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Re: st: Critical values for stock and yogo test when the clusteroption is used


From   "Austin Nichols" <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Critical values for stock and yogo test when the clusteroption is used
Date   Wed, 27 Feb 2008 12:50:35 -0500

Danny--
This is your second question from yesterday, to which I answered
(yesterday) that you should compare the cluster-robust statistic
(5.26) to the crit value and therefore conclude you have a problem.
You will find discussion of constructing Anderson Rubin confidence
regions in http://www.stata.com/meeting/5nasug/wiv.pdf (and its refs).

If you strongly believe your model is correct:
 ivreg2 y1 x1 x2 (y2=z1), ffirst cluster (x3)
you can also add excluded instruments like so:
 g x1z1=x1*z1
 g x2z1=x2*z1
 g z2=z1^2
 ivreg2 y1 x1 x2 (y2=z1 x1z1 x2z1 z2), ffirst cue cl(x3)
and now you have overID tests available to you as well.

On Wed, Feb 27, 2008 at 12:22 PM, Danny Cohen-Zada <danoran@bgu.ac.il> wrote:
> Dear Professor Shaffer,
>
> I thought again and i think i understood that i should compare 5.26 to 16.38
> and i should be worry about the strength of my instrument. Am i right?
>
> Danny
>
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