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Re: st: Re: How large Shea's partial R square shoul be to have a good IV


From   "Austin Nichols" <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Re: How large Shea's partial R square shoul be to have a good IV
Date   Fri, 21 Sep 2007 20:42:22 -0400

Quang Nguyen <quangn@gmail.com>:
More important are the Stock-Yogo "critical values" as a guideline for
when to worry about weak instruments, and the output of -ranktest-. If
your excluded instruments are no good, your test for endogeneity is no
good. The help file for the latest update to -ivreg2- gives good
references...
 ssc inst ivreg2, replace
 ssc inst ranktest, replace
 h ivreg2

On 9/21/07, Quang Nguyen <quangn@gmail.com> wrote:
> Dear all,
>
> I run IVREG2 and received the Shea's of 0.05. Do you think this is OK?
> Also, I run the Hausman Wu test of endogeneity which didn't reject the
> null. As such, is t a good idea to use 2SLS?
>
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