllyhat | 2.507663 .9895598 2.53 0.014 .5324937 4.482833 lschool | 1.895476 .6481979 2.92 0.005 .6016672 3.189284 lrgdpsh | -1.541176 .5003748 -3.08 0.003 -2.539928 -.5424234 _cons | 1.900546 3.049598 0.62 0.535 -4.186476 7.987568 ------------------------------------------------------------------------------ . qreg growth lnllyhat lschool lrgdpsh, q(50) Iteration 1: WLS sum of weighted deviations = 83.481039 Iteration 1: sum of abs. weighted deviations = 207.97091 Iteration 2: sum of abs. weighted deviations = 83.477744 Iteration 3: sum of abs. weighted deviations = 83.012183 Iteration 4: sum of abs. weighted deviations = 82.972415 Iteration 5: sum of abs. weighted deviations = 82.802348 Iteration 6: sum of abs. weighted deviations = 82.801 Median regression Number of obs = 71 Raw sum of deviations 96.81125 (about 1.9739418) Min sum of deviations 82.801 Pseudo R2 = 0.1447 ------------------------------------------------------------------------------ growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnllyhat | 1.973364 1.187261 1.66 0.101 -.3964186 4.343147 lschool | 1.973899 .8810361 2.24 0.028 .2153437 3.732455 lrgdpsh | -1.539911 .5404974 -2.85 0.006 -2.618749 -.4610738 _cons | 3.522348 4.074563 0.86 0.390 -4.610514 11.65521 ------------------------------------------------------------------------------ . . *2SLS AND IVQR5: lnprivohat - policy conditioning* . drop lnprivohat . regress lnprivo englishn frenchn germann lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade, robust Linear regression Number of obs = 63 F( 9, 53) = 17.53 Prob > F = 0.0000 R-squared = 0.7580 Root MSE = .38812 ------------------------------------------------------------------------------ | Robust lnprivo | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- englishn | .0883257 .2374329 0.37 0.711 -.3879044 .5645557 frenchn | .009295 .2514294 0.04 0.971 -.4950085 .5135984 germann | .5384206 .2669435 2.02 0.049 .0029997 1.073841 lschool | .3856894 .176963 2.18 0.034 .0307466 .7406323 lrgdpsh | .1281049 .0878162 1.46 0.151 -.0480321 .3042418 lngov | .1712428 .1533888 1.12 0.269 -.1364162 .4789018 ln1pluspi | -.2860363 .1028989 -2.78 0.008 -.4924254 -.0796472 ln1plusbmp | -.1072978 .0387584 -2.77 0.008 -.1850373 -.0295583 lntrade | -.1145151 .1016644 -1.13 0.265 -.318428 .0893978 _cons | 2.737544 .8646448 3.17 0.003 1.003286 4.471802 ------------------------------------------------------------------------------ . predict lnprivohat (option xb assumed; fitted values) (8 missing values generated) . regress growth lnprivohat lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade, robust Linear regression Number of obs = 63 F( 7, 55) = 7.22 Prob > F = 0.0000 R-squared = 0.4781 Root MSE = 1.469 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnprivohat | 3.400464 1.619749 2.10 0.040 .1544134 6.646514 lschool | 1.517994 1.000346 1.52 0.135 -.4867433 3.522732 lrgdpsh | -1.992275 .4661022 -4.27 0.000 -2.926365 -1.058185 lngov | -1.078781 .6488039 -1.66 0.102 -2.379013 .221451 ln1pluspi | .8406161 .6875046 1.22 0.227 -.5371739 2.218406 ln1plusbmp | .0301335 .2524404 0.12 0.905 -.4757684 .5360355 lntrade | .8309605 .4548552 1.83 0.073 -.0805897 1.742511 _cons | .7025857 5.90743 0.12 0.906 -11.13617 12.54134 ------------------------------------------------------------------------------ . qreg growth lnprivohat lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade, q(50) Iteration 1: WLS sum of weighted deviations = 68.227558 Iteration 1: sum of abs. weighted deviations = 74.937272 Iteration 2: sum of abs. weighted deviations = 67.350785 Iteration 3: sum of abs. weighted deviations = 67.350509 Iteration 4: sum of abs. weighted deviations = 67.258718 Iteration 5: sum of abs. weighted deviations = 67.239017 Iteration 6: sum of abs. weighted deviations = 67.234926 Iteration 7: sum of abs. weighted deviations = 67.199234 Iteration 8: sum of abs. weighted deviations = 67.199174 Median regression Number of obs = 63 Raw sum of deviations 87.19446 (about 1.9751474) Min sum of deviations 67.19917 Pseudo R2 = 0.2293 ------------------------------------------------------------------------------ growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnprivohat | 2.871653 1.576205 1.82 0.074 -.2871322 6.030438 lschool | .9673642 1.083757 0.89 0.376 -1.204534 3.139263 lrgdpsh | -1.997314 .5160095 -3.87 0.000 -3.031421 -.9632083 lngov | -.7127924 .9393144 -0.76 0.451 -2.59522 1.169636 ln1pluspi | .9193655 .7934304 1.16 0.252 -.6707046 2.509436 ln1plusbmp | -.1390211 .2862613 -0.49 0.629 -.7127016 .4346593 lntrade | .4694222 .6012987 0.78 0.438 -.7356074 1.674452 _cons | 4.129769 7.000956 0.59 0.558 -9.90046 18.16 ------------------------------------------------------------------------------ . . *2SLS AND IVQR5: lbtot - policy conditioning* . drop lnbtothat . regress lnbtot englishn frenchn germann lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade, robust Linear regression Number of obs = 63 F( 9, 53) = 5.23 Prob > F = 0.0000 R-squared = 0.4618 Root MSE = .23079 ------------------------------------------------------------------------------ | Robust lnbtot | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- englishn | .0974982 .0654842 1.49 0.142 -.0338464 .2288428 frenchn | .0579564 .0695873 0.83 0.409 -.081618 .1975309 germann | .134805 .0812378 1.66 0.103 -.0281373 .2977473 lschool | -.0164762 .1269395 -0.13 0.897 -.2710847 .2381322 lrgdpsh | .1054256 .0632619 1.67 0.102 -.0214617 .2323129 lngov | .0425423 .0891946 0.48 0.635 -.1363594 .2214441 ln1pluspi | -.1028301 .081353 -1.26 0.212 -.2660036 .0603433 ln1plusbmp | -.0460837 .0210085 -2.19 0.033 -.0882214 -.003946 lntrade | .0329762 .0528209 0.62 0.535 -.072969 .1389215 _cons | 3.578235 .5307299 6.74 0.000 2.513725 4.642744 ------------------------------------------------------------------------------ . predict lnbtothat (option xb assumed; fitted values) (8 missing values generated) . regress growth lnbtothat lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade, robust Linear regression Number of obs = 63 F( 7, 55) = 6.58 Prob > F = 0.0000 R-squared = 0.4572 Root MSE = 1.4981 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnbtothat | 12.90649 6.125071 2.11 0.040 .6315744 25.18141 lschool | 3.099026 .7818154 3.96 0.000 1.532233 4.665819 lrgdpsh | -2.907864 .8246822 -3.53 0.001 -4.560565 -1.255164 lngov | -1.063838 .6108628 -1.74 0.087 -2.288034 .1603588 ln1pluspi | 1.163803 .8161503 1.43 0.160 -.4717987 2.799405 ln1plusbmp | .2023839 .3114674 0.65 0.519 -.4218107 .8265786 lntrade | -.0654075 .4194485 -0.16 0.877 -.906001 .7751859 _cons | -36.44594 22.51333 -1.62 0.111 -81.56366 8.671769 ------------------------------------------------------------------------------ . qreg growth lnbtothat lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade, q(50) Iteration 1: WLS sum of weighted deviations = 69.796837 Iteration 1: sum of abs. weighted deviations = 69.180615 Iteration 2: sum of abs. weighted deviations = 68.961057 Iteration 3: sum of abs. weighted deviations = 68.844035 Iteration 4: sum of abs. weighted deviations = 68.832099 Iteration 5: sum of abs. weighted deviations = 68.829239 Median regression Number of obs = 63 Raw sum of deviations 87.19446 (about 1.9751474) Min sum of deviations 68.82924 Pseudo R2 = 0.2106 ------------------------------------------------------------------------------ growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnbtothat | 11.18041 13.21867 0.85 0.401 -15.31039 37.67121 lschool | 2.892998 1.370498 2.11 0.039 .146459 5.639536 lrgdpsh | -2.752831 1.436137 -1.92 0.060 -5.630914 .125252 lngov | -.7419616 1.565555 -0.47 0.637 -3.879405 2.395481 ln1pluspi | 1.028238 1.849923 0.56 0.581 -2.67909 4.735566 ln1plusbmp | .0922858 .63944 0.14 0.886 -1.18918 1.373752 lntrade | -.3237642 .806497 -0.40 0.690 -1.94002 1.292492 _cons | -28.96508 51.12492 -0.57 0.573 -131.4217 73.49155 ------------------------------------------------------------------------------ . . *2SLS AND IVQR5: lnlly - policy conditioning* . drop lnllyhat . regress lnlly englishn frenchn germann lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade, robust Linear regression Number of obs = 63 F( 9, 53) = 22.20 Prob > F = 0.0000 R-squared = 0.6640 Root MSE = .33896 ------------------------------------------------------------------------------ | Robust lnlly | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- englishn | .3507572 .1077471 3.26 0.002 .1346438 .5668706 frenchn | .0978137 .1328998 0.74 0.465 -.1687495 .3643769 germann | .5729039 .1640999 3.49 0.001 .2437613 .9020466 lschool | .1566746 .1940581 0.81 0.423 -.2325568 .5459059 lrgdpsh | .1233379 .0948583 1.30 0.199 -.0669237 .3135995 lngov | .0846884 .1423125 0.60 0.554 -.2007542 .3701311 ln1pluspi | -.1961226 .0797669 -2.46 0.017 -.3561148 -.0361305 ln1plusbmp | -.0667809 .0381251 -1.75 0.086 -.1432501 .0096883 lntrade | .1177473 .1061317 1.11 0.272 -.095126 .3306206 _cons | 2.186451 .883317 2.48 0.017 .4147413 3.95816 ------------------------------------------------------------------------------ . predict lnllyhat (option xb assumed; fitted values) (8 missing values generated) . regress growth lnllyhat lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade, robust Linear regression Number of obs = 63 F( 7, 55) = 6.90 Prob > F = 0.0000 R-squared = 0.4675 Root MSE = 1.4838 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnllyhat | 2.869292 1.282322 2.24 0.029 .2994608 5.439122 lschool | 2.331784 .7651832 3.05 0.004 .798323 3.865246 lrgdpsh | -1.88825 .4624252 -4.08 0.000 -2.814971 -.9615296 lngov | -.9056615 .5881931 -1.54 0.129 -2.084427 .2731039 ln1pluspi | .491176 .5303513 0.93 0.358 -.5716718 1.554024 ln1plusbmp | -.2210907 .1877473 -1.18 0.244 -.5973448 .1551634 lntrade | .0536417 .3940571 0.14 0.892 -.7360664 .8433499 _cons | 3.926895 4.366548 0.90 0.372 -4.823863 12.67765 ------------------------------------------------------------------------------ . qreg growth lnllyhat lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade, q(50) Iteration 1: WLS sum of weighted deviations = 69.230908 Iteration 1: sum of abs. weighted deviations = 69.027997 Iteration 2: sum of abs. weighted deviations = 68.640192 Iteration 3: sum of abs. weighted deviations = 68.56806 Iteration 4: sum of abs. weighted deviations = 68.554466 Median regression Number of obs = 63 Raw sum of deviations 87.19446 (about 1.9751474) Min sum of deviations 68.55447 Pseudo R2 = 0.2138 ------------------------------------------------------------------------------ growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnllyhat | 2.29019 2.529506 0.91 0.369 -2.779053 7.359432 lschool | 2.201562 1.533725 1.44 0.157 -.8720918 5.275215 lrgdpsh | -1.850589 .7805224 -2.37 0.021 -3.414791 -.2863877 lngov | -.937486 1.390249 -0.67 0.503 -3.723607 1.848635 ln1pluspi | .4736969 1.121864 0.42 0.674 -1.77457 2.721963 ln1plusbmp | -.3274432 .3864489 -0.85 0.400 -1.101904 .4470177 lntrade | -.0979641 .734269 -0.13 0.894 -1.569472 1.373544 _cons | 7.033815 10.31165 0.68 0.498 -13.63118 27.69882 ------------------------------------------------------------------------------ . . *2SLS AND IVQR5: lnprivohat - full conditioning* . drop lnprivohat . regress lnprivo englishn frenchn germann lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf, robust Linear regression Number of obs = 63 F( 12, 50) = 15.15 Prob > F = 0.0000 R-squared = 0.7690 Root MSE = .39042 ------------------------------------------------------------------------------ | Robust lnprivo | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- englishn | .1139379 .2440218 0.47 0.643 -.3761943 .6040702 frenchn | -.0058928 .25197 -0.02 0.981 -.5119895 .5002039 germann | .5293412 .276291 1.92 0.061 -.0256056 1.084288 lschool | .3591948 .231604 1.55 0.127 -.1059955 .8243852 lrgdpsh | .0658549 .1060003 0.62 0.537 -.1470529 .2787627 lngov | .1787984 .1487148 1.20 0.235 -.1199041 .4775009 ln1pluspi | -.2508002 .0994859 -2.52 0.015 -.4506236 -.0509769 ln1plusbmp | -.1161576 .0426821 -2.72 0.009 -.2018872 -.0304281 lntrade | -.0946435 .1043319 -0.91 0.369 -.3042003 .1149133 revc | -.2863821 .2689745 -1.06 0.292 -.8266334 .2538691 assass | .113416 .1365047 0.83 0.410 -.1607617 .3875937 avelf | -.259733 .3138402 -0.83 0.412 -.8900995 .3706336 _cons | 3.178394 .9868238 3.22 0.002 1.1963 5.160488 ------------------------------------------------------------------------------ . predict lnprivohat (option xb assumed; fitted values) (8 missing values generated) . regress growth lnprivohat lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf, robust Linear regression Number of obs = 63 F( 10, 52) = 6.75 Prob > F = 0.0000 R-squared = 0.5548 Root MSE = 1.3953 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnprivohat | 3.386354 1.318689 2.57 0.013 .7402115 6.032496 lschool | 1.334036 .7908485 1.69 0.098 -.2529174 2.92099 lrgdpsh | -2.165256 .4008318 -5.40 0.000 -2.969584 -1.360928 lngov | -.9544999 .7139438 -1.34 0.187 -2.387133 .4781332 ln1pluspi | .8892088 .5601971 1.59 0.119 -.2349089 2.013327 ln1plusbmp | .0175636 .2518773 0.07 0.945 -.4878651 .5229923 lntrade | .8480864 .4837018 1.75 0.085 -.1225321 1.818705 revc | -.4200602 1.014167 -0.41 0.680 -2.455135 1.615015 assass | .0826626 .381818 0.22 0.829 -.6835112 .8488365 avelf | -1.227155 .9630095 -1.27 0.208 -3.159575 .705265 _cons | 2.272444 5.77519 0.39 0.696 -9.316322 13.86121 ------------------------------------------------------------------------------ . qreg growth lnprivohat lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf, q(50) Iteration 1: WLS sum of weighted deviations = 62.961996 Iteration 1: sum of abs. weighted deviations = 63.301943 Iteration 2: sum of abs. weighted deviations = 62.760983 Iteration 3: sum of abs. weighted deviations = 61.589139 Iteration 4: sum of abs. weighted deviations = 61.552338 Iteration 5: sum of abs. weighted deviations = 61.491805 Iteration 6: sum of abs. weighted deviations = 61.477469 Iteration 7: sum of abs. weighted deviations = 61.42611 Iteration 8: sum of abs. weighted deviations = 61.41156 Iteration 9: sum of abs. weighted deviations = 61.343912 Iteration 10: sum of abs. weighted deviations = 61.313279 Median regression Number of obs = 63 Raw sum of deviations 87.19446 (about 1.9751474) Min sum of deviations 61.31328 Pseudo R2 = 0.2968 ------------------------------------------------------------------------------ growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnprivohat | 1.934239 1.285773 1.50 0.139 -.6458539 4.514332 lschool | 1.387641 .850189 1.63 0.109 -.3183878 3.09367 lrgdpsh | -2.05646 .3689673 -5.57 0.000 -2.796847 -1.316072 lngov | -.125108 .7072933 -0.18 0.860 -1.544396 1.29418 ln1pluspi | .0245518 .5781852 0.04 0.966 -1.135662 1.184765 ln1plusbmp | .0013455 .2127018 0.01 0.995 -.4254718 .4281628 lntrade | .5315096 .424693 1.25 0.216 -.3206992 1.383718 revc | -1.18388 1.043182 -1.13 0.262 -3.277178 .9094168 assass | .2928072 .3821175 0.77 0.447 -.4739676 1.059582 avelf | -1.681388 .8884632 -1.89 0.064 -3.46422 .1014441 _cons | 7.848472 6.24809 1.26 0.215 -4.689239 20.38618 ------------------------------------------------------------------------------ . . *2SLS AND IVQR5: lbtot - full conditioning* . drop lnbtothat . regress lnbtot englishn frenchn germann lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf, robust Linear regression Number of obs = 63 F( 12, 50) = 4.55 Prob > F = 0.0001 R-squared = 0.5208 Root MSE = .22421 ------------------------------------------------------------------------------ | Robust lnbtot | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- englishn | .0601595 .0626043 0.96 0.341 -.0655849 .1859038 frenchn | .0269797 .0658704 0.41 0.684 -.1053248 .1592843 germann | .1395603 .0827901 1.69 0.098 -.0267284 .3058491 lschool | .0299561 .1511166 0.20 0.844 -.2735706 .3334828 lrgdpsh | .0631527 .0638272 0.99 0.327 -.065048 .1913533 lngov | .0397483 .0851681 0.47 0.643 -.1313169 .2108135 ln1pluspi | -.0793367 .0775329 -1.02 0.311 -.2350662 .0763927 ln1plusbmp | -.0449738 .0267316 -1.68 0.099 -.0986657 .0087182 lntrade | .0642464 .0592544 1.08 0.283 -.0547696 .1832625 revc | -.3273364 .2462088 -1.33 0.190 -.8218612 .1671885 assass | .1672716 .0858313 1.95 0.057 -.0051256 .3396688 avelf | .0462168 .206419 0.22 0.824 -.3683881 .4608216 _cons | 3.678117 .6186278 5.95 0.000 2.435566 4.920667 ------------------------------------------------------------------------------ . predict lnbtothat (option xb assumed; fitted values) (8 missing values generated) . regress growth lnbtothat lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf, robust Linear regression Number of obs = 63 F( 10, 52) = 6.77 Prob > F = 0.0000 R-squared = 0.5564 Root MSE = 1.3929 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnbtothat | 14.87802 5.453612 2.73 0.009 3.934543 25.82149 lschool | 2.069436 .6424837 3.22 0.002 .7801979 3.358674 lrgdpsh | -2.866814 .5400393 -5.31 0.000 -3.950482 -1.783145 lngov | -.893416 .6960148 -1.28 0.205 -2.290072 .5032399 ln1pluspi | 1.235285 .6337062 1.95 0.057 -.0363397 2.506909 ln1plusbmp | .2661839 .3101158 0.86 0.395 -.3561089 .8884767 lntrade | -.4414793 .5290745 -0.83 0.408 -1.503145 .6201863 revc | 3.549053 2.041387 1.74 0.088 -.5472902 7.645396 assass | -2.049259 .950944 -2.15 0.036 -3.957467 -.1410499 avelf | -2.921652 1.012332 -2.89 0.006 -4.953044 -.8902594 _cons | -42.18381 20.77404 -2.03 0.047 -83.86997 -.4976449 ------------------------------------------------------------------------------ . qreg growth lnbtothat lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf, q(50) Iteration 1: WLS sum of weighted deviations = 62.530338 Iteration 1: sum of abs. weighted deviations = 83.972801 Iteration 2: sum of abs. weighted deviations = 62.19928 Iteration 3: sum of abs. weighted deviations = 62.055271 Iteration 4: sum of abs. weighted deviations = 61.475112 Iteration 5: sum of abs. weighted deviations = 61.455998 Iteration 6: sum of abs. weighted deviations = 61.448653 Iteration 7: sum of abs. weighted deviations = 61.443661 Iteration 8: sum of abs. weighted deviations = 61.305197 Iteration 9: sum of abs. weighted deviations = 61.280617 Iteration 10: sum of abs. weighted deviations = 61.272068 Iteration 11: sum of abs. weighted deviations = 61.204714 Median regression Number of obs = 63 Raw sum of deviations 87.19446 (about 1.9751474) Min sum of deviations 61.20471 