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From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

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

Date |
Fri, 25 Jul 2008 17:31:42 +0100 |

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 4:58 PM > To: statalist@hsphsun2.harvard.edu > Subject: R: st: RE: cragg-donal test for weak instruments > with heteroskedasticity > > 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? Not quite. Either you compare the K-P statistic (which is heteroskedasticity robust) to the Stock-Yogo (not Staiger-Stock) tabulated values for the C-D statistic, as you suggest, or you compare K-P to the the Staiger-Stock value of 10. Separate first-stage regressions do not provide an adequate test of identification - see Baum et al (2003) for an explanation (full reference details in -ivreg2- help). A third possibility is to test for heteroskedasticity (see -ivhettest-) and hope you don't have it. If you don't, then you can use the C-D stat with S-Y critical values. > 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? Not quite. -ivreg2- certainly runs under Stata 10, but you need to make sure you install the latest version, and also -ranktest- (which is the command that calculates the K-P statistic). You are right that the K-P statistic is not supported by official Stata -ivregress-. -ranktest- requires Stata 9 or better, which is why your Stata 8 version won't report the K-P statistic. Cheers, Mark > 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/ > -- 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/

**Follow-Ups**:**RE: st: RE: cragg-donal test for weak instruments with heteroskedasticity***From:*sara borelli <saraborelli77@yahoo.it>

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

**R: st: RE: cragg-donal test for weak instruments with heteroskedasticity***From:*sara borelli <saraborelli77@yahoo.it>

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