Dear Statalisters,
I am using the liml - limited information maximum likelihood -
estimator with xtivreg2 to address possible weak instrument issues. I
have two endogenous variables with 3 excluded instruments. The STATA
output reports the Kleinbergen-Paap F stat for weak identififcation.
However, Stock and Yogo (2005) do not tabulate critical values for the
weak identififcation test when one wants to assess the bias of the
LIML estimator. Would it be reasonable to use the critical values for
the TSLS estimator bias reported in Table 1 of Stock and Yogo (2005) ?
Any comments would be appreciated.
regards,
Erasmo
References
Stock, J.H. and Yogo, M. 2005. Testing for Weak Instruments in
Linear IV Regression. In D.W.K. Andrews and
J.H. Stock, eds. Identification and Inference for Econometric
Models: Essays in Honor of Thomas
Rothenberg. Cambridge: Cambridge U y Press, 2005, pp. 80–108.
Working paper version: NBER Technical
Working Paper 284. http://www.nber.org/papers/T0284.
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