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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   Thu, 28 Feb 2008 02:40:03 +0200

I thought maybe i shouldn't report the critical values because they may be irrelevant for an ivprobit estimation. On the other hand, I think it can give some indication on the strength of the instrument and this motivates me to report them. Also, if they are weak in some specifications then i can perform a conitional likelihood ratio test (by moreira) to show that the endogenous regressor is significat (as professor austin suggests in his very clear presentation on weak instruments).

What do you think?

Best,


----- Original Message ----- From: "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To: <statalist@hsphsun2.harvard.edu>
Sent: Thursday, February 28, 2008 1:57 AM
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 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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