Nirina F <[email protected]>:
Looks your bias is relatively small (less than 5% of OLS) but the size
distortion is potentially large (more than 15% rejection rate with a
5% alpha). -findit condivreg- or -net install st0033_2.pkg- to get a
program due to Mikusheva and Poi (2006) to conduct hypothesis tests
robust to weak instruments, for the case of a single endog regressor
and i.i.d. errors. With more than one endog regressor or non-iid
errors, you may want to use the Anderson and Rubin (1949)
approach--see
http://www.stata.com/meeting/5nasug/wiv.pdf
for full references and some discussion (esp. slide titled "AR
Confidence Sets").
On 9/25/07, Nirina F <[email protected]> wrote:
> ------------------------------------------------------------------------------
> Weak identification test (Cragg-Donald Wald F statistic): 58.734
> Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 21.30
> 10% maximal IV relative bias 11.10
> 20% maximal IV relative bias 5.86
> 30% maximal IV relative bias 4.07
> 10% maximal IV size 141.08
> 15% maximal IV size 72.44
> 20% maximal IV size 49.26
> 25% maximal IV size 37.65
> Source: Stock-Yogo (2005). Reproduced by permission.
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