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st: RE: Stock-Yogo critical values for 5 endogenous variables


From   DE SOUZA Eric <eric.de_souza@coleurope.eu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Stock-Yogo critical values for 5 endogenous variables
Date   Fri, 29 Apr 2011 17:44:29 +0200

If you are using ivreg2, it really is worth your while to download the article by the authors of the command. Thanks to Stata Journal's policy, you can download it for free:
http://www.stata-journal.com/article.html?article=st0030_3


Eric de Souza
College of Europe
Brugge (Bruges), Belgium
http://www.coleurope.eu

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of xueliansharon
Sent: 29 April 2011 17:24
To: statalist@hsphsun2.harvard.edu
Subject: st: Stock-Yogo critical values for 5 endogenous variables

Dear listservers,

I want to estimate a linear model with 5 endogenous variables, I have 10 IVs in hand, but when I use ivreg2, it just reports Cragg-Donald Wald F statistic as 1.250, and doesn't report the Stock-Yogo critical values, then how can I see whether my instruments are weak instruments?

Your response is greatly appreciated.

Regards,
Sharon--
View this message in context: http://statalist.1588530.n2.nabble.com/Stock-Yogo-critical-values-for-5-endogenous-variables-tp6317292p6317292.html
Sent from the Statalist mailing list archive at Nabble.com.
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