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Re: st: RE: AR test


From   Dan Bergov <danbergov@yahoo.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: RE: AR test
Date   Wed, 4 May 2011 02:01:54 -0700 (PDT)

Eric, thanks a lot. It just I do not get a thing. I read in  Mr. Baum's book that the first stage regression is to test the relevance of the instruments. The AR test I am talking about  (Anderson and Rubin 1949) tests the whether we have a confidence region for the estimated parameter even if the presence of weak instruments. Am I correct?
So I am wondering: I estimate with generalised method of moments, I assume that I have one endogenous regressor and after that test if the parameter I estimated for the endogenous regressor has a confidence region in the case that some of my instruments are not relevant? If someone can tell me if I am wrong or right I would deeply appreciate it. Thnks. Dan.

----- Original Message -----
From: DE SOUZA Eric <eric.de_souza@coleurope.eu>
To: "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Cc: 
Sent: Tuesday, May 3, 2011 7:18 PM
Subject: Re: st: RE: AR test

add the option -first- to your -ivreg2- command.
Have a look at the help file for ivreg2: -help ivreg2- for more details.


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 Dan Bergov
Sent: 03 May 2011 17:57
To: statalist@hsphsun2.harvard.edu
Subject: st: AR test

Hi! I am somehow new to this forum, and stata:). I was wondering if someone could tell what package is needed to perform Anderson Rubin test for weak instruments, I mean the one that is robust to weak instruments not the one reported bi ivreg2 for overidentyfing conditions. I downloaded condivreg package but I have more than one endogenous regressors so I don't need CLR test, but AR test. Thanks! Hope to get a reply!
Dan
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