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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-----
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> [mailto:firstname.lastname@example.org] On Behalf Of
> Karan Nagpal
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> 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?
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