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Re: st: RE: Cragg-Donald Wald Statistic and Stock and Yogo Critical values when there are more than 2 endogenous variables that are likely weak


From   Stephen Armah <armah.stephen@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Cragg-Donald Wald Statistic and Stock and Yogo Critical values when there are more than 2 endogenous variables that are likely weak
Date   Tue, 2 Jun 2009 05:16:36 -0500

Dear max,
Thanks so much for the prompt response.  however I believe ivreg2 and
xtivreg2 both do not  report Cragg-Donald Wald Statistic and Stock and
Yogo Critical values when there are " more than two endogenous
variables" that are likely weak.  This may be because Stock and Yogo
only worked with two endogenous variables.  I might be wrong.  Your
help is appreciated

I read Stock Wright and Yogo (2002) "A Survey of Weak Instruments and
Weak Identi’ cation in Generalized Method of Moments". Journal of
Business & Economic Statistics October 2002, Vol. 20, No. 4   but I am
still not sure for the  more than two endogenous variables case.

Thanks
and be well


On 6/2/09, Volpi, Massimiliano <malp@nerc.ac.uk> wrote:
> Apologies to the list. I forgot to add that ivreg2 is a downloadable program
> developed by C. Baum, M. Schaffer and S. Stillman.
>
> Max Volpi
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Stephen Armah
> Sent: 02 June 2009 09:59
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Cragg-Donald Wald Statistic and Stock and Yogo Critical values
> when there are more than 2 endogenous variables that are likely weak
>
> Dear listserve,
> Does any one know how to get STATA to report Cragg-Donald Wald
> Statistic and Stock and Yogo Critical values when there are more than
> 2 endogenous variables that are likely weak?
>
> Thanks and be well
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