Sara,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> sara borelli
> Sent: Friday, July 25, 2008 4:58 PM
> To: [email protected]
> Subject: R: st: RE: cragg-donal test for weak instruments
> with heteroskedasticity
>
> 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?
Not quite. Either you compare the K-P statistic (which is heteroskedasticity robust) to the Stock-Yogo (not Staiger-Stock) tabulated values for the C-D statistic, as you suggest, or you compare K-P to the the Staiger-Stock value of 10.
Separate first-stage regressions do not provide an adequate test of identification - see Baum et al (2003) for an explanation (full reference details in -ivreg2- help).
A third possibility is to test for heteroskedasticity (see -ivhettest-) and hope you don't have it. If you don't, then you can use the C-D stat with S-Y critical values.
> 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?
Not quite. -ivreg2- certainly runs under Stata 10, but you need to make sure you install the latest version, and also -ranktest- (which is the command that calculates the K-P statistic). You are right that the K-P statistic is not supported by official Stata -ivregress-.
-ranktest- requires Stata 9 or better, which is why your Stata 8 version won't report the K-P statistic.
Cheers,
Mark
> 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.
> >
> >
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>
>
> 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:
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> * http://www.ats.ucla.edu/stat/stata/
>
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