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From | Nick Cox <njcoxstata@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: RE: ivreg2 and weak instruments |
Date | Thu, 3 Mar 2011 17:36:18 +0000 |
"one-size-fits-all" is an interesting term for a test statistic. A while ago I rummaged around looking for the origins of omnibus statistic, portmanteau statistic and factotum statistic, terms that I think have all been used in much the same sense. They all seemed to go back to about 1940 or 1950 or so. "factotum" (do everything) is my personal favourite, with the right flavour of "as if anything really could do that (well)". Nick On Thu, Mar 3, 2011 at 5:26 PM, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> wrote: [...] > As I understand it, the problem is a tricky one because the robustness > of the K-P statistic to violations of homoskedasticity has a > large-sample justification. How it behaves on the way to infinity will > depend on the nature of the heteroskedasticity (or autocorrelation, or > whatever). I think that's why one-size-fits-all critical values for the > K-P stat like those Stock & Yogo derived for the unrobust Cragg-Donald > statistic can't be (or can't be easily?) derived. [...] * * 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/