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st: Weak identification with a large number of endogenous variables


From   "PETRESKI Marjan" <M.Petreski@staffs.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Weak identification with a large number of endogenous variables
Date   Sun, 21 Feb 2010 00:21:11 -0000

Dear all,

Can somebody advise me on a solution of the missing Stock-Yogo critical values for a large number of endogenous variables under xtivreg2? I do have 14 endogenous variables, and get Stock-Yogo F-stat of about 2.5, which seems low. However, increasing the instrument set leads to only marginal improvement of the F-stat.

Is the IV bias reduced with a large number of endogenous variables and if yes, can you please lend me some reference?

Best regards,

Mr. Marjan Petreski
Staffordshire University 
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