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st: Kleinbargen Paap


From   Karan Nagpal <karan.nagpal1@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Kleinbargen Paap
Date   Tue, 27 Mar 2012 14:33:55 +0100

Suppose I have one endogenous variable and I am using two instruments.
I suspect there's heteroskedasticity, so the Cragg-Donald test doesn't
work, right?

Hence, I rely on the Kleinbargen-Paap test statistic, obtained using
the ivreg2 command. Am I right in assuming that the null of the KP
test is "instruments are weak?"

The statistic for the (Kleibergen-Paap rk Wald F statistic) is 29.356.
Do I compare this with the Stock-Yogo thresholds or with the
first-stage F-statistic, to test the null?

Thanks,
Karan
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