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st: ivreg2 and weak instruments
From
Alice <[email protected]>
To
[email protected]
Subject
st: ivreg2 and weak instruments
Date
Thu, 3 Mar 2011 11:10:08 +0000 (GMT)
Dear all,
In a paper that I wrote in 2008, I used the -ivreg2- command to test for weak
instruments. I was clustering the standard errors of my IV regression, and so
-ivreg2- gave me the Kleibergen-Paap statistic that is robust to
heteroskedasticity and that I used to test for weak instruments. However, this
statistic had to be compared to the Stock and Yogo critical values that were
derived under homoskedasticity only.
I now need to get back to this paper, and I was wondering if, since 2008, any
progress had been made regarding the test on weak instruments, and in particular
whether new critical values had been derived to be used with the Kleibergen-Paap
statistic?
Many thanks.
Best wishes, Alice.
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