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st: RE: IV testing with ivreg2
Johanna,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Johanna Avato
> Sent: 07 January 2009 20:05
> To: [email protected]
> Subject: st: IV testing with ivreg2
>
> I am running an IV model with 2 endogenous variables and 4 IVs with
> present heteroskedasticity. In my tests the partial Fs are
> well above
> 10 but the Kleinbergen-Paap statistic is only 5 thus not above the
> critical values, still the Anderson-Rubin statistic is
> significant. Do
> I have a weak IV problem or not? If I use the liml option, which I
> read is recommended for weak instruments, the
> Kleinbergen-Paap of 5 is
> still above the critical values... does anyone have a comment?
It looks like you have a weak IV problem, though I have to add the
caveat that the Kleibergen-Paap statistic is only a generalization of
the Cragg-Donald stat and so the critical values for the C-D stat should
be taken as rough guide only for the K-P stat.
The reason large partial Fs aren't enough is because your instruments
don't have enough explanatory power to explain both your endogenous
regressors at the same time. They can explain one or the other (hence
the two large partial Fs), but not both. If you check out the paper by
Kit Baum, Steve Stillman and myself in the Stata Journal (2003) you'll
find a slightly longer discussion of this.
Hope this helps.
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
http://ideas.repec.org/e/psc51.html
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