Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
st: RE: Kleinbargen Paap
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
st: RE: Kleinbargen Paap
Tue, 27 Mar 2012 15:03:39 +0100
It's a tricky question. The Stock-Yogo critical values can be used with
the Cragg-Donald statistic, but the theory assumes iid etc.
The Kleibergen-Paap statistic generalizes the C-D stat to cover things
like heteroskedasticity, but it has only an asymptotic justification.
That is, you can use it for testing for underidentification - like the
original use of the C-D stat, Anderson's test, etc. But as far as I
know, nobody has worked out the theory, critical values, etc., for using
it to test for weak identification.
The only thing I can suggest is to use the Stock-Yogo critical values
anyway and just be cautious about interpreting the results.
BTW, you refer to the first-stage F-stat. In the special case of a
single endogenous regressor, the Kleibergen-Paap statistic is
numerically equivalent to a robust first-stage F-stat.
> -----Original Message-----
> From: firstname.lastname@example.org
> [mailto:email@example.com] On Behalf Of
> Karan Nagpal
> Sent: 27 March 2012 14:34
> To: firstname.lastname@example.org
> Subject: st: Kleinbargen Paap
> 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?
> * 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/
Heriot-Watt University is the Sunday Times
Scottish University of the Year 2011-2012
We invite research leaders and ambitious early career
researchers to join us in leading and driving research
in key inter-disciplinary themes. Please see
for further information and how to apply.
Heriot-Watt University is a Scottish charity
registered under charity number SC000278.
* For searches and help try: