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st: Rivtest p-values


From   Jessica Ellen Leight <jeleight@mit.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Rivtest p-values
Date   Thu, 07 Apr 2011 13:48:07 -0400

Hi,

I am using rivtest to do weak instrument-robust inference following the use of
the command ivreg2 with clustered standard errors.  I have found that for some
equations, the p-values for the Anderson-Rubin test generated by rivtest are
actually lower than those reported in ivreg2, such that a previously
insignificant result becomes insignificant (and this is reflected in the
confidence intervals as well.)   I was puzzled by this as I expected the
opposite.  Is there any general rule about comparing p-values for conventional
IV inference and those for weak-instrument robust inference, or something I
should infer by virtue of the fact that the p-values drop?

Best,
Jessica Leight
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