st: AR test with weak instrument

["Danny Cohen-Zada" <danoran@bgu.ac.il>]

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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