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From | "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |
To | <statalist@hsphsun2.harvard.edu> |
Subject | RE: st: Weak identification with a large number of endogenous variables |
Date | Sun, 21 Feb 2010 18:36:30 -0000 |
Marjan, > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Roger Harbord > Sent: 21 February 2010 18:28 > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: Weak identification with a large number of > endogenous variables > > 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. You may be able to reach a conclusion by considering the test statistics reported for underidentification. If something is underidentified, it is also weakly identified, by definition. I suspect you will fail to reject the null of underidentification. If the test stats fail to reject the null of underidentification, you have a serious identification problem. You can call it weak identification if you want, but it's actually worse than that. HTH, Mark > 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-en > dogenous-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/ > -- 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/