Table 6 Results of Bewley transformation from instrument variable estimation
\(LnZ1\) | Coefficient | p value |
|---|---|---|
\(\Delta LnZ_{1}\) | − 0.295 | 0.167 |
\(LnVIX\) | 0.156 | 0.000 |
\(WEI\) | 0.002 | 0.612 |
Cons | 22.899 | 0.000 |
Number of obs = 55 F(3, 51) = 7.89 Prob > F = 0.0002 Total (centered) SS = 0.3189746795 Total (uncentered) SS = 30,134.53036 Residual SS = 0.3008455664 Centered R2 = 0.0568 Uncentered R2 = 1.0000 Root MSE = 0.07396 | ||
Under identification test (Anderson canon. corr. LM statistic): 22.065 Chi-sq(1) p value = 0.0000 Weak identification test (Cragg-Donald Wald F statistic): 34.168 Stock-Yogo weak ID test critical values: 10% maximal IV size 16.38 15% maximal IV size 8.96 20% maximal IV size 6.66 25% maximal IV size 5.53 Sargan statistic (overidentification test of all instruments): 0.000 (Equation exactly identified) | ||