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RE: st: RE: Kleibergen-Paap statistics
Sara,
> -----Original Message-----
> From: sara borelli [mailto:[email protected]]
> Sent: 06 December 2009 23:40
> To: Schaffer, Mark E
> Subject: R: st: RE: Kleibergen-Paap statistics
>
> Mark,
> thank you for your reply
> So just to be sure that I am getting this right: if I run the
> following first stage regression:
> Y is my endogenous regressor
> Y= a + b*X+ c*(Excluded Instruments), cluster(s) test c gives
> me the cluster-robust F statistics that I need to compare to
> the critical value of 10 (rule of thumb of Staiger and Stock)
> to evaluate the strenght of my instruments...is that correct?
Yes, exactly.
Cheers,
Mark
> thank you
> Sara
>
>
>
>
> --- Lun 7/12/09, Schaffer, Mark E <[email protected]> ha scritto:
>
> > Da: Schaffer, Mark E <[email protected]>
> > Oggetto: st: RE: Kleibergen-Paap statistics
> > A: [email protected]
> > Data: Lunedì 7 dicembre 2009, 00:12
> > Sara,
> >
> > > -----Original Message-----
> > > From: [email protected]
> >
> > > [mailto:[email protected]]
> > On Behalf Of
> > > sara borelli
> > > Sent: 06 December 2009 21:58
> > > To: [email protected]
> > > Subject: st: Kleibergen-Paap statistics
> > >
> > > Dear Members,
> > >
> > > I have a question about Kleibergen-Paap statistic;
> > of
> > > This statistics is not supported by my current version
> > of stata.
> > > Is the K-B statistics equivalent to the
> > > heteroskedasiticity-robust F statistic in the case of
> > a
> > > single endogenous regressor?
> >
> > That's right, thought it's a little more general than that
> > - the K-P
> > statistic has het-robust, cluster-robust, HAC, etc.
> > versions.
> >
> > Cheers,
> > Mark
> >
> > > Thank you
> > > Sara
> > >
> > >
> > >
> > >
> > >
> > > *
> > > * 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.
> >
> >
> > *
> > * 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.
*
* 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/