Dear Professor Shaffer,
I am sorry to ask you further,and such a long question, but I want to be sure that I understand correctly. Thus, from my understanding, I have two options:
Either I run ivreg2 and get the The K-P statitsics, and then compare it to the tabulated values of Staiger and Stock(2002),
Or I explicitly estimate the reduced forms for the two endogenous variables, compute the F-tests for the excluded instruments in each reduced form and compare those to 10. Is this correct?
Since both options are not going to give me the "perfect" answer, I wanted to do it in both ways, and see what happens, but after installing ivreg2 and ranktest, I am not able to get the first stage K-P statistics or the cragg donald statistics. After running
ivreg2 y x (y1 y2=z1 z2), ffirst robust
Stata reports only the first stage F (which is not even robust) and the shea statistics, nothing more.
Is it possible that this happens because I do not have the appropriate stata version to obtain K-P or Cragg Donald? I am currently using Stata 8. I have also access to Stata 10, but there ivreg2 does not work, and it seems that K-P is a special feature of ivreg2 and not of ivregress. Is this what is going on?
Thank you very much for your help
Sara
--- Ven 25/7/08, Schaffer, Mark E <[email protected]> ha scritto:
> Da: Schaffer, Mark E <[email protected]>
> Oggetto: st: RE: cragg-donal test for weak instruments with heteroskedasticity
> A: [email protected]
> Data: Venerd� 25 luglio 2008, 15:28
> Sara,
>
> > -----Original Message-----
> > From: [email protected]
> > [mailto:[email protected]] On
> Behalf Of
> > sara borelli
> > Sent: Friday, July 25, 2008 1:57 PM
> > To: [email protected]
> > Subject: st: cragg-donal test for weak instruments
> with
> > heteroskedasticity
> >
> > Dear All,
> >
> > I a estimating the following model:
> >
> > Y= aX + bY1 + cY2 + u
> > I am using standard errors robust and clustered at the
>
> > neighborhood level;
> >
> > X = vector of eogenous regressors
> > Y1, Y2 are endogenous
> > Z1 Z2 excluded instruments
> >
> > I want to test weather my IVs are non-weak. I know
> that in
> > the case of a single endogenous variable I should use
> the
> > "rule of thumb" that the first stage
> F-statistic >10 (Steiger
> > and Stock 1997).
> > But Stock and Yogo (2002) say to use the Cragg -Donald
>
> > Statistics in presence of multiple endogenous
> regressors. I
> > know this statistics is not valid under
> heteroskedasticity. I
> > would like to know if there is a way to compute a
> robust
> > analog of the Cragg-Donal statistics in Stata
>
> The Cragg-Donald statistic is a test statistic for the rank
> of a matrix.
> Anderson (1951) derived an earlier and similar test based
> on canonical
> correlations.
>
> -ivreg2-, downloadable from ssc-ideas in the usual way,
> reports a
> generalization of these to the case of heteroskedastic
> and/or
> autocorrelated errors, due to Kleibergen and Paap. The K-P
> stat reduces
> to C-D and Anderson tests in the iid case.
>
> The K-P stat is implemented in Stata by -ranktest-, so
> you'll need to
> install this as well.
>
> > and in case if
> > it would still be valid to compare it to the tabulated
> values
> > of Stock and Yogo(2002). Alternatively, would be wrong
> to
> > simply refer to the old "rule of tumb" that
> the F-statistics
> > should be at least 10, even in presence of multiple
> > endogenous variables?
>
> As far as I know, critical values have not been tabulated
> for non-iid
> case (and it would be hard to, since the form of
> heteroskedasticity/autocorrelation will make a difference
> to how they
> perform).
>
> Either of your suggestions seems sensible to me.
>
> Cheers,
> Mark (coauthor of -ivreg2- and -ranktest-)
>
> Prof. Mark E. Schaffer
> Department of Economics
> School of Management & Languages
> Heriot-Watt University
> Edinburgh EH14 4AS UK
> 44-131-451-3494 direct
> 44-131-451-3296 fax
> http://ideas.repec.org/e/psc51.html
>
>
> >
> > Thank you for any help
> > Sara Borelli
> >
> >
> >
> >
> >
> >
> > Posta, news, sport, oroscopo: tutto in una sola
> pagina.
> > Crea l'home page che piace a te!
> > www.yahoo.it/latuapagina
> >
> > *
> > * For searches and help try:
> > * http://www.stata.com/help.cgi?search
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
> >
>
>
> --
> Heriot-Watt University is a Scottish charity
> registered under charity number SC000278.
>
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
Posta, news, sport, oroscopo: tutto in una sola pagina.
Crea l'home page che piace a te!
www.yahoo.it/latuapagina
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
