Re: st: RE: IV testing with ivreg2

[Johanna Avato <johanna.avato@googlemail.com>]

Thanks Mark! but how about my K-P value being above the critical  
values when I estimate using liml? What about the significant Anderson- 
Rubin stat? Doesn't that improve the situation and could at least say  
that I am at the edge of having a weak IV?
I read the paper, though it didn't really answer my particular  
combination of test results...

On Jan 7, 2009, at 3:25 PM, Schaffer, Mark E wrote:

> Johanna,
>
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu
> > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of
> > Johanna Avato
> > Sent: 07 January 2009 20:05
> > To: statalist@hsphsun2.harvard.edu
> > Subject: st: IV testing with ivreg2
> >
> > I am running an IV model with 2 endogenous variables and 4 IVs with
> > present heteroskedasticity. In my tests the partial Fs are
> > well above
> > 10 but the Kleinbergen-Paap statistic is only 5 thus not above the
> > critical values, still the Anderson-Rubin statistic is
> > significant. Do
> > I have a weak IV problem or not? If I use the liml option, which I
> > read is recommended for weak instruments, the
> > Kleinbergen-Paap of 5 is
> > still above the critical values... does anyone have a comment?
>
> It looks like you have a weak IV problem, though I have to add the
> caveat that the Kleibergen-Paap statistic is only a generalization of
> the Cragg-Donald stat and so the critical values for the C-D stat  
> should
> be taken as rough guide only for the K-P stat.
>
> The reason large partial Fs aren't enough is because your instruments
> don't have enough explanatory power to explain both your endogenous
> regressors at the same time.  They can explain one or the other (hence
> the two large partial Fs), but not both.  If you check out the paper  
> by
> Kit Baum, Steve Stillman and myself in the Stata Journal (2003) you'll
> find a slightly longer discussion of this.
>
> Hope this helps.
>
> Cheers,
> Mark
>
> Prof. Mark Schaffer
> Director, CERT
> Department of Economics
> School of Management & Languages
> Heriot-Watt University
> Edinburgh EH14 4AS
> tel +44-131-451-3494 / fax +44-131-451-3296
> http://ideas.repec.org/e/psc51.html
>
>
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