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st: Critical Values for the Weak Instrument Test Based on LIML Bias


From   "Erasmo Giambona" <e.giambona@gmail.com>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: Critical Values for the Weak Instrument Test Based on LIML Bias
Date   Fri, 31 Oct 2008 17:39:44 +0100

Dear Statalisters,

I am using the liml - limited information maximum likelihood -
estimator with xtivreg2 to address possible weak instrument issues. I
have two endogenous variables with 3 excluded instruments. The STATA
output reports the Kleinbergen-Paap F stat for weak identififcation.
However, Stock and Yogo (2005) do not tabulate critical values for the
weak identififcation test when one wants to assess the bias of the
LIML estimator. Would it be reasonable to use the critical values for
the TSLS estimator bias reported in Table 1 of Stock and Yogo (2005) ?

Any comments would be appreciated.
regards,
Erasmo

References

Stock, J.H. and Yogo, M.  2005.  Testing for Weak Instruments in
Linear IV Regression. In D.W.K. Andrews and
    J.H. Stock, eds. Identification and Inference for Econometric
Models: Essays in Honor of Thomas
    Rothenberg. Cambridge: Cambridge U y Press, 2005, pp. 80–108.
Working paper version: NBER Technical
    Working Paper 284.  http://www.nber.org/papers/T0284.

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