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From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: Validity of ivreg2-tests for underidentification and weak instruments if errors are not i.i.d. etc. |

Date |
Sat, 11 Feb 2012 15:01:10 -0000 |

Anne, > -----Original Message----- > From: Anne Tausch [mailto:anne.tausch@googlemail.com] > Sent: 10 February 2012 17:49 > To: statalist@hsphsun2.harvard.edu > Cc: Schaffer, Mark E; baum@bc.edu; Steven Stillman > Subject: Validity of ivreg2-tests for underidentification and > weak instruments if errors are not i.i.d. etc. > > Dear Mark Schaffer, hello everybody, > > I really appreciate your willingness to answer my questions > regarding the tests for underidentification/weak instruments > that are implemented in ivreg2. My questions are about the > validity of certain tests in particular circumstances and are > stated below. > > Unfortunately, I wasn't able to find the answers in the > articles of you, Christopher Baum and Steven Stillman (or elsewhere). > > Many thanks and best wishes > > Anne > > My questions are: > > 1. Is the chi-square test of Angrist and Pischke valid in the > presence of heteroskedasticity and autocorrelation? Yes. I'm assuming you're asking -ivreg2- to report HAC or cluster-robust stats. The A-P test stat will also be HAC or cluster-robust. > And what > about Shea's partial r-square? Is that valid in the case of > non i.i.d errors? Actually, Shea's partial r-square isn't really valid even in the iid case and doesn't have a distribution that allows you to use it for formal testing. If you really want an R-sq, you're better off using the A-P version. You can get the A-P R-sq after an -ivreg2- estimation from the saved matrix e(first). > > 2. In the case of multiple endogenous regressors, the Angrist > and Pischke F statistic can be used to asses whether a > particular endogenous regressor is weakly identified by > comparing the empirical value to the critical values of Stock > and Yogo. Is this test still valid in the presence of > heteroskedasticity and autocorrelation? Sort of. It's as valid for assessing weak identification as the HAC-robust F statistic in the 1-endogenous-regressor case, which is to say, "sort of valid". The weak identification test critical values that Stock and Yogo worked out are for the iid case only, and so using a HAC-robust, or heteteroskedasticity-robust, or cluster-robust test stat with these critical values has only an informal justification. (As in: "It's the best we can do for now".) > 3. If one has just one endogenous regressor and just one > excluded instrument variable: Can one still use the rule of > thumb that F should be greater than 10? Oder does that rule > only make sense when one has more than one excluded instrument? The Staiger-Stock (1997, Econometrica) rule of thumb of "F>=10" applies in this case too. HTH, Mark -- Heriot-Watt University is a Scottish charity registered under charity number SC000278. Heriot-Watt University is the Sunday Times Scottish University of the Year 2011-2012 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: Validity of ivreg2-tests for underidentification and weak instruments if errors are not i.i.d. etc.***From:*Anne Tausch <anne.tausch@googlemail.com>

**References**:**st: Validity of ivreg2-tests for underidentification and weak instruments if errors are not i.i.d. etc.***From:*Anne Tausch <anne.tausch@googlemail.com>

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