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RE: st: RE: Kleibergen-Paap statistics


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: RE: Kleibergen-Paap statistics
Date   Mon, 7 Dec 2009 00:34:15 -0000

Sara,

> -----Original Message-----
> From: sara borelli [mailto:saraborelli77@yahoo.it] 
> Sent: 06 December 2009 23:40
> To: Schaffer, Mark E
> Subject: R: st: RE: Kleibergen-Paap statistics
> 
> Mark,
> thank you for your reply
> So just to be sure that I am getting this right: if I run the 
> following first stage regression:
> Y is my endogenous regressor
> Y= a + b*X+ c*(Excluded Instruments), cluster(s) test c gives 
> me the cluster-robust F statistics that I need to compare to 
> the critical value of 10 (rule of thumb of Staiger and Stock) 
> to evaluate the strenght of my instruments...is that correct?

Yes, exactly.

Cheers,
Mark

> thank you
> Sara
> 
> 
> 
> 
> --- Lun 7/12/09, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> ha scritto:
> 
> > Da: Schaffer, Mark E <M.E.Schaffer@hw.ac.uk>
> > Oggetto: st: RE: Kleibergen-Paap statistics
> > A: statalist@hsphsun2.harvard.edu
> > Data: Lunedì 7 dicembre 2009, 00:12
> > Sara,
> > 
> > > -----Original Message-----
> > > From: owner-statalist@hsphsun2.harvard.edu
> > 
> > > [mailto:owner-statalist@hsphsun2.harvard.edu]
> > On Behalf Of 
> > > sara borelli
> > > Sent: 06 December 2009 21:58
> > > To: statalist@hsphsun2.harvard.edu
> > > Subject: st: Kleibergen-Paap statistics
> > > 
> > > Dear Members,
> > > 
> > > I have a question about Kleibergen-Paap statistic;
> > of   
> > > This statistics is not supported by my current version
> > of stata.
> > > Is the K-B statistics equivalent to the 
> > > heteroskedasiticity-robust F statistic in the case of
> > a 
> > > single endogenous regressor?
> > 
> > That's right, thought it's a little more general than that
> > - the K-P
> > statistic has het-robust, cluster-robust, HAC, etc.
> > versions.
> > 
> > Cheers,
> > Mark
> > 
> > > Thank you
> > > Sara
> > > 
> > > 
> > > 
> > >       
> > > 
> > > *
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> > > 
> > 
> > 
> > -- 
> > Heriot-Watt University is a Scottish charity
> > registered under charity number SC000278.
> > 
> > 
> > *
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> > 
> 
> 
>       
> 


-- 
Heriot-Watt University is a Scottish charity
registered under charity number SC000278.


*
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