Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: RE: Re: IV test statistics in Stata


From   "Lynn" <[email protected]>
To   <[email protected]>
Subject   st: RE: Re: IV test statistics in Stata
Date   Mon, 13 Aug 2012 21:05:18 -0700

Thank you.

Best Regards,
Lynn
PhD Student in Economics

-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Christopher Baum
Sent: Monday, August 13, 2012 3:54 AM
To: [email protected]
Subject: st: Re: IV test statistics in Stata

<>
On Aug 13, 2012, at 2:33 AM, Lynn wrote:

> I want to run several test statistics for instruments in my 2SLS model.
They
> are test of excluded instruments(F-stat), under-identification
> test(Kleibergen-Paap rk LM stat & Kleibergen-Paap rk Wald stat),
> weak-identification test(Kleibegen-Paap Wald rk F stat),
> weak-instrument-robust inference test(Anderson-Rubin Wald test,F-stat &
> Anderson-Rubin Wald test, Chi-square stat & Stock-Wright LM S stat). Could
> you please give me some information about command or reference link for
> these tests. I appreciate it. 

All are referenced in the two Stata Journal papers by Baum, Schaffer,
Stillman that you will find with
-findit ivreg2-. The papers, being more than three years old, are freely
downloadable from stata-journal.com.

Kit

Kit Baum   |   Boston College Economics & DIW Berlin   |
http://ideas.repec.org/e/pba1.html
                             An Introduction to Stata Programming  |
http://www.stata-press.com/books/isp.html
  An Introduction to Modern Econometrics Using Stata  |
http://www.stata-press.com/books/imeus.html


*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/

*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index