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st: Weak identification with a large number of endogenous variables
From
"PETRESKI Marjan" <[email protected]>
To
<[email protected]>
Subject
st: Weak identification with a large number of endogenous variables
Date
Sun, 21 Feb 2010 00:21:11 -0000
Dear all,
Can somebody advise me on a solution of the missing Stock-Yogo critical values for a large number of endogenous variables under xtivreg2? I do have 14 endogenous variables, and get Stock-Yogo F-stat of about 2.5, which seems low. However, increasing the instrument set leads to only marginal improvement of the F-stat.
Is the IV bias reduced with a large number of endogenous variables and if yes, can you please lend me some reference?
Best regards,
Mr. Marjan Petreski
Staffordshire University
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