yit = 0 + 1LREMit + 2(LREMit)2 + 3LGCFit + 4LPOPit + 5LGOVit +
6LM2it + 7INFit+ it
.
Excl uded i nst r ument s: i ns
I ncl uded i nst r ument s: l gcf l pop l gov l m2 i nf l r em2 I nst r ument ed: l r em
( equat i on exact l y i dent i f i ed) Sar gan st at i st i c ( over i dent i f i cat i on t est of al l i nst r ument s) : 0. 000 Sour ce: St ock- Yogo ( 2005) . Repr oduced by per mi ssi on.
25% maxi mal I V si z e 5. 53 20% maxi mal I V si z e 6. 66 15% maxi mal I V si z e 8. 96 St ock- Yogo weak I D t est cr i t i cal val ues: 10% maxi mal I V si z e 16. 38 Weak i dent i f i cat i on t est ( Cr agg- Donal d Wal d F st at i st i c) : 43. 045 Chi - sq( 1) P- val = 0. 0000 Under i dent i f i cat i on t est ( Ander son canon. cor r . LM st at i st i c) : 38. 675 l r em2 - 1. 841358 . 691678 - 2. 66 0. 008 - 3. 197022 - . 485694 i nf - . 0476192 . 0127089 - 3. 75 0. 000 - . 0725282 - . 0227102 l m2 - 3. 544918 2. 296807 - 1. 54 0. 123 - 8. 046576 . 9567397 l gov - 20. 96585 3. 96545 - 5. 29 0. 000 - 28. 73799 - 13. 19372 l pop - . 6177082 1. 709139 - 0. 36 0. 718 - 3. 96756 2. 732143 l gcf 7. 609815 2. 793794 2. 72 0. 006 2. 134079 13. 08555 l r em 6. 032971 3. 139139 1. 92 0. 055 - . 1196287 12. 18557 y Coef . St d. Er r . z P>| z | [ 95% Conf . I nt er val ] Resi dual SS = 2750. 481008 Root MSE = 2. 936 Tot al ( uncent er ed) SS = 3355. 437466 Uncent er ed R2 = 0. 1803 Tot al ( cent er ed) SS = 3355. 437466 Cent er ed R2 = 0. 1803 Pr ob > F = 0. 0000 F( 7, 312) = 11. 61 Number of obs = 348 St at i st i cs consi st ent f or homoskedast i ci t y onl y
Est i mat es ef f i ci ent f or homoskedast i ci t y onl y
2- St ep GMM est i mat i on
max = 12 avg = 12. 0 Number of gr oups = 29 Obs per gr oup: mi n = 12