Great!!! I understand it much better now. Many thanks Austin.
On 9/25/07, Austin Nichols <[email protected]> wrote:
> 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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