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


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&#39;home page che piace a te!
> > www.yahoo.it/latuapagina
> > 
> > *
> > *   For searches and help try:
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> > *   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.
> 
> 
> *
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