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st: RE: RE: More than 3 endogenous regressors
Hi Mark/Kit,
Thanks.
I had checked the Stock-Yogo paper and that is why I was not sure what to do. I realize they are not reported/tabulated in the paper, although, I dont know if that means the critical values for n>3 cannot be computed. In that case, is it ok to rely on the Anderson statistic, the Shea correlations and Cragg-Donald F-statistic, for testing weak IV? Any other way to defend the model?
Thanks.
________________________________
From: [email protected] on behalf of Schaffer, Mark E
Sent: Mon 4/23/2007 2:21 AM
To: [email protected]
Subject: st: RE: More than 3 endogenous regressors
Not much choice here - it's not that the Stock-Yogo values "are not
reported", it's that Stock and Yogo didn't tabulate and publish them.
Check out the original Stock-Yogo paper as cited in the -ivreg2- help
file.
--Mark
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Sarkar, Dipa
> Sent: 22 April 2007 18:40
> To: [email protected]
> Subject: st: More than 3 endogenous regressors
>
> I am using ivreg2: I have much more than 3 endogenous
> regressors and similar number of excluded instruments. How to
> test for weak instruments then using ivreg2?? The Stock-Yogo
> values are not reported for above 3 regressors (100
> instrumemts). Thanks.
>
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