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st: RE: Cragg-Donald F statistic - Weak Indentification


From   Rodolphe Desbordes <rodolphe.desbordes@strath.ac.uk>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Cragg-Donald F statistic - Weak Indentification
Date   Mon, 28 Sep 2009 16:43:26 +0100

Dear Erasmo,

A good starting point would be to read the help file of -ivreg2- and the paper "Enhanced routines for instrumental
variables/GMM estimation and testing" (WP: http://fmwww.bc.edu/EC-P/WP667.pdf).

Rodolphe
________________________________________
From: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] On Behalf Of Erasmo Giambona [e.giambona@gmail.com]
Sent: 28 September 2009 16:12
To: statalist
Subject: st: Cragg-Donald F statistic - Weak Indentification

Dear Statalist,

I am estimating a model with multiple endogenous variables using panel
data. I understand that one cannot use the F-test of excluded
instruments in the case of multiple endogenous variables to test for
weak identification. I understand that one should use instead the
Cragg-Donals F-statistic. What is the intuition of this test? Suppose
we have two endogenous variable (X and Y). Is the Cragg-Donals  a
joint test of the null hypothesis that we have at least one good
instrument for X and one good instrument for Y?

Any comments and recommendation for readings would be appreciated?

Erasmo
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