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from -help ivreg2- (SSC):
The first-stage output also includes two statistics that provide weak-
instrument robust inference for testing the
significance of the endogenous regressors in the structural equation
being estimated. The first statistic is the
Anderson-Rubin (1949) test (not to be confused with the Anderson-Rubin
overidentification test for LIML estimation; see
above). The second is the closely related Stock-Wright (2000) S
statistic. The null hypothesis tested in both cases is that
the coefficients of the endogenous regressors in the structural
equation are jointly equal to zero, and, in addition, that
the overidentifying restrictions are valid. Both tests are robust to
the presence of weak instruments. The tests are
equivalent to estimating the reduced form of the equation (with the
full set of instruments as regressors) and testing that
the coefficients of the excluded instruments are jointly equal to
zero. In the form reported by ivreg2,the Anderson-Rubin
statistic is a Wald test and the Stock-Wright S statistic is a GMM-
distance test. Both statistics are distributed as
chi-squared with L1 degrees of freedom, where L1=number of excluded
instruments.
The A-R Wald test and Stock-Wright S statistic can be calculated even
for exactly identified equations.
See http://ideas.repec.org/a/tsj/stataj/v7y2007i4p465-506.html
or its working paper version (freely available).
-xtivreg2- from SSC is a 'wrapper' for -ivreg2-, so you should consult
the -ivreg2- documentation for its features.
Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming
| http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
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