Table 5 Results from first stage regressions of Bewley transformation
\(\Delta LnZ_{1t - 1}\) | Coefficient | p value |
|---|---|---|
\(LnZ_{1t - 1}\) | − 0.772 | 0.000 |
\(LnVIX\) | 0.120 | 0.000 |
\(WEI\) | 0.001 | 0.617 |
Cons | 17.682 | 0.000 |
Sanderson-Windmeijer multivariate F test of excluded instruments: F (1, 51) = 34.17, Prob > F = 0.0000 | ||
Under identification Test: Anderson canon. corr. LM statistic: Chi-sq(1) = 22.07, p value = 0.0000 | ||
Weak identification Test: Cragg-Donald Wald F statistic 34.17*** | ||
Weak-instrument-robust inference Anderson-Rubin Wald test F(1,51) = 2.97 p value = 0.0907 Anderson-Rubin Wald test Chi-sq(1) = 3.21 p value = 0.0733 Stock-Wright LM S statistic Chi-sq(1) = 3.03 p value = 0.0817 | ||
Number of observations N = 55 Number of regressors K = 4 Number of endogenous regressors K1 = 1 Number of instruments L = 4 Number of excluded instruments L1 = 1 | ||