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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 > >> >> > >> > * > >> > * 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/ > >> > > >> > >> * > >> * 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/ > >> > > > > * > > * 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/ > > > > * > * 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/ > * * 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/

**Follow-Ups**:**Re: st: Critical values for stock and yogo test when the clusteroption is used***From:*"Danny Cohen-Zada" <danoran@bgu.ac.il>

**References**:**RE: st: Critical values for stock and yogo test when the clusteroption is used***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**Re: st: Critical values for stock and yogo test when the clusteroption is used***From:*"Danny Cohen-Zada" <danoran@bgu.ac.il>

**Re: st: Critical values for stock and yogo test when the clusteroption is used***From:*"Austin Nichols" <austinnichols@gmail.com>

**Re: st: Critical values for stock and yogo test when the clusteroption is used***From:*"Danny Cohen-Zada" <danoran@bgu.ac.il>

**RE: st: Critical values for stock and yogo test when the cluster option is used***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**Re: st: Critical values for stock and yogo test when the clusteroption is used***From:*"Danny Cohen-Zada" <danoran@bgu.ac.il>

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