Thanks for this -- and to Mahabir Priydarshini also -- and for
providing the full references. It is best to assume very little except
common awareness that Stata exists and attendance at about
one course on statistics!
Nick
[email protected]
Erasmo Giambona
> Dear Nick,
> It was obviously not my intention to offend anybody, so my apologies
> to anybody who might have felt offended. I just assumed in good faith
> (and wrongly obviously) that people were aware of the Stock-Yogo and
> Stock-Wright (2000) tests reported as output when running xtivreg2.
>
> In any case, here are the two complete references:
>
>
> Stock, J.H. and Wright, J.H. 2000. GMM with Weak Identification.
> Econometrica, Vol. 68, No. 5, September, pp. 1055-1096.
>
> Stock, J.H. and Yogo, M. 2005. Testing for Weak Instruments in
> Linear IV Regression. In D.W.K. Andrews and J.H. Stock, eds.
> Identification and Inference for Econometric Models: Essays in
> Honor of Thomas Rothenberg. Cambridge: Cambridge University
> Press, 2005, pp. 80–108. Working paper version: NBER Technical
> Working Paper 284. http://www.nber.org/papers/T0284.
>
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