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st: Stock & Yogo Weak ID test


From   vikramfinavker <vikramfinavker@gmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Stock & Yogo Weak ID test
Date   Sat, 9 Apr 2011 04:00:56 -0700

HI,

Could you please tell me whats the difference between the test based on TSLS
bias and TSLS size. Should i consider both of them? I got following results.
PLease advise me.

Weak identification test (Cragg-Donald Wald F statistic):              
14.021
Stock-Yogo weak ID test critical values:  5% maximal IV relative bias   
13.97
                                         10% maximal IV relative bias    
8.78
                                         20% maximal IV relative bias    
5.91
                                         30% maximal IV relative bias    
4.79
                                         10% maximal IV size            
19.45
                                         15% maximal IV size            
11.22
                                         20% maximal IV size             
8.38
                                         25% maximal IV size             
6.89
Source: Stock-Yogo (2005).  Reproduced by permission.
Thanks.
 

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