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Re: st: Critical values for stock and yogo test when the clusteroption is used


From   "Austin Nichols" <[email protected]>
To   [email protected]
Subject   Re: st: Critical values for stock and yogo test when the clusteroption is used
Date   Thu, 28 Feb 2008 07:39:00 -0500

No--hence I said:
"
You will find discussion of constructing Anderson Rubin confidence
regions in http://www.stata.com/meeting/5nasug/wiv.pdf (and its refs).
"
rather than recommending -condivreg-.
Did you try augmenting excluded instruments as I suggested?  Did you
do an overID test?

All of this advice was for the linear model, before you revealed you
have a probit; for your setting you may need original simulations.

On Thu, Feb 28, 2008 at 2:56 AM, Danny Cohen-Zada <[email protected]> wrote:
> As you recommended me i came to conclusion that my instruments are weak.
>  Therefore, i used condivreg to perform the conditinal likelihood ratio test.
>  According to this test the pvalue is 0.000. However, this procedure doesn't
>  have a cluster option. Is the conditional ratio test valid (when one have to
>  cluster the standard errors)?
>
>  Best,
>
>  Danny
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