Dear Statalisters
I take up again this thread, as I was wondering what kind of solution could work, when there are more than 3 endogenous variables.
In a previous answer to this thread, Kit Baum pointed out that xtivreg2 could deal with 3 instruments, at most (while all usual tests remain available at least).
As I moved from having 3 to 4 variables that might potentially need being instrumented, I am wondering if using reg3 could solve the issue (estimating a system of equation instead of a single equation).
I assume that it would be necessary to check that all four equation are correctly specified, to be able to defend the specification with reg3, but haven't got a chance to really delve into this estimation procedure.
So I am asking for the experts' judgement. Is this a meaningful possibility, worth pursuing and reading more on, or is it just non-sense?
If meaningful, can I ask you for advice on where I should start reading from, for a practical implementation? The literature on the matter seems so large I am a bit "scared"/overwhelmed.
A closely related question: would it make sense to use xtivreg2 to test whether indeed all 4 variables really need being instrumented or not? If I could prove this way that only 3 variables are endogenous, while the fourth is exogenous, then I am fine (and lucky) and I don't need to look for any other solution. Otherwise, the answer to the above really becomes critical to my work.
Thanks and Best Regards
Max Volpi
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Stephen Armah
Sent: 02 June 2009 11:17
To: [email protected]
Subject: Re: st: RE: Cragg-Donald Wald Statistic and Stock and Yogo Critical values when there are more than 2 endogenous variables that are likely weak
Dear max,
Thanks so much for the prompt response. however I believe ivreg2 and
xtivreg2 both do not report Cragg-Donald Wald Statistic and Stock and
Yogo Critical values when there are " more than two endogenous
variables" that are likely weak. This may be because Stock and Yogo
only worked with two endogenous variables. I might be wrong. Your
help is appreciated
I read Stock Wright and Yogo (2002) "A Survey of Weak Instruments and
Weak Identi' cation in Generalized Method of Moments". Journal of
Business & Economic Statistics October 2002, Vol. 20, No. 4 but I am
still not sure for the more than two endogenous variables case.
Thanks
and be well
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