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st: AR test with weak instrument


From   "Danny Cohen-Zada" <danoran@bgu.ac.il>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: AR test with weak instrument
Date   Sun, 2 Mar 2008 20:49:44 +0200

Does anybody know when it became known that the AR test is robust to weak instrument. Also, I read in Andrew and Stock (2005) that in the case of k=1, Moreira showed that it is the most powerful unbiased test (when standard errors are homoscedastic and independent). What was exactly known about this test before 2001 (with respect to the issue of weak instrument)?

Thanks

Danny

----- Original Message ----- From: "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To: <statalist@hsphsun2.harvard.edu>
Sent: Sunday, March 02, 2008 7:29 PM
Subject: st: RE: Analog to Sargon's Test for IV Probit?



Eric,

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of
Keuffel, Eric
Sent: 01 March 2008 20:57
To: statalist@hsphsun2.harvard.edu
Subject: st: Analog to Sargon's Test for IV Probit?

Is there a test for instrument validity for the ivprobit
command in Stata 10?  (similar to Sargon's test for
overidentifying restrictions when invoking the ivregress command).
From within Stata,

findit overid

will lead you to overid command (Baum-Schaffer-Stillman-Wiggins).  This
reports Sargan or Sargan-like overid tests after ivreg, ivreg2,
ivprobit, ivtobit, and reg3.

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,

Eric

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