Pseudo R2 = 0.2981 ------------------------------------------------------------------------------ growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnbtothat | 8.673271 8.640331 1.00 0.320 -8.664823 26.01136 lschool | 1.80217 1.051532 1.71 0.093 -.3078834 3.912224 lrgdpsh | -2.544758 .8510102 -2.99 0.004 -4.252435 -.8370814 lngov | -.1822827 1.179009 -0.15 0.878 -2.548138 2.183572 ln1pluspi | .2800559 1.100545 0.25 0.800 -1.928349 2.488461 ln1plusbmp | .1274956 .446737 0.29 0.776 -.7689477 1.023939 lntrade | -.2200628 .7097528 -0.31 0.758 -1.644286 1.20416 revc | 1.088824 3.293226 0.33 0.742 -5.519516 7.697165 assass | -.9399454 1.483463 -0.63 0.529 -3.916732 2.036841 avelf | -2.768806 1.37818 -2.01 0.050 -5.534328 -.0032852 _cons | -17.39167 33.86968 -0.51 0.610 -85.35616 50.57282 ------------------------------------------------------------------------------ . . *2SLS AND IVQR5: lnlly - full conditioning* . drop lnllyhat . regress lnlly englishn frenchn germann lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf, robust Linear regression Number of obs = 63 F( 12, 50) = 22.06 Prob > F = 0.0000 R-squared = 0.6999 Root MSE = .32983 ------------------------------------------------------------------------------ | Robust lnlly | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- englishn | .358336 .1194707 3.00 0.004 .118372 .5982999 frenchn | .078604 .1220403 0.64 0.522 -.1665212 .3237292 germann | .5616418 .1681738 3.34 0.002 .2238548 .8994287 lschool | .1660527 .2136064 0.78 0.441 -.2629884 .5950938 lrgdpsh | .0349491 .111519 0.31 0.755 -.1890433 .2589416 lngov | .0694068 .1515577 0.46 0.649 -.2350059 .3738194 ln1pluspi | -.1513113 .0793222 -1.91 0.062 -.3106347 .0080121 ln1plusbmp | -.0706792 .0442915 -1.60 0.117 -.1596413 .0182828 lntrade | .1393579 .1070336 1.30 0.199 -.0756255 .3543413 revc | -.5162603 .2281455 -2.26 0.028 -.974504 -.0580167 assass | .1602916 .1291207 1.24 0.220 -.0990551 .4196382 avelf | -.2345762 .2235444 -1.05 0.299 -.6835783 .2144259 _cons | 2.819977 .9976572 2.83 0.007 .8161231 4.82383 ------------------------------------------------------------------------------ . predict lnllyhat (option xb assumed; fitted values) (8 missing values generated) . regress growth lnllyhat lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf, robust Linear regression Number of obs = 63 F( 10, 52) = 6.87 Prob > F = 0.0000 R-squared = 0.5607 Root MSE = 1.3861 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnllyhat | 3.23294 1.138512 2.84 0.006 .9483477 5.517532 lschool | 1.820387 .6263339 2.91 0.005 .5635565 3.077218 lrgdpsh | -2.038329 .3920303 -5.20 0.000 -2.824995 -1.251662 lngov | -.6584282 .6926044 -0.95 0.346 -2.048241 .7313843 ln1pluspi | .6256136 .4563831 1.37 0.176 -.2901862 1.541413 ln1plusbmp | -.2405183 .1979149 -1.22 0.230 -.6376636 .1566271 lntrade | .054127 .4539288 0.12 0.906 -.8567479 .9650018 revc | .4875123 1.096225 0.44 0.658 -1.712224 2.687249 assass | -.0811507 .387978 -0.21 0.835 -.8596854 .6973841 avelf | -1.77214 .9149453 -1.94 0.058 -3.608112 .0638323 _cons | 4.028934 4.333457 0.93 0.357 -4.666785 12.72465 ------------------------------------------------------------------------------ . qreg growth lnllyhat lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf, q(50) Iteration 1: WLS sum of weighted deviations = 61.928807 Iteration 1: sum of abs. weighted deviations = 62.27749 Iteration 2: sum of abs. weighted deviations = 62.166973 Iteration 3: sum of abs. weighted deviations = 61.293648 Iteration 4: sum of abs. weighted deviations = 60.941895 Iteration 5: sum of abs. weighted deviations = 60.935646 Iteration 6: sum of abs. weighted deviations = 60.820884 Iteration 7: sum of abs. weighted deviations = 60.81584 Median regression Number of obs = 63 Raw sum of deviations 87.19446 (about 1.9751474) Min sum of deviations 60.81584 Pseudo R2 = 0.3025 ------------------------------------------------------------------------------ growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnllyhat | 2.812757 1.209237 2.33 0.024 .3862458 5.239269 lschool | 2.064881 .7555105 2.73 0.009 .5488382 3.580924 lrgdpsh | -2.268118 .4517097 -5.02 0.000 -3.17454 -1.361696 lngov | -.5150666 .730252 -0.71 0.484 -1.980424 .9502912 ln1pluspi | .6347626 .5205415 1.22 0.228 -.4097803 1.679305 ln1plusbmp | -.2725813 .1956629 -1.39 0.170 -.6652075 .120045 lntrade | .3641833 .3831259 0.95 0.346 -.404615 1.132982 revc | -.9753404 1.318264 -0.74 0.463 -3.620631 1.669951 assass | .3345191 .4376442 0.76 0.448 -.5436783 1.212716 avelf | -1.877711 .9023657 -2.08 0.042 -3.68844 -.066982 _cons | 5.630513 5.637032 1.00 0.322 -5.681018 16.94204 ------------------------------------------------------------------------------ . . . ************************************* . *BOX-PLOT OF THE GROWTH DISTRIBUTION* . ************************************* . . graph hbox growth, medtype(line) . graph save "C:\Documents and Settings\Corrado\Ambiente de trabalho\growth.gph", replace (note: file C:\Documents and Settings\Corrado\Ambiente de trabalho\growth.gph not found) (file C:\Documents and Settings\Corrado\Ambiente de trabalho\growth.gph saved) . . . ******************************************** . *TABLE 3 WITHOUT VERY HIGH-GROWTH COUNTRIES* . ******************************************** . . *TABLE 3: simple conditioning* . ivreg2 growth lschool lrgdpsh (lnprivo = englishn frenchn germann) if growth < 6, gmm small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 68 F( 3, 64) = 9.73 Prob > F = 0.0000 Total (centered) SS = 166.5980775 Centered R2 = 0.4161 Total (uncentered) SS = 353.9356334 Uncentered R2 = 0.7252 Residual SS = 97.27057528 Root MSE = 1.233 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnprivo | 1.023804 .6461986 1.58 0.118 -.2671257 2.314735 lschool | 1.236643 .6359977 1.94 0.056 -.0339083 2.507194 lrgdpsh | -.7596746 .415408 -1.83 0.072 -1.589548 .0701983 _cons | 2.335225 2.275605 1.03 0.309 -2.210818 6.881268 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 8.971 Chi-sq(3) P-val = 0.0297 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 2.914 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 0.694 Chi-sq(2) P-val = 0.7069 ------------------------------------------------------------------------------ Instrumented: lnprivo Included instruments: lschool lrgdpsh Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . ivreg2 growth lschool lrgdpsh (lnbtot = englishn frenchn germann) if growth < 6, gmm small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 68 F( 3, 64) = 7.28 Prob > F = 0.0003 Total (centered) SS = 166.5980775 Centered R2 = 0.1566 Total (uncentered) SS = 353.9356334 Uncentered R2 = 0.6030 Residual SS = 140.5123584 Root MSE = 1.482 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnbtot | 4.785916 2.842107 1.68 0.097 -.8918447 10.46368 lschool | 1.686663 .5928594 2.84 0.006 .5022905 2.871036 lrgdpsh | -1.216388 .6410462 -1.90 0.062 -2.497025 .0642487 _cons | -12.03764 8.684094 -1.39 0.171 -29.38611 5.31083 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 2.361 Chi-sq(3) P-val = 0.5009 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 0.730 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 0.519 Chi-sq(2) P-val = 0.7715 ------------------------------------------------------------------------------ Instrumented: lnbtot Included instruments: lschool lrgdpsh Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . ivreg2 growth lschool lrgdpsh (lnlly = englishn frenchn germann) if growth < 6, gmm small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 68 F( 3, 64) = 11.48 Prob > F = 0.0000 Total (centered) SS = 166.5980775 Centered R2 = 0.4473 Total (uncentered) SS = 353.9356334 Uncentered R2 = 0.7398 Residual SS = 92.07916697 Root MSE = 1.199 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnlly | 1.046208 .6760985 1.55 0.127 -.3044543 2.39687 lschool | 1.737767 .4918342 3.53 0.001 .7552151 2.720319 lrgdpsh | -.7851142 .4038292 -1.94 0.056 -1.591856 .0216274 _cons | 1.469757 2.441169 0.60 0.549 -3.407038 6.346553 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 13.878 Chi-sq(3) P-val = 0.0031 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 4.679 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 0.942 Chi-sq(2) P-val = 0.6244 ------------------------------------------------------------------------------ Instrumented: lnlly Included instruments: lschool lrgdpsh Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . . *TABLE 3: policy conditioning* . ivreg2 growth lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade (lnprivo = englishn frenchn germann) if growth < 6, gm > m small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 60 F( 7, 52) = 7.15 Prob > F = 0.0000 Total (centered) SS = 152.6638687 Centered R2 = 0.4823 Total (uncentered) SS = 326.6785733 Uncentered R2 = 0.7581 Residual SS = 79.02984906 Root MSE = 1.233 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnprivo | 1.168 1.498666 0.78 0.439 -1.839293 4.175292 lschool | 1.721327 .8974529 1.92 0.061 -.0795443 3.522198 lrgdpsh | -1.10039 .4124342 -2.67 0.010 -1.928 -.2727803 lngov | -.7790063 .6028048 -1.29 0.202 -1.988623 .4306101 ln1pluspi | .0907594 .6411823 0.14 0.888 -1.195867 1.377386 ln1plusbmp | -.1494863 .2056026 -0.73 0.470 -.5620581 .2630854 lntrade | .299974 .446012 0.67 0.504 -.5950146 1.194963 _cons | 4.594362 5.598269 0.82 0.416 -6.639388 15.82811 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 4.024 Chi-sq(3) P-val = 0.2589 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 1.156 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 1.331 Chi-sq(2) P-val = 0.5140 ------------------------------------------------------------------------------ Instrumented: lnprivo Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . ivreg2 growth lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade (lnbtot = englishn frenchn germann) if growth < 6, gmm > small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 60 F( 7, 52) = 6.82 Prob > F = 0.0000 Total (centered) SS = 152.6638687 Centered R2 = 0.3860 Total (uncentered) SS = 326.6785733 Uncentered R2 = 0.7131 Residual SS = 93.72853929 Root MSE = 1.343 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnbtot | 3.542426 5.008872 0.71 0.483 -6.508611 13.59346 lschool | 2.296957 .9787837 2.35 0.023 .3328836 4.26103 lrgdpsh | -1.427748 .8270596 -1.73 0.090 -3.087364 .2318689 lngov | -.7511306 .5624643 -1.34 0.188 -1.879798 .3775365 ln1pluspi | -.0049245 .7096065 -0.01 0.994 -1.428854 1.419005 ln1plusbmp | -.134772 .2600427 -0.52 0.606 -.6565859 .3870418 lntrade | -.0557032 .3400471 -0.16 0.871 -.7380576 .6266513 _cons | -3.48668 18.59032 -0.19 0.852 -40.79089 33.81753 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 0.804 Chi-sq(3) P-val = 0.8485 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 0.225 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 0.864 Chi-sq(2) P-val = 0.6491 ------------------------------------------------------------------------------ Instrumented: lnbtot Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . ivreg2 growth lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade (lnlly = englishn frenchn germann) if growth < 6, gmm > small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 60 F( 7, 52) = 6.69 Prob > F = 0.0000 Total (centered) SS = 152.6638687 Centered R2 = 0.4959 Total (uncentered) SS = 326.6785733 Uncentered R2 = 0.7644 Residual SS = 76.96166819 Root MSE = 1.217 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnlly | 1.120071 .9649665 1.16 0.251 -.8162759 3.056418 lschool | 2.077073 .6399101 3.25 0.002 .7929989 3.361146 lrgdpsh | -1.122257 .3536674 -3.17 0.003 -1.831942 -.4125709 lngov | -.7419802 .5827443 -1.27 0.209 -1.911342 .4273818 ln1pluspi | .0003282 .4535461 0.00 0.999 -.9097787 .9104351 ln1plusbmp | -.2281383 .1601138 -1.42 0.160 -.5494302 .0931536 lntrade | .1229855 .32307 0.38 0.705 -.5253018 .7712728 _cons | 5.174733 3.824309 1.35 0.182 -2.499304 12.84877 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 12.216 Chi-sq(3) P-val = 0.0067 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 3.764 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 0.650 Chi-sq(2) P-val = 0.7225 ------------------------------------------------------------------------------ Instrumented: lnlly Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . . *TABLE 3: full conditioning* . ivreg2 growth lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf (lnprivo = englishn frenchn germann) i > f growth < 6, gmm small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 60 F( 10, 49) = 5.78 Prob > F = 0.0000 Total (centered) SS = 152.6638687 Centered R2 = 0.5110 Total (uncentered) SS = 326.6785733 Uncentered R2 = 0.7715 Residual SS = 74.64720023 Root MSE = 1.234 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnprivo | 1.49267 1.323995 1.13 0.265 -1.167998 4.153338 lschool | 1.491556 .8082731 1.85 0.071 -.1327294 3.115842 lrgdpsh | -1.291205 .3767705 -3.43 0.001 -2.048354 -.5340564 lngov | -.8232481 .690217 -1.19 0.239 -2.210291 .5637948 ln1pluspi | .2820809 .5270425 0.54 0.595 -.7770506 1.341212 ln1plusbmp | -.14207 .2141662 -0.66 0.510 -.5724531 .288313 lntrade | .3785692 .4679372 0.81 0.422 -.5617857 1.318924 revc | -.7414995 .9354317 -0.79 0.432 -2.62132 1.138321 assass | .0625661 .3750148 0.17 0.868 -.6910543 .8161864 avelf | -.7016361 .9431082 -0.74 0.460 -2.596883 1.193611 _cons | 4.934404 5.683024 0.87 0.389 -6.48606 16.35487 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 4.754 Chi-sq(3) P-val = 0.1907 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 1.292 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 2.523 Chi-sq(2) P-val = 0.2832 ------------------------------------------------------------------------------ Instrumented: lnprivo Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . ivreg2 growth lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf (lnbtot = englishn frenchn germann) if > growth < 6, gmm small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 60 F( 10, 49) = 1.30 Prob > F = 0.2596 Total (centered) SS = 152.6638687 Centered R2 = -0.2247 Total (uncentered) SS = 326.6785733 Uncentered R2 = 0.4277 Residual SS = 186.9620799 Root MSE = 1.953 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnbtot | 8.581634 9.343048 0.92 0.363 -10.19392 27.35719 lschool | 2.148757 1.584231 1.36 0.181 -1.034875 5.332389 lrgdpsh | -2.141251 1.316121 -1.63 0.110 -4.786095 .5035931 lngov | -.6240508 .921411 -0.68 0.501 -2.475696 1.227594 ln1pluspi | .7067219 1.218261 0.58 0.565 -1.741464 3.154908 ln1plusbmp | .0119154 .4568289 0.03 0.979 -.9061166 .9299473 lntrade | -.2757356 .7465508 -0.37 0.713 -1.775986 1.224514 revc | 1.625487 3.61048 0.45 0.655 -5.630044 8.881019 assass | -1.131964 1.566814 -0.72 0.473 -4.280595 2.016667 avelf | -1.704818 2.009187 -0.85 0.400 -5.74243 2.332794 _cons | -20.52469 35.55265 -0.58 0.566 -91.9704 50.92103 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 0.429 Chi-sq(3) P-val = 0.9343 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 0.112 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 0.569 Chi-sq(2) P-val = 0.7525 ------------------------------------------------------------------------------ Instrumented: lnbtot Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . ivreg2 growth lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf (lnlly = englishn frenchn germann) if > growth < 6, gmm small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 60 F( 10, 49) = 5.94 Prob > F = 0.0000 Total (centered) SS = 152.6638687 Centered R2 = 0.5405 Total (uncentered) SS = 326.6785733 Uncentered R2 = 0.7853 Residual SS = 70.14290553 Root MSE = 1.196 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnlly | 1.404011 .8963743 1.57 0.124 -.3973201 3.205343 lschool | 1.926989 .5970954 3.23 0.002 .7270806 3.126897 lrgdpsh | -1.377484 .360815 -3.82 0.000 -2.102568 -.6523987 lngov | -.6511129 .6557335 -0.99 0.326 -1.968859 .6666329 ln1pluspi | .1738553 .3999157 0.43 0.666 -.6298053 .9775159 ln1plusbmp | -.2356366 .1738446 -1.36 0.181 -.5849904 .1137173 lntrade | .148001 .3926315 0.38 0.708 -.6410216 .9370236 revc | -.642035 .9264796 -0.69 0.492 -2.503865 1.219795 assass | .0858921 .3459015 0.25 0.805 -.6092231 .7810072 avelf | -.9796273 .8001928 -1.22 0.227 -2.587675 .6284202 _cons | 5.963577 3.976947 1.50 0.140 -2.028397 13.95555 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 13.274 Chi-sq(3) P-val = 0.0041 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 3.879 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 1.388 Chi-sq(2) P-val = 0.4997 ------------------------------------------------------------------------------ Instrumented: lnlly Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . . . ******************************************* . *TABLE 3 WITHOUT VERY LOW-GROWTH COUNTRIES* . ******************************************* . . *TABLE 3: simple conditioning* . ivreg2 growth lschool lrgdpsh (lnprivo = englishn frenchn germann) if growth > -2, gmm small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 69 F( 3, 65) = 10.27 Prob > F = 0.0000 Total (centered) SS = 198.3557629 Centered R2 = 0.3543 Total (uncentered) SS = 477.8258949 Uncentered R2 = 0.7320 Residual SS = 128.0722418 Root MSE = 1.404 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnprivo | 2.478546 .8122058 3.05 0.003 .8564588 4.100633 lschool | .8785404 .7660209 1.15 0.256 -.6513089 2.40839 lrgdpsh | -1.704497 .4262427 -4.00 0.000 -2.555763 -.8532319 _cons | 5.397964 2.611519 2.07 0.043 .1824001 10.61353 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 15.574 Chi-sq(3) P-val = 0.0014 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 5.317 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 0.377 Chi-sq(2) P-val = 0.8282 ------------------------------------------------------------------------------ Instrumented: lnprivo Included instruments: lschool lrgdpsh Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . ivreg2 growth lschool lrgdpsh (lnbtot = englishn frenchn germann) if growth > -2, gmm small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 69 F( 3, 65) = 6.00 Prob > F = 0.0011 Total (centered) SS = 198.3557629 Centered R2 = -0.6931 Total (uncentered) SS = 477.8258949 Uncentered R2 = 0.2972 Residual SS = 335.826552 Root MSE = 2.273 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnbtot | 9.818857 3.284512 