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Re: 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   Re: st: Stock-Yogo for weak identification and Stock-Wright (2000) in xtivreg2
Date   Mon, 30 Jul 2007 17:33:23 +0200

Dear All,
Please, find here the two complete refernces for the two papers that I
quoted in my previous email:

Stock, J.H. and Wright, J.H.  2000.  GMM with Weak Identification.
Econometrica, Vol. 68, No. 5, September, pp. 1055-1096.

Stock, J.H. and Yogo, M.  2005.  Testing for Weak Instruments in
Linear IV Regression.  In D.W.K. Andrews and J.H. Stock, eds.
    Identification and Inference for Econometric Models:  Essays in
Honor of Thomas Rothenberg. Cambridge: Cambridge University
    Press, 2005, pp. 80–108.  Working paper version: NBER Technical
Working Paper 284.  http://www.nber.org/papers/T0284.

Regards,
Erasmo


On 7/30/07, Erasmo Giambona <e.giambona@gmail.com> wrote:
> 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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