Dear Austin,
Thanks so much for your excellent help. I highly appreciate it. Also,
the following background paper that you provided on Statlist sometime
ago is very helpful.
Many thanks!
Quang
http://ksghome.harvard.edu/~JStock/ams/websupp/rfa_7.pdf
On 9/21/07, Austin Nichols <[email protected]> wrote:
> Quang Nguyen <[email protected]>:
> More important are the Stock-Yogo "critical values" as a guideline for
> when to worry about weak instruments, and the output of -ranktest-. If
> your excluded instruments are no good, your test for endogeneity is no
> good. The help file for the latest update to -ivreg2- gives good
> references...
> ssc inst ivreg2, replace
> ssc inst ranktest, replace
> h ivreg2
>
> On 9/21/07, Quang Nguyen <[email protected]> wrote:
> > Dear all,
> >
> > I run IVREG2 and received the Shea's of 0.05. Do you think this is OK?
> > Also, I run the Hausman Wu test of endogeneity which didn't reject the
> > null. As such, is t a good idea to use 2SLS?
> >
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>
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