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| From | Roger Harbord <rmharbord@googlemail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: Weak identification with a large number of endogenous variables |
| Date | Sun, 21 Feb 2010 18:28:08 +0000 |
On 21 February 2010 00:21, PETRESKI Marjan <M.Petreski@staffs.ac.uk> wrote: > 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 I think the best solution might be to reduce the number of endogenous variables: <http://www.mostlyharmlesseconometrics.com/2010/02/multiple-endogenous-variables-what-now/> Roger. -- Roger Harbord http://www.epi.bris.ac.uk/staff/rharbord.htm * * 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/