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


From   "Quang Nguyen" <quangn@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 16:36:28 -1000

Dear Austin,

Thanks so much for your excellent help. I highly appreciate it. Also,
the following background paper that you provided on Statlist sometime
ago is very helpful.

Many thanks!

Quang

http://ksghome.harvard.edu/~JStock/ams/websupp/rfa_7.pdf


On 9/21/07, Austin Nichols <austinnichols@gmail.com> wrote:
> 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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