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st: Stock-Yogo for weak identification and Stock-Wright (2000) in xtivreg2


From   "Erasmo Giambona" <e.giambona@gmail.com>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: Stock-Yogo for weak identification and Stock-Wright (2000) in xtivreg2
Date   Mon, 30 Jul 2007 14:08:13 +0200

Dear All,
I am estimating a model with 6 endogenous variables and 19 excluded
instruments. I understand Stock-Yogo weak ID critical values are not
available in this case.  Can I use the F-test for exluded instruments
and/or the Shea's partial R2 as alternative tests in this case?

My second question is on how to interpret the Stock-Wright (2000)
test. The Stata help says: "The null hypothesis tested in both cases
is that the coefficients of the endogenous regressors in the
structural equation are jointly equal to zero, and, in addition, that
the overidentifying restrictions are valid.  Both tests are robust to
the presence of weak instruments." I find a bit hard to understanding
this definition. For my case I get
Chi-sq(19)=36.62    P-val=0.0088. Does this mean that my endogenous
regressors in the structural equation are jointly different from zero,
but my instruments are not valid?

Any suggestions would be appreciated.

Regards,
Erasmo
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