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st: Testing weak instruments agter reg3


From   Ekrem Kalkan <kalkan.ekrem@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Testing weak instruments agter reg3
Date   Thu, 3 Dec 2009 10:40:05 +0200

Dear Stata users,

I am estimating a 3SLS regression (for an Almost Ideal demand system)
with reg3 command. I do not know how to test whether my "excluded
instruments" are weak or not (correlation with endogenous regressors).
I know that with "ivreg2" there are some diagnostics for weak
instruments. For example, the partial F-statistic of the reduced form
regression is required to be higher than 10.  Do you think that  these
diagnostics are valid for system estimation like reg3?

Thank you.

Ekrem Kalkan.
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