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


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Cragg-Donald F statistic - Weak Indentification
Date   Mon, 28 Sep 2009 11:52:41 -0400

Erasmo Giambona <e.giambona@gmail.com>:
This is discussed by Stock and Yogo (reference given in the help file
for -ivreg2- on SSC), among others.  Basically, the matrix version of
the first-stage F-test gives the smallest effect of the various
directions in which the endog X vars are pushed around by excluded
instruments Z.  If two out of three endog X variables are strongly
pushed around by Z, but one is hardly affected at all, you still have
a weak instruments problem--and all of this is conditional on whatever
other covariates are in the model, of course.

On Mon, Sep 28, 2009 at 11:12 AM, Erasmo Giambona <e.giambona@gmail.com> wrote:
> 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?

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