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st: Re: IV test statistics in Stata


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Re: IV test statistics in Stata
Date   Mon, 13 Aug 2012 10:54:21 +0000

<>
On Aug 13, 2012, at 2:33 AM, Lynn wrote:

> I want to run several test statistics for instruments in my 2SLS model. They
> are test of excluded instruments(F-stat), under-identification
> test(Kleibergen-Paap rk LM stat & Kleibergen-Paap rk Wald stat),
> weak-identification test(Kleibegen-Paap Wald rk F stat),
> weak-instrument-robust inference test(Anderson-Rubin Wald test,F-stat &
> Anderson-Rubin Wald test, Chi-square stat & Stock-Wright LM S stat). Could
> you please give me some information about command or reference link for
> these tests. I appreciate it. 

All are referenced in the two Stata Journal papers by Baum, Schaffer, Stillman that you will find with
-findit ivreg2-. The papers, being more than three years old, are freely downloadable from stata-journal.com.

Kit

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                             An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
  An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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