2.99 0.004 3.259233 16.37848 lschool | 1.435576 .9344455 1.54 0.129 -.4306407 3.301792 lrgdpsh | -2.044452 .6146099 -3.33 0.001 -3.271913 -.8169912 _cons | -26.99633 11.7486 -2.30 0.025 -50.4599 -3.532753 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 4.216 Chi-sq(3) P-val = 0.2390 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 1.323 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 2.553 Chi-sq(2) P-val = 0.2790 ------------------------------------------------------------------------------ Instrumented: lnbtot Included instruments: lschool lrgdpsh Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . ivreg2 growth lschool lrgdpsh (lnlly = englishn frenchn germann) if growth > -2, gmm small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 69 F( 3, 65) = 14.70 Prob > F = 0.0000 Total (centered) SS = 198.3557629 Centered R2 = 0.4870 Total (uncentered) SS = 477.8258949 Uncentered R2 = 0.7870 Residual SS = 101.7593415 Root MSE = 1.251 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnlly | 1.394476 .8610986 1.62 0.110 -.325257 3.114208 lschool | 1.875057 .4372121 4.29 0.000 1.001884 2.74823 lrgdpsh | -1.273269 .3831222 -3.32 0.001 -2.038417 -.5081216 _cons | 3.904762 2.538431 1.54 0.129 -1.164835 8.97436 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 14.838 Chi-sq(3) P-val = 0.0020 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 5.038 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 3.985 Chi-sq(2) P-val = 0.1363 ------------------------------------------------------------------------------ Instrumented: lnlly Included instruments: lschool lrgdpsh Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . . *TABLE 3: policy conditioning* . ivreg2 growth lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade (lnprivo = englishn frenchn germann) if growth > -2, g > mm small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 61 F( 7, 53) = 6.34 Prob > F = 0.0000 Total (centered) SS = 181.2290979 Centered R2 = 0.3755 Total (uncentered) SS = 450.5688348 Uncentered R2 = 0.7488 Residual SS = 113.1705107 Root MSE = 1.461 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnprivo | 3.274958 1.448493 2.26 0.028 .3696485 6.180268 lschool | 1.193909 .8954391 1.33 0.188 -.6021148 2.989932 lrgdpsh | -1.988669 .4204219 -4.73 0.000 -2.831929 -1.14541 lngov | -.9060596 .8283637 -1.09 0.279 -2.567547 .7554276 ln1pluspi | .8657597 .5428514 1.59 0.117 -.2230622 1.954582 ln1plusbmp | -.0576575 .2437683 -0.24 0.814 -.5465947 .4312797 lntrade | .7710626 .5027181 1.53 0.131 -.2372622 1.779387 _cons | 1.544835 6.077643 0.25 0.800 -10.64537 13.73504 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 9.839 Chi-sq(3) P-val = 0.0200 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 2.975 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 0.201 Chi-sq(2) P-val = 0.9044 ------------------------------------------------------------------------------ Instrumented: lnprivo Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . ivreg2 growth lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade (lnbtot = englishn frenchn germann) if growth > -2, gm > m small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 61 F( 7, 53) = 3.63 Prob > F = 0.0028 Total (centered) SS = 181.2290979 Centered R2 = -1.0872 Total (uncentered) SS = 450.5688348 Uncentered R2 = 0.1605 Residual SS = 378.2684589 Root MSE = 2.672 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnbtot | 12.79261 6.503407 1.97 0.054 -.2515709 25.83679 lschool | 2.97677 1.684168 1.77 0.083 -.4012436 6.354784 lrgdpsh | -2.885851 .9517316 -3.03 0.004 -4.794783 -.9769197 lngov | -1.004822 .9105282 -1.10 0.275 -2.83111 .8214667 ln1pluspi | .7439631 1.054351 0.71 0.484 -1.370797 2.858724 ln1plusbmp | .1544288 .3744232 0.41 0.682 -.5965691 .9054267 lntrade | -.0687654 .4763552 -0.14 0.886 -1.024213 .8866821 _cons | -35.00504 27.12644 -1.29 0.202 -89.41379 19.40371 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 1.642 Chi-sq(3) P-val = 0.6500 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 0.464 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 2.445 Chi-sq(2) P-val = 0.2945 ------------------------------------------------------------------------------ Instrumented: lnbtot Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . ivreg2 growth lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade (lnlly = englishn frenchn germann) if growth > -2, gmm > small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 61 F( 7, 53) = 10.29 Prob > F = 0.0000 Total (centered) SS = 181.2290979 Centered R2 = 0.5381 Total (uncentered) SS = 450.5688348 Uncentered R2 = 0.8142 Residual SS = 83.70613272 Root MSE = 1.257 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnlly | 1.718192 1.02962 1.67 0.101 -.3469641 3.783348 lschool | 1.747432 .6349873 2.75 0.008 .4738088 3.021055 lrgdpsh | -1.62404 .3663542 -4.43 0.000 -2.358853 -.8892264 lngov | -.3366942 .6321804 -0.53 0.597 -1.604687 .931299 ln1pluspi | .4631833 .4499993 1.03 0.308 -.439401 1.365768 ln1plusbmp | -.3690101 .2109417 -1.75 0.086 -.7921055 .0540852 lntrade | .1462817 .3156779 0.46 0.645 -.4868879 .7794514 _cons | 5.501555 4.442437 1.24 0.221 -3.408845 14.41195 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 12.283 Chi-sq(3) P-val = 0.0065 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 3.792 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 1.942 Chi-sq(2) P-val = 0.3786 ------------------------------------------------------------------------------ Instrumented: lnlly Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . . *TABLE 3: full conditioning* . ivreg2 growth lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf (lnprivo = englishn frenchn germann) i > f growth > -2, gmm small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 61 F( 10, 50) = 5.13 Prob > F = 0.0000 Total (centered) SS = 181.2290979 Centered R2 = 0.4201 Total (uncentered) SS = 450.5688348 Uncentered R2 = 0.7668 Residual SS = 105.0886718 Root MSE = 1.45 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnprivo | 3.140233 1.346821 2.33 0.024 .4350624 5.845403 lschool | 1.06527 .8566544 1.24 0.219 -.6553708 2.785911 lrgdpsh | -2.087055 .4324204 -4.83 0.000 -2.955598 -1.218513 lngov | -.8493377 .8892896 -0.96 0.344 -2.635528 .9368531 ln1pluspi | .8621683 .5040032 1.71 0.093 -.1501519 1.874489 ln1plusbmp | -.1004015 .2417041 -0.42 0.680 -.5858784 .3850754 lntrade | .7384066 .5487399 1.35 0.184 -.3637701 1.840583 revc | -.3998355 1.088247 -0.37 0.715 -2.585645 1.785974 assass | -.0356674 .4870439 -0.07 0.942 -1.013924 .942589 avelf | -.9193545 1.232301 -0.75 0.459 -3.394504 1.555795 _cons | 3.397785 6.549779 0.52 0.606 -9.757834 16.5534 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 9.816 Chi-sq(3) P-val = 0.0202 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 2.793 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 0.789 Chi-sq(2) P-val = 0.6741 ------------------------------------------------------------------------------ Instrumented: lnprivo Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . ivreg2 growth lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf (lnbtot = englishn frenchn germann) if > growth > -2, gmm small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 61 F( 10, 50) = 3.60 Prob > F = 0.0012 Total (centered) SS = 181.2290979 Centered R2 = -0.3372 Total (uncentered) SS = 450.5688348 Uncentered R2 = 0.4622 Residual SS = 242.3343466 Root MSE = 2.202 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnbtot | 11.13274 4.847079 2.30 0.026 1.397092 20.86838 lschool | 1.787845 1.475381 1.21 0.231 -1.175546 4.751235 lrgdpsh | -2.563962 .7572827 -3.39 0.001 -4.085009 -1.042915 lngov | -.60119 .8632683 -0.70 0.489 -2.335115 1.132735 ln1pluspi | .594452 .8171097 0.73 0.470 -1.046761 2.235665 ln1plusbmp | .0042111 .3167694 0.01 0.989 -.632039 .6404613 lntrade | -.3492769 .5625467 -0.62 0.537 -1.479185 .7806314 revc | 3.094339 2.348106 1.32 0.194 -1.621971 7.810648 assass | -1.570209 .901713 -1.74 0.088 -3.381353 .2409351 avelf | -2.693889 1.445787 -1.86 0.068 -5.597839 .21006 _cons | -26.9659 21.99816 -1.23 0.226 -71.1505 17.2187 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 2.504 Chi-sq(3) P-val = 0.4746 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 0.670 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 0.498 Chi-sq(2) P-val = 0.7794 ------------------------------------------------------------------------------ Instrumented: lnbtot Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . ivreg2 growth lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf (lnlly = englishn frenchn germann) if > growth > -2, gmm small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 61 F( 10, 50) = 7.93 Prob > F = 0.0000 Total (centered) SS = 181.2290979 Centered R2 = 0.5863 Total (uncentered) SS = 450.5688348 Uncentered R2 = 0.8336 Residual SS = 74.97099767 Root MSE = 1.225 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnlly | 2.155463 .9848744 2.19 0.033 .1772844 4.133641 lschool | 1.558915 .6743631 2.31 0.025 .2044169 2.913413 lrgdpsh | -1.920688 .4002713 -4.80 0.000 -2.724657 -1.116719 lngov | -.2617113 .733628 -0.36 0.723 -1.735247 1.211824 