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


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
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 23:57:03 -0000

Danny,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Danny Cohen-Zada
> Sent: 27 February 2008 22:00
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: Critical values for stock and yogo test when 
> the clusteroption is used
> 
> In this case where there is no test for weak instrument in 
> ivprobit: Would you prefer to report stock and yogo as a 
> crude indication on the strength of the instruments or would 
> you prefer to say that there is no test for weak instruments 
> and just report the F-statistic on the exluded instrument 
> (without comparing it to any critical value).

I'd do both.  Why not?

Cheers,
Mark

> Best,
> 
> Danny
> 
> ----- Original Message -----
> From: "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
> To: <statalist@hsphsun2.harvard.edu>
> Sent: Wednesday, February 27, 2008 11:08 PM
> Subject: RE: st: Critical values for stock and yogo test when 
> the clusteroption is used
> 
> 
> > Danny,
> >
> >> -----Original Message-----
> >> From: owner-statalist@hsphsun2.harvard.edu
> >> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Danny 
> >> Cohen-Zada
> >> Sent: 27 February 2008 20:39
> >> To: statalist@hsphsun2.harvard.edu
> >> Subject: Re: st: Critical values for stock and yogo test when the 
> >> clusteroption is used
> >>
> >> 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?
> >
> > I'm not aware of any studies of weak identification for ivprobit 
> > estimation.  Unless you can find something, you're on your own.
> >
> > That said, Leandro Magnusson (now at Tulane) has done some 
> interesting 
> > work on weak identification with limited dependent variable models:
> >
> > http://www.econ.brown.edu/students/Leandro%5FMagnusson/Research.html
> >
> > Cheers,
> > Mark
> >
> > Prof. Mark Schaffer
> > Director, CERT
> > Department of Economics
> > School of Management & Languages
> > Heriot-Watt University, Edinburgh EH14 4AS tel 
> +44-131-451-3494 / fax 
> > +44-131-451-3296
> > email: m.e.schaffer@hw.ac.uk
> > web: http://www.sml.hw.ac.uk/ecomes
> >
> >
> >>
> >> 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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