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From |
"Fitzgerald, James" <J.Fitzgerald2@ucc.ie> |

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

Subject |
st: Interpreting Kleibergen Paap weak instrument statistic |

Date |
Thu, 21 Jun 2012 13:01:55 +0000 |

Hi Statalist users I am using xtivreg2 to estimate a GMM-IV model (I specify the following options; fe robust bw(2) gmm2s). I am not assuming i.i.d errors, and thus when testing for weak instruments I am using the Kleibergen Paap rk wald F statistic rather than the Cragg Donald wald F statistic. xtivreg2 produces Stock-Yogo critical values for the Cragg Donald statistic assuming i.i.d errors, so I'm not sure how to interpret the KP rk wald F stat. The help file for ivreg2 (Baum, Schaffer and Stillman, 2010) does however mention the following: When the i.i.d. assumption is dropped and ivreg2 is invoked with the robust, bw or cluster options, the Cragg-Donald-based weak instruments test is no longer valid. ivreg2 instead reports a correspondingly-robust Kleibergen-Paap Wald rk F statistic. The degrees of freedom adjustment for the rk statistic is (N-L)/L1, as with the Cragg-Donald F statistic, except in the cluster-robust case, when the adjustment is N/(N-1) * (N_clust-1)/N_clust, following the standard Stata small-sample adjustment for cluster-robust. In the case of two-way clustering, N_clust is the minimum of N_clust1 and N_clust2. The critical values reported by ivreg2 for the Kleibergen-Paap statistic are the Stock-Yogo critical values for the Cragg-Donald i.i.d. case. The critical values reported with 2-step GMM are the Stock-Yogo IV critical values, and the critical values reported with CUE are the LIML critical values. My understanding of the end of the paragraph is that the KP stat can still be compared to the Stock-Yogo values produced by STATA in determining whether or not instruments are weak. If someone could confirm or reject this I would be eternally grateful!! Best wishes James Fitzgerald * * 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**:**st: RE: Interpreting Kleibergen Paap weak instrument statistic***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

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