All--
My reply (Tue, Feb 26, 2008 at 4:42 PM) to this interlocutor's private
email yesterday was:
***************
Until someone redoes Stock and Yogo with various kinds of clustering,
you are stuck comparing your value to their table. One reason no one
has done that is that different kinds of clustering might produce
different answers, so the critical values might be more
problem-specific, and you might have to run your own simulations for
your own case, using observed intra-cluster correlations in the data.
***************
If anyone has a different answer, I'd be interested to hear it. Note
that the ref for Stock and Yogo is in the help for -ivreg2- on SSC and
in http://www.stata.com/meeting/5nasug/wiv.pdf.
On Wed, Feb 27, 2008 at 7:33 AM, Danny Cohen-Zada <[email protected]> wrote:
> I would be thankful to anybody that can give me an advice concerning the
> critical values in the stock and yogo test.
>
>
> I estimate the following IV model with the cluster option
>
> ivreg2 y1 x1 x2 (y2 = z1 ), ffirst cluster (x3)
>
> (In my model I have only one endogenous regressor and one excluded
> instrument).
>
> I know that the Stock and Yogo statistic assume conditional homoskedasticity
> and independence. Since I use the cluster option I can not use the reported
> stock and yogo statistic (f statistic on the exluded instrument) and the
> reported critical values.
>
> I know that I can use the command ffirst to obtain the corrected f statistic
> on the excluded instrument. It differ substantially from the unclustered f
> statistic (regular = 158, clustered=5.26, the regular critical values are in
> the range 5.53-16.38). However, I still have a problem because I do not know
> what the corrected critical values are (I guess that I can not use the
> regular critical values). If i used the regular f-statistic and the regular
> critical values i find that my instruments are very very strong. This
> picture is changed if i compare the corrected f-statisticto the regular
> critical values.
>
> I would be thankful to anybody who knows how I can check that my instruments
> are not weak in a regression where the cluster option is used. Specifically,
> to which value should I compare the corrected f-statistic on the excluded
> instrument obtained by the command ffirst.
>
>
> Best,
>
> Danny
>
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