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Re: st: RE: Cragg-Donald Wald Statistic and Stock and Yogo Critical


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Cragg-Donald Wald Statistic and Stock and Yogo Critical
Date   Tue, 2 Jun 2009 10:02:59 -0400

<>	
Stephen said

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

-ivreg2- from SSC will handle three endogenous variables if the equation is sufficiently overidentified (but not four).

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html



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