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


From   "Danny Cohen-Zada" <danoran@bgu.ac.il>
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 22:38:52 +0200

Thank you very very much

I have one last question.

Actually, i am estimating an ivprobit model (with cluster) and with one endogenous regressor and one excluded instrument. Since I know there is no test for weak instrument for ivprobit i run ivreg2 only to check that my instrument are not weak (I thought this is the best test that i can perform). I estimate ivprobit with maximum likelihood and not with the two stage option. Thus, the first stage is slightly different. Actually, in this estimation the f-statistic on the exluded instrument is higher than that obtained with the two stage procedure of ivreg. Should i compare the f-statistic on the excluded instrument (from the maximum likelyhood ivprobit model) to the critical value, or should i take the f-statistic from the first stage of the ivreg procedure?

Thanks again

Danny




----- Original Message ----- From: "Austin Nichols" <austinnichols@gmail.com>
To: <statalist@hsphsun2.harvard.edu>
Sent: Wednesday, February 27, 2008 7:50 PM
Subject: Re: st: Critical values for stock and yogo test when the clusteroption is used



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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