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From |
sara borelli <saraborelli77@yahoo.it> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
R: st: RE: cragg-donal test for weak instruments with heteroskedasticity |

Date |
Fri, 25 Jul 2008 15:58:21 +0000 (GMT) |

Dear Professor Shaffer, I am sorry to ask you further,and such a long question, but I want to be sure that I understand correctly. Thus, from my understanding, I have two options: Either I run ivreg2 and get the The K-P statitsics, and then compare it to the tabulated values of Staiger and Stock(2002), Or I explicitly estimate the reduced forms for the two endogenous variables, compute the F-tests for the excluded instruments in each reduced form and compare those to 10. Is this correct? Since both options are not going to give me the "perfect" answer, I wanted to do it in both ways, and see what happens, but after installing ivreg2 and ranktest, I am not able to get the first stage K-P statistics or the cragg donald statistics. After running ivreg2 y x (y1 y2=z1 z2), ffirst robust Stata reports only the first stage F (which is not even robust) and the shea statistics, nothing more. Is it possible that this happens because I do not have the appropriate stata version to obtain K-P or Cragg Donald? I am currently using Stata 8. I have also access to Stata 10, but there ivreg2 does not work, and it seems that K-P is a special feature of ivreg2 and not of ivregress. Is this what is going on? Thank you very much for your help Sara --- Ven 25/7/08, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> ha scritto: > Da: Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> > Oggetto: st: RE: cragg-donal test for weak instruments with heteroskedasticity > A: statalist@hsphsun2.harvard.edu > Data: Venerd́ 25 luglio 2008, 15:28 > Sara, > > > -----Original Message----- > > From: owner-statalist@hsphsun2.harvard.edu > > [mailto:owner-statalist@hsphsun2.harvard.edu] On > Behalf Of > > sara borelli > > Sent: Friday, July 25, 2008 1:57 PM > > To: statalist@hsphsun2.harvard.edu > > Subject: st: cragg-donal test for weak instruments > with > > heteroskedasticity > > > > Dear All, > > > > I a estimating the following model: > > > > Y= aX + bY1 + cY2 + u > > I am using standard errors robust and clustered at the > > > neighborhood level; > > > > X = vector of eogenous regressors > > Y1, Y2 are endogenous > > Z1 Z2 excluded instruments > > > > I want to test weather my IVs are non-weak. I know > that in > > the case of a single endogenous variable I should use > the > > "rule of thumb" that the first stage > F-statistic >10 (Steiger > > and Stock 1997). > > But Stock and Yogo (2002) say to use the Cragg -Donald > > > Statistics in presence of multiple endogenous > regressors. I > > know this statistics is not valid under > heteroskedasticity. I > > would like to know if there is a way to compute a > robust > > analog of the Cragg-Donal statistics in Stata > > The Cragg-Donald statistic is a test statistic for the rank > of a matrix. > Anderson (1951) derived an earlier and similar test based > on canonical > correlations. > > -ivreg2-, downloadable from ssc-ideas in the usual way, > reports a > generalization of these to the case of heteroskedastic > and/or > autocorrelated errors, due to Kleibergen and Paap. The K-P > stat reduces > to C-D and Anderson tests in the iid case. > > The K-P stat is implemented in Stata by -ranktest-, so > you'll need to > install this as well. > > > and in case if > > it would still be valid to compare it to the tabulated > values > > of Stock and Yogo(2002). Alternatively, would be wrong > to > > simply refer to the old "rule of tumb" that > the F-statistics > > should be at least 10, even in presence of multiple > > endogenous variables? > > As far as I know, critical values have not been tabulated > for non-iid > case (and it would be hard to, since the form of > heteroskedasticity/autocorrelation will make a difference > to how they > perform). > > Either of your suggestions seems sensible to me. > > Cheers, > Mark (coauthor of -ivreg2- and -ranktest-) > > Prof. Mark E. Schaffer > Department of Economics > School of Management & Languages > Heriot-Watt University > Edinburgh EH14 4AS UK > 44-131-451-3494 direct > 44-131-451-3296 fax > http://ideas.repec.org/e/psc51.html > > > > > > Thank you for any help > > Sara Borelli > > > > > > > > > > > > > > Posta, news, sport, oroscopo: tutto in una sola > pagina. > > Crea l'home page che piace a te! > > www.yahoo.it/latuapagina > > > > * > > * For searches and help try: > > * http://www.stata.com/help.cgi?search > > * http://www.stata.com/support/statalist/faq > > * http://www.ats.ucla.edu/stat/stata/ > > > > > -- > Heriot-Watt University is a Scottish charity > registered under charity number SC000278. > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ Posta, news, sport, oroscopo: tutto in una sola pagina. Crea l'home page che piace a te! www.yahoo.it/latuapagina * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**RE: st: RE: cragg-donal test for weak instruments with heteroskedasticity***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**References**:**st: RE: cragg-donal test for weak instruments with heteroskedasticity***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

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