Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: clarification on interpreting Stock&Yogo- maximal IV "size"


From   "Austin Nichols" <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: clarification on interpreting Stock&Yogo- maximal IV "size"
Date   Tue, 25 Sep 2007 13:18:51 -0400

Nirina F <fstata@gmail.com>:
Looks your bias is relatively small (less than 5% of OLS) but the size
distortion is potentially large (more than 15% rejection rate with a
5% alpha). -findit condivreg- or -net install st0033_2.pkg- to get a
program due to Mikusheva and Poi (2006) to conduct hypothesis tests
robust to weak instruments, for the case of a single endog regressor
and i.i.d. errors.  With more than one endog regressor or non-iid
errors, you may want to use the Anderson and Rubin (1949)
approach--see
http://www.stata.com/meeting/5nasug/wiv.pdf
for full references and some discussion (esp. slide titled "AR
Confidence Sets").

On 9/25/07, Nirina F <fstata@gmail.com> wrote:
> ------------------------------------------------------------------------------
> Weak identification test (Cragg-Donald Wald F statistic):               58.734
> Stock-Yogo weak ID test critical values:  5% maximal IV relative bias    21.30
>                                         10% maximal IV relative bias    11.10
>                                         20% maximal IV relative bias     5.86
>                                         30% maximal IV relative bias     4.07
>                                         10% maximal IV size            141.08
>                                         15% maximal IV size             72.44
>                                         20% maximal IV size             49.26
>                                         25% maximal IV size             37.65
> Source: Stock-Yogo (2005).  Reproduced by permission.
*
*   For searches and help try:
*   http://www.stata.com/support/faqs/res/findit.html
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index