Dear Statalist,
I am estimating a model with multiple endogenous variables using panel
data. I understand that one cannot use the F-test of excluded
instruments in the case of multiple endogenous variables to test for
weak identification. I understand that one should use instead the
Cragg-Donals F-statistic. What is the intuition of this test? Suppose
we have two endogenous variable (X and Y). Is the Cragg-Donals a
joint test of the null hypothesis that we have at least one good
instrument for X and one good instrument for Y?
Any comments and recommendation for readings would be appreciated?
Erasmo
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