ln1pluspi | .648986 .4186742 1.55 0.127 -.1919459 1.489918 ln1plusbmp | -.3486467 .2254618 -1.55 0.128 -.8015 .1042066 lntrade | .0634039 .4214898 0.15 0.881 -.7831834 .9099911 revc | -.446432 1.086285 -0.41 0.683 -2.6283 1.735436 assass | -.1000251 .4761761 -0.21 0.834 -1.056453 .8564028 avelf | -1.302286 .8679015 -1.50 0.140 -3.045517 .4409454 _cons | 6.597623 4.894615 1.35 0.184 -3.233501 16.42875 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 13.623 Chi-sq(3) P-val = 0.0035 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 4.004 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 1.513 Chi-sq(2) P-val = 0.4694 ------------------------------------------------------------------------------ Instrumented: lnlly Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . . . ******************************************** . *TABLE 3 WITHOUT KOREA* . ******************************************** . . *TABLE 3: simple conditioning* . ivreg2 growth lschool lrgdpsh (lnprivo = englishn frenchn germann) if growth < 7, gmm small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 70 F( 3, 66) = 9.22 Prob > F = 0.0000 Total (centered) SS = 214.7623251 Centered R2 = 0.4049 Total (uncentered) SS = 442.0829895 Uncentered R2 = 0.7109 Residual SS = 127.8022318 Root MSE = 1.392 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnprivo | 2.088414 .9257644 2.26 0.027 .2400654 3.936762 lschool | 1.151848 .7757681 1.48 0.142 -.3970227 2.700719 lrgdpsh | -1.46154 .4869335 -3.00 0.004 -2.433734 -.4893457 _cons | 4.371683 2.486641 1.76 0.083 -.5930549 9.336421 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 11.805 Chi-sq(3) P-val = 0.0081 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 3.919 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 0.309 Chi-sq(2) P-val = 0.8569 ------------------------------------------------------------------------------ Instrumented: lnprivo Included instruments: lschool lrgdpsh Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . ivreg2 growth lschool lrgdpsh (lnbtot = englishn frenchn germann) if growth < 7, gmm small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 70 F( 3, 66) = 6.27 Prob > F = 0.0008 Total (centered) SS = 214.7623251 Centered R2 = -0.1805 Total (uncentered) SS = 442.0829895 Uncentered R2 = 0.4265 Residual SS = 253.5267792 Root MSE = 1.96 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnbtot | 7.55241 2.983818 2.53 0.014 1.595024 13.5098 lschool | 1.867474 .7944196 2.35 0.022 .2813637 3.453583 lrgdpsh | -1.824855 .614673 -2.97 0.004 -3.052089 -.5976204 _cons | -19.54421 9.995356 -1.96 0.055 -39.50058 .4121669 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 3.549 Chi-sq(3) P-val = 0.3145 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 1.109 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 0.901 Chi-sq(2) P-val = 0.6374 ------------------------------------------------------------------------------ Instrumented: lnbtot Included instruments: lschool lrgdpsh Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . ivreg2 growth lschool lrgdpsh (lnlly = englishn frenchn germann) if growth < 7, gmm small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 70 F( 3, 66) = 15.54 Prob > F = 0.0000 Total (centered) SS = 214.7623251 Centered R2 = 0.5355 Total (uncentered) SS = 442.0829895 Uncentered R2 = 0.7743 Residual SS = 99.76117707 Root MSE = 1.229 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnlly | 1.63345 .8016451 2.04 0.046 .0329138 3.233986 lschool | 1.952042 .4683248 4.17 0.000 1.017002 2.887083 lrgdpsh | -1.178997 .3640563 -3.24 0.002 -1.905859 -.4521348 _cons | 2.117778 2.57031 0.82 0.413 -3.014012 7.249567 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 16.085 Chi-sq(3) P-val = 0.0011 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 5.511 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 1.494 Chi-sq(2) P-val = 0.4738 ------------------------------------------------------------------------------ Instrumented: lnlly Included instruments: lschool lrgdpsh Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . . *TABLE 3: policy conditioning* . ivreg2 growth lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade (lnprivo = englishn frenchn germann) if growth < 7, gm > m small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 62 F( 7, 54) = 7.71 Prob > F = 0.0000 Total (centered) SS = 199.8162887 Centered R2 = 0.4475 Total (uncentered) SS = 414.8259294 Uncentered R2 = 0.7339 Residual SS = 110.3971305 Root MSE = 1.43 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnprivo | 3.011038 2.007327 1.50 0.139 -1.01341 7.035486 lschool | 1.531541 1.041334 1.47 0.147 -.5562077 3.61929 lrgdpsh | -1.838937 .5130754 -3.58 0.001 -2.867591 -.8102828 lngov | -1.07088 .7519858 -1.42 0.160 -2.578521 .436761 ln1pluspi | .7339633 .7810196 0.94 0.352 -.8318868 2.299813 ln1plusbmp | -.042262 .2556899 -0.17 0.869 -.5548894 .4703654 lntrade | .8252403 .5386318 1.53 0.131 -.2546515 1.905132 _cons | 1.233808 6.972997 0.18 0.860 -12.74621 15.21383 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 5.017 Chi-sq(3) P-val = 0.1705 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 1.461 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 0.527 Chi-sq(2) P-val = 0.7683 ------------------------------------------------------------------------------ Instrumented: lnprivo Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . ivreg2 growth lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade (lnbtot = englishn frenchn germann) if growth < 7, gmm > small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 62 F( 7, 54) = 4.92 Prob > F = 0.0002 Total (centered) SS = 199.8162887 Centered R2 = 0.3526 Total (uncentered) SS = 414.8259294 Uncentered R2 = 0.6882 Residual SS = 129.360246 Root MSE = 1.548 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnbtot | 5.135334 5.826252 0.88 0.382 -6.545598 16.81627 lschool | 2.674585 1.179145 2.27 0.027 .3105413 5.038628 lrgdpsh | -1.941886 .8667711 -2.24 0.029 -3.679658 -.204115 lngov | -.8796583 .697943 -1.26 0.213 -2.27895 .5196331 ln1pluspi | .0282065 .9238648 0.03 0.976 -1.824031 1.880444 ln1plusbmp | -.1076161 .3071992 -0.35 0.727 -.7235134 .5082812 lntrade | .0200254 .3725177 0.05 0.957 -.7268276 .7668784 _cons | -6.972509 23.02705 -0.30 0.763 -53.13896 39.19394 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 0.954 Chi-sq(3) P-val = 0.8123 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 0.269 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 1.694 Chi-sq(2) P-val = 0.4287 ------------------------------------------------------------------------------ Instrumented: lnbtot Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . ivreg2 growth lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade (lnlly = englishn frenchn germann) if growth < 7, gmm > small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 62 F( 7, 54) = 9.07 Prob > F = 0.0000 Total (centered) SS = 199.8162887 Centered R2 = 0.5877 Total (uncentered) SS = 414.8259294 Uncentered R2 = 0.8014 Residual SS = 82.38986144 Root MSE = 1.235 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnlly | 1.817459 .9828459 1.85 0.070 -.1530287 3.787946 lschool | 2.292038 .6275537 3.65 0.001 1.033869 3.550208 lrgdpsh | -1.533532 .3417443 -4.49 0.000 -2.218688 -.8483757 lngov | -.8129978 .6223319 -1.31 0.197 -2.060698 .4347025 ln1pluspi | .2114385 .464865 0.45 0.651 -.7205597 1.143437 ln1plusbmp | -.2709861 .1747722 -1.55 0.127 -.6213833 .0794111 lntrade | .2379175 .298442 0.80 0.429 -.3604227 .8362577 _cons | 4.843329 4.018929 1.21 0.233 -3.214138 12.9008 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 12.786 Chi-sq(3) P-val = 0.0051 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 3.970 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 0.374 Chi-sq(2) P-val = 0.8295 ------------------------------------------------------------------------------ Instrumented: lnlly Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . . *TABLE 3: full conditioning* . ivreg2 growth lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf (lnprivo = englishn frenchn germann) i > f growth < 7, gmm small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 62 F( 10, 51) = 6.09 Prob > F = 0.0000 Total (centered) SS = 199.8162887 Centered R2 = 0.4136 Total (uncentered) SS = 414.8259294 Uncentered R2 = 0.7175 Residual SS = 117.1742839 Root MSE = 1.516 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnprivo | 3.390288 1.870051 1.81 0.076 -.3639968 7.144573 lschool | 1.270779 1.019918 1.25 0.218 -.7767911 3.31835 lrgdpsh | -2.016195 .5007732 -4.03 0.000 -3.02154 -1.010851 lngov | -1.102733 .8763035 -1.26 0.214 -2.861986 .6565196 ln1pluspi | .8907068 .6880876 1.29 0.201 -.4906868 2.2721 ln1plusbmp | -.027397 .2744519 -0.10 0.921 -.5783821 .5235881 lntrade | .9091482 .5646387 1.61 0.114 -.2244112 2.042708 revc | -.3291893 1.159674 -0.28 0.778 -2.657332 1.998953 assass | .0486739 .5080521 0.10 0.924 -.9712833 1.068631 avelf | -.8847348 1.250405 -0.71 0.482 -3.395029 1.625559 _cons | 1.346239 7.375902 0.18 0.856 -13.4615 16.15398 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 5.395 Chi-sq(3) P-val = 0.1451 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 