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From |
Erasmo Giambona <e.giambona@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Mon, 28 Sep 2009 18:20:07 +0200 |

Thanks All. I had looked at Stock and Yogo, but I cannot really get the intuition of the Cragg-Donald test. Austin, hope I can ask for a clarification. If the third endogenous variable is not pushed around by Z, then wouldn't the simple F-test (excluded instruments) be very small? It seems this would tell me already that I have a weak identification problem. What I cannot see is what is the additional piece of information that I can gather from the Cragg-Donald test. Erasmo On Mon, Sep 28, 2009 at 5:52 PM, Austin Nichols <austinnichols@gmail.com> wrote: > 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/ > * * 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/

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

**Re: st: Cragg-Donald F statistic - Weak Indentification***From:*Austin Nichols <austinnichols@gmail.com>

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