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st: Re: weak identification in ivreg2


From   Christopher Baum <kit.baum@bc.edu>
To   Xuelian Zhang <xzhang@economics.rutgers.edu>
Subject   st: Re: weak identification in ivreg2
Date   Sat, 30 Apr 2011 07:54:05 -0400

<>
On Apr 29, 2011, at 11:29 AM, Xuelian Zhang wrote:

> Hi Christopher F Baum,
> 
> I run ivreg2 with 5 endogenous variables instrumented by 10 IVs, and the ivreg2 reports the Cragg-Donald Wald F statistic as 1.250, and doesn't report the Stock-Yogo critical values, then do you know how to tell whether my instruments are weak instruments? 
> 
> Many thanks.
> 
> Best,
> Xuelian Zhang
> 
> Economics Department
> Rutgers University


Please read the ivreg2 help file:

 Stock and Yogo (2005) have compiled critical
values for the Cragg-Donald F statistic for several different estimators (IV, LIML, Fuller-LIML), several different definitions of
"perform poorly" (based on bias and test size), and a range of configurations (up to 100 excluded instruments and up to 2 or 3
endogenous regressors, depending on the estimator).  ivreg2 will report the Stock-Yogo critical values if these are available;
missing values mean that the critical values haven't been tabulated or aren't applicable.  See Stock and Yogo (2002, 2005) for
details.


Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html




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