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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? * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Cragg-Donald F statistic - Weak Indentification***From:*Erasmo Giambona <e.giambona@gmail.com>

**References**:**st: Cragg-Donald F statistic - Weak Indentification***From:*Erasmo Giambona <e.giambona@gmail.com>

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