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Re: st: RE: ivreg2 and weak instruments
From
Nick Cox <[email protected]>
To
[email protected]
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 <[email protected]> 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.
[...]
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