Re: st: Critical values for stock and yogo test when the clusteroption is used

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

Thank you very much

I thougt that i wasn't clear enough and i posted a new question before i got 
your answer. Just ignore the mail you are going to get.

Danny
----- Original Message ----- 
From: "Austin Nichols" <austinnichols@gmail.com>
To: <statalist@hsphsun2.harvard.edu>
Sent: Thursday, February 28, 2008 2:39 PM
Subject: Re: st: Critical values for stock and yogo test when the 
clusteroption is used



> No--hence I said:
> "
> You will find discussion of constructing Anderson Rubin confidence
> regions in http://www.stata.com/meeting/5nasug/wiv.pdf (and its refs).
> "
> rather than recommending -condivreg-.
> Did you try augmenting excluded instruments as I suggested?  Did you
> do an overID test?
>
> All of this advice was for the linear model, before you revealed you
> have a probit; for your setting you may need original simulations.
>
> On Thu, Feb 28, 2008 at 2:56 AM, Danny Cohen-Zada <danoran@bgu.ac.il> 
> wrote:
>
> > As you recommended me i came to conclusion that my instruments are weak.
> >  Therefore, i used condivreg to perform the conditinal likelihood ratio 
> > test.
> >  According to this test the pvalue is 0.000. However, this procedure 
> > doesn't
> >  have a cluster option. Is the conditional ratio test valid (when one 
> > have to
> >  cluster the standard errors)?
> >
> >  Best,
> >
> >  Danny
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