st: Critical values for stock and yogo test when the cluster option is used

["Danny Cohen-Zada" <danoran@bgu.ac.il>]

I would be thankful to anybody that can give me an advice concerning the 
critical values in the stock and yogo test.







I estimate the following IV model with the cluster option



ivreg2 y1 x1 x2 (y2 =  z1 ), ffirst cluster (x3)



(In my model I have only one endogenous regressor and one excluded 
instrument).





I know that the Stock and Yogo statistic assume conditional homoskedasticity 
and independence. Since I use the cluster option I can not use the reported 
stock and yogo statistic (f statistic on the exluded instrument)  and the 
reported critical values.



I know that I can use the command ffirst to obtain the corrected f statistic 
on the excluded instrument. It differ substantially  from the unclustered f 
statistic (regular = 158, clustered=5.26, the regular critical values are in 
the range 5.53-16.38). However, I still have a problem because I do not know 
what the corrected critical values are (I guess that I can not use the 
regular critical values). If i used the regular f-statistic and the regular 
critical values i find that my instruments are very very strong. This 
picture is changed if i compare the corrected f-statisticto the regular 
critical values.



I would be thankful to anybody who knows how I can check that my instruments 
are not weak in a regression where the cluster option is used. Specifically, 
to which value should I compare the corrected f-statistic on the excluded 
instrument obtained by the command ffirst.


Best,

Danny


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