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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 09:56:43 +0200 |

As you recommended me i came to conclusion that my instruments are weak. Therefore, i used condivreg to perform the conditinal likelihood ratio test. According to this test the pvalue is 0.000. However, this procedure doesn't have a cluster option. Is the conditional ratio test valid (when one have to cluster the standard errors)?

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/ecomesThanks 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/

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

**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>

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