1.485 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 1.419 Chi-sq(2) P-val = 0.4919 ------------------------------------------------------------------------------ Instrumented: lnprivo Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . ivreg2 growth lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf (lnbtot = englishn frenchn germann) if > growth < 7, gmm small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 62 F( 10, 51) = 1.30 Prob > F = 0.2548 Total (centered) SS = 199.8162887 Centered R2 = -0.9095 Total (uncentered) SS = 414.8259294 Uncentered R2 = 0.0802 Residual SS = 381.5580436 Root MSE = 2.735 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnbtot | 12.96484 9.273776 1.40 0.168 -5.653044 31.58272 lschool | 2.033418 1.934232 1.05 0.298 -1.849715 5.916552 lrgdpsh | -2.764428 1.212871 -2.28 0.027 -5.199369 -.3294882 lngov | -.6178908 1.162824 -0.53 0.597 -2.952358 1.716577 ln1pluspi | 1.00652 1.422214 0.71 0.482 -1.848693 3.861734 ln1plusbmp | .1521064 .5394886 0.28 0.779 -.930962 1.235175 lntrade | -.422327 .8812948 -0.48 0.634 -2.1916 1.346946 revc | 3.286699 4.099566 0.80 0.426 -4.943524 11.51692 assass | -1.846332 1.707593 -1.08 0.285 -5.274468 1.581804 avelf | -2.908088 2.236671 -1.30 0.199 -7.398394 1.582217 _cons | -34.61685 38.00421 -0.91 0.367 -110.9135 41.67978 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 0.684 Chi-sq(3) P-val = 0.8770 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 0.181 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 0.422 Chi-sq(2) P-val = 0.8096 ------------------------------------------------------------------------------ Instrumented: lnbtot Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . ivreg2 growth lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf (lnlly = englishn frenchn germann) if > growth < 7, gmm small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 62 F( 10, 51) = 7.56 Prob > F = 0.0000 Total (centered) SS = 199.8162887 Centered R2 = 0.6174 Total (uncentered) SS = 414.8259294 Uncentered R2 = 0.8157 Residual SS = 76.45214581 Root MSE = 1.224 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnlly | 2.31944 .9331441 2.49 0.016 .446075 4.192805 lschool | 1.928974 .6234739 3.09 0.003 .6772974 3.18065 lrgdpsh | -1.765671 .3771212 -4.68 0.000 -2.522773 -1.008568 lngov | -.6595239 .7173216 -0.92 0.362 -2.099607 .7805592 ln1pluspi | .440467 .4345865 1.01 0.316 -.4320017 1.312936 ln1plusbmp | -.2846451 .1970326 -1.44 0.155 -.6802047 .1109144 lntrade | .2227734 .3943909 0.56 0.575 -.5689993 1.014546 revc | -.199435 1.012134 -0.20 0.845 -2.231378 1.832508 assass | .0522969 .3899941 0.13 0.894 -.730649 .8352427 avelf | -1.305943 .8212178 -1.59 0.118 -2.954606 .3427204 _cons | 4.876307 4.526292 1.08 0.286 -4.210604 13.96322 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 14.384 Chi-sq(3) P-val = 0.0024 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 4.265 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 0.606 Chi-sq(2) P-val = 0.7385 ------------------------------------------------------------------------------ Instrumented: lnlly Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . . . ******************************************** . *TABLE 3 WITHOUT KOREA AND MALTA* . ******************************************** . . *TABLE 3: simple conditioning* . ivreg2 growth lschool lrgdpsh (lnprivo = englishn frenchn germann) if growth < 6.64, gmm small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 69 F( 3, 65) = 8.60 Prob > F = 0.0001 Total (centered) SS = 190.8913138 Centered R2 = 0.3769 Total (uncentered) SS = 397.8227393 Uncentered R2 = 0.7010 Residual SS = 118.9503171 Root MSE = 1.353 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnprivo | 2.070023 .9556743 2.17 0.034 .1614098 3.978637 lschool | .885833 .7295887 1.21 0.229 -.5712562 2.342922 lrgdpsh | -1.24757 .4935975 -2.53 0.014 -2.233352 -.2617875 _cons | 3.120313 2.3439 1.33 0.188 -1.560777 7.801404 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 11.689 Chi-sq(3) P-val = 0.0085 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 3.877 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 0.213 Chi-sq(2) P-val = 0.8991 ------------------------------------------------------------------------------ Instrumented: lnprivo Included instruments: lschool lrgdpsh Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . ivreg2 growth lschool lrgdpsh (lnbtot = englishn frenchn germann) if growth < 6.64, gmm small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 69 F( 3, 65) = 5.94 Prob > F = 0.0012 Total (centered) SS = 190.8913138 Centered R2 = -0.2846 Total (uncentered) SS = 397.8227393 Uncentered R2 = 0.3836 Residual SS = 245.2128805 Root MSE = 1.942 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnbtot | 7.436287 3.113567 2.39 0.020 1.218065 13.65451 lschool | 1.708307 .8080963 2.11 0.038 .0944268 3.322186 lrgdpsh | -1.670075 .6861189 -2.43 0.018 -3.040349 -.2998005 _cons | -20.04323 10.07534 -1.99 0.051 -40.16507 .0786133 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 3.373 Chi-sq(3) P-val = 0.3376 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 1.052 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 1.176 Chi-sq(2) P-val = 0.5555 ------------------------------------------------------------------------------ Instrumented: lnbtot Included instruments: lschool lrgdpsh Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . ivreg2 growth lschool lrgdpsh (lnlly = englishn frenchn germann) if growth < 6.64, gmm small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 69 F( 3, 65) = 12.95 Prob > F = 0.0000 Total (centered) SS = 190.8913138 Centered R2 = 0.4849 Total (uncentered) SS = 397.8227393 Uncentered R2 = 0.7528 Residual SS = 98.33641571 Root MSE = 1.23 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnlly | 1.608803 .8635721 1.86 0.067 -.1158695 3.333475 lschool | 1.823307 .4599868 3.96 0.000 .90465 2.741964 lrgdpsh | -1.075603 .4378891 -2.46 0.017 -1.950128 -.2010777 _cons | 1.574795 2.442097 0.64 0.521 -3.30241 6.452 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 16.959 Chi-sq(3) P-val = 0.0007 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 5.851 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 1.646 Chi-sq(2) P-val = 0.4391 ------------------------------------------------------------------------------ Instrumented: lnlly Included instruments: lschool lrgdpsh Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . . *TABLE 3: policy conditioning* . ivreg2 growth lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade (lnprivo = englishn frenchn germann) if growth < 6.64, > gmm small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 61 F( 7, 53) = 7.00 Prob > F = 0.0000 Total (centered) SS = 176.4901296 Centered R2 = 0.4153 Total (uncentered) SS = 370.5656792 Uncentered R2 = 0.7215 Residual SS = 103.1909744 Root MSE = 1.395 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnprivo | 2.943354 2.085501 1.41 0.164 -1.239631 7.126339 lschool | 1.257671 1.048428 1.20 0.236 -.8452101 3.360552 lrgdpsh | -1.646857 .5369871 -3.07 0.003 -2.723917 -.5697975 lngov | -1.054651 .753662 -1.40 0.168 -2.566306 .4570031 ln1pluspi | .7560538 .802455 0.94 0.350 -.8534671 2.365575 ln1plusbmp | -.0565488 .253697 -0.22 0.824 -.5654006 .4523029 lntrade | .6820153 .548291 1.24 0.219 -.4177172 1.781748 _cons | .8473262 6.964638 0.12 0.904 -13.12197 14.81662 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 4.943 Chi-sq(3) P-val = 0.1760 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 1.435 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 0.470 Chi-sq(2) P-val = 0.7907 ------------------------------------------------------------------------------ Instrumented: lnprivo Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . ivreg2 growth lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade (lnbtot = englishn frenchn germann) if growth < 6.64, > gmm small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 61 F( 7, 53) = 5.12 Prob > F = 0.0002 Total (centered) SS = 176.4901296 Centered R2 = 0.3558 Total (uncentered) SS = 370.5656792 Uncentered R2 = 0.6932 Residual SS = 113.7020475 Root MSE = 1.465 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnbtot | 4.397252 5.920546 0.74 0.461 -7.477859 16.27236 lschool | 2.386733 1.248918 1.91 0.061 -.1182792 4.891746 lrgdpsh | -1.676673 .9473212 -1.77 0.082 -3.576758 .2234131 lngov | -.8241561 .6736384 -1.22 0.227 -2.175304 .5269914 ln1pluspi | -.0167481 .9132332 -0.02 0.985 -1.848462 1.814966 ln1plusbmp | -.134015 .3113039 -0.43 0.669 -.7584116 .4903816 lntrade | -.1072271 .3786592 -0.28 0.778 -.8667213 .6522672 _cons | -4.926519 23.07272 -0.21 0.832 -51.20454 41.3515 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 0.903 Chi-sq(3) P-val = 0.8247 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 0.254 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 1.975 Chi-sq(2) P-val = 0.3726 ------------------------------------------------------------------------------ Instrumented: lnbtot Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . ivreg2 growth lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade (lnlly = englishn frenchn