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

 From sara borelli To statalist@hsphsun2.harvard.edu Subject RE: st: RE: cragg-donal test for weak instruments with heteroskedasticity Date Sat, 26 Jul 2008 08:14:07 +0000 (GMT)

```Dear Professor Schaffer,
I tried what you suggested:
which ivreg2, all

then I typed:
ssc install ivreg2, replace
but  I get
Thus I am not able no install directly the commands into stata 10.

I tried also to download the latest version of ivreg2 (version 2.2.09) and ranktest into Stata8 (these are not suopported in version8 so stata 8 is not able to run that version), but after the download I manually copied the new ado files into the ado files folder of stata 10. If I then type 'which ivreg2, all' in Stata10, Stata10 reports to have version 2.2.09 of ivreg2. But when I use it, Stata10 does not report the Cragg-Donald Statistics nor the K-P, while the help says that ivreg2 should report them automatically. I do not know if importing directly the ado files is correct, but since Stata10 recognizes in some way the new version of ivreg2, I do not understannd why it does not report C-D or K-P statistics after typing ivreg2...., ffirst  or  ivreg2...., ffirst robust

thank you for any 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: RE: st: RE: cragg-donal test for weak instruments with heteroskedasticity
> A: statalist@hsphsun2.harvard.edu
> Data: Venerdì 25 luglio 2008, 19:45
> 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 6:34 PM
> > To: statalist@hsphsun2.harvard.edu
> > Subject: RE: st: RE: cragg-donal test for weak
> instruments
> > with heteroskedasticity
> >
> > I am trying to install ivreg2 and ranktest in stata10,
> but I
> > have some difficulties
> >
> > after typing
> > ssc install ivreg2
> > ssc install ranktest
> > I get the following message:
> >
> > and I am not able to install them (even using the
> repalce
> > option)...It seems that ivreg2 is already installed
> but when
> > I try to use it stata10 does not recognize it...any
> suggestions?
>
> How about using the -replace- option?
>
> ssc install ivreg2, replace
>
> ssc install ranktest, replace
>
> And maybe you have multiple versions installed?  Try
>
> which ivreg2, all
>
> --Mark
>
>
> >
> > thanks a lot
> > 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: RE: st: RE: cragg-donal test for weak
> instruments with
> > > heteroskedasticity
> > > A: statalist@hsphsun2.harvard.edu
> > > Data: Venerdì 25 luglio 2008, 18:31
> > > 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
> > > 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
> 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
> > > 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: Venerdì 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.
> > > > >
> 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,
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