Alice,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of aapdm
> Sent: 11 January 2008 10:33
> To: [email protected]
> Subject: st: Re: Weak instruments
>
> Dear Austin,
>
> Many thanks for this, and for the papers that are really useful!
>
> I have another question about ivreg2.
>
> For endogeneity tests, after the ivreg2 regression under iid
> (no robust command), when using the ivendog command, I get
> two statistics for endogeneity tests:
> the Wu-Hausman and the Durbin-Wu-Hausman.
>
> If I want to control for heteroskedasticity (and therefore
> add the robust option as well), the ivendog command is not
> valid and instead I need to add the option endog ( ), and
> this gives me the results for one statistic only.
>
> I've read that "the ivendog option unavailable in
> ivreg2 is the Wu-Hausman F-test version of the endogeneity
> test". Does this mean that the endog ( ) option provides me
> with the equivalent of the Durbin-Wu-Hausman statistic but
> under non iid disturbances?
Short answer - yes.
Slightly longer answer - if you use the endog() option with ivreg2 under
iid (no -robust-), you'll find that the test statistic reported is
identical to the D-W-H chi-sq test statistic. Add -robust- to -ivreg2-
and you get the equivalent but heteroskedastic-robust statistic.
Cheers,
Mark
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
>
> Many thanks!
>
> Alice.
>
>
>
>
>
> >
> > Austin Nichols <[email protected]> wrote:
> > Alice--
> >
> > The Kleibergen-Paap statistic is indeed the generalization of the
> > Cragg-Donald statistic. There is no table of critical
> values, but you
> > can use the critical values for the Cragg-Donald statistic
> from Stock
> > and Yogo until someone generates a newer version. A Cragg-Donald
> > statistic of 100 is good news, assuming you have not generated
> > instruments that have artificially high correlations with the
> > endogenous variables. You can also do OverID tests if you construct
> > new excluded instruments by taking products and squares of your
> > existing excluded instruments, or products with exogenous variables.
> > See these 3 working papers:
> > http://fmwww.bc.edu/EC-P/WP545.pdf
> > http://fmwww.bc.edu/EC-P/WP667.pdf
> > http://pped.org/stata/ciwod.pdf
> > for more.
> >
> > I am copying the Statalist, which I recommend you join, if you
> > anticipate having more questions about -ivreg2- (Kit Baum and Mark
> > Schaffer are regular contributors). You should be aware that all
> > Statalist posts are available on the web, including
> originating email
> > addresses, which can dramatically increase your volume of
> spam if you
> > are unprotected. A free gmail.com address is a good
> solution to this
> > problem.
> >
> > On Jan 9, 2008 2:09 PM, wrote:
> > > Dear Austin,
> > >
> > > I wish to test for weak instruments using Stata
> > and found a presentation of
> > > yours on Stata's website, and thought I might
> > email you to get some advice
> > > from you. Basically I wish to estimate a
> > regression of the type
> > >
> > > y = c + az + bx + e
> > >
> > > where z are two endogenous variables I need to
> > instrument, and x is a set of
> > > exogenous variables. My model is just identified
> > as I only consider two
> > > excluded instruments to instrument z.
> > >
> > > I just uploaded the new version of ivreg2 which
> > contains much more
> > > information than in the previous version, such as
> > the Stock and Yogo
> > > critical values for the Cragg-Donald statistic,
> > which makes things simpler
> > > as I was not sure whether I should use Table 1 or
> > 2 in Stock and Yogo for my
> > > critical values.
> > >
> > > From what I understand, if the Cragg-Donald
> > statistic is larger than the
> > > critical values, then I can reject the null
> > hypothesis of weak instruments.
> > > My calculated statistic is always huge, and
> > depending on specifications it
> > > is even larger than 100. Do you think this is
> > plausible and makes sense?
> > >
> > > I also understand that this statistic, as well as
> > the Stock and Yogo
> > > critical values are valid only under
> > homoskedasticity, i.e. when I do not
> > > include the robust command. However, in my
> > regressions I wanted to control
> > > for heteroskedasticity by adding the robust
> > command. In that case, ivreg2
> > > instead reports the Kleibergen-Paap statistic. Is
> > this the equivalent to the
> > > Cragg-Donald statistic but under
> > heteroskedasticity? I am asking this as I
> > > would prefer to control for heteroskedasticity but
> > the Cragg-Donald does not
> > > allow me to do so.
> > >
> > > Apart from that I am also using the ivendog
> > command to obtain the Wu-Hausman
> > > and Durbin-Wu-Hausman statistics to test for
> > endogeneity. I am not sure
> > > whether I should also test for other things,
> > especially as I am a bit
> > > concerned by the huge value of the Cragg-Donald
> > statistic I obtain.
> > >
> > > Many thanks for your suggestions!!!
> > >
> > > Best wishes,
> > >
> > > Alice.
> >
> >
> >
> ___________________________________________________________
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