germann) if growth < 6.64, g > mm small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 61 F( 7, 53) = 6.92 Prob > F = 0.0000 Total (centered) SS = 176.4901296 Centered R2 = 0.5372 Total (uncentered) SS = 370.5656792 Uncentered R2 = 0.7796 Residual SS = 81.68770101 Root MSE = 1.241 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnlly | 1.820041 1.047854 1.74 0.088 -.2816869 3.92177 lschool | 2.201602 .6299438 3.49 0.001 .9380948 3.465109 lrgdpsh | -1.471005 .3886806 -3.78 0.000 -2.250599 -.6914102 lngov | -.8098704 .6270747 -1.29 0.202 -2.067623 .4478821 ln1pluspi | .2161115 .4678589 0.46 0.646 -.7222946 1.154518 ln1plusbmp | -.2673154 .1723462 -1.55 0.127 -.612998 .0783672 lntrade | .1901681 .321294 0.59 0.556 -.454266 .8346022 _cons | 4.632082 3.953244 1.17 0.247 -3.297121 12.56129 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 13.925 Chi-sq(3) P-val = 0.0030 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 4.359 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 0.481 Chi-sq(2) P-val = 0.7861 ------------------------------------------------------------------------------ Instrumented: lnlly Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . . *TABLE 3: full conditioning* . ivreg2 growth lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf (lnprivo = englishn frenchn germann) i > f growth < 6.64, gmm small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 61 F( 10, 50) = 5.70 Prob > F = 0.0000 Total (centered) SS = 176.4901296 Centered R2 = 0.3706 Total (uncentered) SS = 370.5656792 Uncentered R2 = 0.7002 Residual SS = 111.0827226 Root MSE = 1.491 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnprivo | 3.329674 1.947512 1.71 0.094 -.5820195 7.241368 lschool | 1.050848 1.064217 0.99 0.328 -1.086694 3.18839 lrgdpsh | -1.823449 .5230535 -3.49 0.001 -2.874033 -.7728654 lngov | -1.128327 .8616361 -1.31 0.196 -2.858974 .6023197 ln1pluspi | .9092507 .7114057 1.28 0.207 -.5196497 2.338151 ln1plusbmp | -.0406134 .2690608 -0.15 0.881 -.5810379 .499811 lntrade | .7691272 .5641326 1.36 0.179 -.3639664 1.902221 revc | -.2453092 1.158274 -0.21 0.833 -2.57177 2.081152 assass | -.0334569 .5087351 -0.07 0.948 -1.055281 .9883677 avelf | -.7187666 1.24414 -0.58 0.566 -3.217696 1.780162 _cons | .9189026 7.469842 0.12 0.903 -14.08472 15.92252 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 5.317 Chi-sq(3) P-val = 0.1500 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 1.457 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 1.020 Chi-sq(2) P-val = 0.6004 ------------------------------------------------------------------------------ Instrumented: lnprivo Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . ivreg2 growth lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf (lnbtot = englishn frenchn germann) if > growth < 6.64, gmm small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 61 F( 10, 50) = 1.22 Prob > F = 0.3009 Total (centered) SS = 176.4901296 Centered R2 = -0.9928 Total (uncentered) SS = 370.5656792 Uncentered R2 = 0.0509 Residual SS = 351.7137813 Root MSE = 2.652 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnbtot | 12.42739 9.387301 1.32 0.192 -6.427563 31.28233 lschool | 1.818134 2.051065 0.89 0.380 -2.301552 5.93782 lrgdpsh | -2.562816 1.346777 -1.90 0.063 -5.267897 .1422656 lngov | -.6276041 1.135996 -0.55 0.583 -2.90932 1.654112 ln1pluspi | .9257994 1.404857 0.66 0.513 -1.895939 3.747538 ln1plusbmp | .1322455 .5402907 0.24 0.808 -.9529602 1.217451 lntrade | -.507325 .8901073 -0.57 0.571 -2.295158 1.280508 revc | 3.265453 4.041699 0.81 0.423 -4.852538 11.38344 assass | -1.83773 1.679766 -1.09 0.279 -5.211638 1.536179 avelf | -2.833629 2.201809 -1.29 0.204 -7.256092 1.588833 _cons | -32.96786 37.98442 -0.87 0.390 -109.2618 43.3261 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 0.660 Chi-sq(3) P-val = 0.8825 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 0.174 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 0.468 Chi-sq(2) P-val = 0.7915 ------------------------------------------------------------------------------ Instrumented: lnbtot Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . ivreg2 growth lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf (lnlly = englishn frenchn germann) if > growth < 6.64, gmm small 2-Step GMM estimation --------------------- Statistics robust to heteroskedasticity Number of obs = 61 F( 10, 50) = 5.56 Prob > F = 0.0000 Total (centered) SS = 176.4901296 Centered R2 = 0.5663 Total (uncentered) SS = 370.5656792 Uncentered R2 = 0.7934 Residual SS = 76.54800749 Root MSE = 1.237 ------------------------------------------------------------------------------ | Robust growth | Coef. Std. Err. t P>|t| [95% Conf. Interval] -------------+---------------------------------------------------------------- lnlly | 2.337838 1.024979 2.28 0.027 .2791076 4.396568 lschool | 1.931153 .6289866 3.07 0.003 .6677958 3.194509 lrgdpsh | -1.771653 .4379277 -4.05 0.000 -2.651257 -.8920494 lngov | -.6582729 .7193893 -0.92 0.365 -2.103209 .786663 ln1pluspi | .4434223 .4419085 1.00 0.320 -.4441771 1.331022 ln1plusbmp | -.2831408 .1982119 -1.43 0.159 -.6812611 .1149795 lntrade | .2275997 .4266854 0.53 0.596 -.6294231 1.084623 revc | -.1942611 1.004449 -0.19 0.847 -2.211756 1.823234 assass | .0541596 .3941509 0.14 0.891 -.7375158 .8458349 avelf | -1.31302 .8537791 -1.54 0.130 -3.027886 .4018457 _cons | 4.821598 4.470752 1.08 0.286 -4.158173 13.80137 ------------------------------------------------------------------------------ Anderson canon. corr. LR statistic (underidentification test): 14.649 Chi-sq(3) P-val = 0.0021 Test statistic(s) not robust ------------------------------------------------------------------------------ Cragg-Donald F statistic (weak identification test): 4.343 Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 13.91 10% maximal IV relative bias 9.08 20% maximal IV relative bias 6.46 30% maximal IV relative bias 5.39 10% maximal IV size 22.30 15% maximal IV size 12.83 20% maximal IV size 9.54 25% maximal IV size 7.80 Test statistic(s) not robust Source: Stock-Yogo (2005). Reproduced by permission. ------------------------------------------------------------------------------ Hansen J statistic (overidentification test of all instruments): 0.605 Chi-sq(2) P-val = 0.7390 ------------------------------------------------------------------------------ Instrumented: lnlly Included instruments: lschool lrgdpsh lngov ln1pluspi ln1plusbmp lntrade revc assass avelf Excluded instruments: englishn frenchn germann ------------------------------------------------------------------------------ . . . ******************************************************** . *REPLICATION OF TABLE 10 IN LEVINE ET AL. (2000, P. 68)* . ******************************************************** . . *NOTE: 8 COUNTRIES WITH MISSING OBSERVATIONS ARE REMOVED FROM THE SAMPLE* . . drop in 4 (1 observation deleted) . drop in 4 (1 observation deleted) . drop in 16 (1 observation deleted) . drop in 34 (1 observation deleted) . drop in 38 (1 observation deleted) . drop in 50 (1 observation deleted) . drop in 55 (1 observation deleted) . drop in 25 (1 observation deleted) . . summarize growth rgdpsh school60 privo btot lly gov trade pi bmp revc assass avelf Variable | Obs Mean Std. Dev. Min Max -------------+-------------------------------------------------------- growth | 63 1.946271 1.915153 -2.811944 7.156855 rgdpsh | 63 3119.81 2518.554 367 9895 school60 | 63 4.056825 2.503585 .2 10.07 privo | 63 40.78351 29.17053 4.08484 141.2944 btot | 63 79.25881 17.37473 23.7174 98.9879 -------------+-------------------------------------------------------- lly | 63 45.21114 26.25521 14.4336 143.4259 gov | 63 14.75208 5.226113 6.681304 31.37076 trade | 63 59.46377 36.42796 14.0502 231.6857 pi | 63 15.56476 18.24712 3.628935 90.78316 bmp | 63 24.32091 50.1765 0 277.4202 -------------+-------------------------------------------------------- revc | 63 .1603763 .2241214 0 .9703704 assass | 63 .2857143 .4971421 0 2.466667 avelf | 63 .2928431 .2735512 0 .8722529 . correlate growth rgdpsh school60 privo btot lly gov trade pi bmp revc assass avelf (obs=63) | growth rgdpsh school60 privo btot lly gov trade pi bmp revc assass -------------+------------------------------------------------------------------------------------------------------------ growth | 1.0000 rgdpsh | 0.0426 1.0000 school60 | 0.3015 0.8152 1.0000 privo | 0.4220 0.6307 0.5697 1.0000 btot | 0.4570 0.4793 0.4252 0.6452 1.0000 lly | 0.5609 0.3871 0.4453 0.7694 0.5869 1.0000 gov | 0.2072 0.3599 0.4631 0.2980 0.3763 0.3047 1.0000 trade | 0.1908 -0.1824 -0.0402 -0.0913 0.0781 0.3048 0.3132 1.0000 pi | -0.2785 -0.1496 -0.1030 -0.3845 -0.4835 -0.4161 -0.2424 -0.2841 1.0000 bmp | -0.3853 -0.2566 -0.2944 -0.3744 -0.5125 -0.2586 -0.1144 0.3540 0.2581 1.0000 revc | -0.2393 -0.3451 -0.2967 -0.3959 -0.4601 -0.4374 -0.4222 -0.2318 0.4135 0.1832 1.0000 assass | -0.1547 -0.0906 -0.1388 -0.1407 -0.0654 -0.1677 -0.3145 -0.2734 0.2360 0.0055 0.5109 1.0000 avelf | -0.3534 -0.4268 -0.4746 -0.3398 -0.2020 -0.2853 -0.0612 0.0710 0.0347 0.1921 0.1586 0.0150 | avelf -------------+--------- avelf | 1.0000 . end of do-file . exit, clear