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st: Stock & Yogo Weak ID test
From
vikramfinavker <[email protected]>
To
[email protected]
Subject
st: Stock & Yogo Weak ID test
Date
Sat, 9 Apr 2011 04:00:56 -0700 (PDT)
HI,
Could you please tell me whats the difference between the test based on TSLS
bias and TSLS size. Should i consider both of them? I got following results.
PLease advise me.
Weak identification test (Cragg-Donald Wald F statistic):
14.021
Stock-Yogo weak ID test critical values: 5% maximal IV relative bias
13.97
10% maximal IV relative bias
8.78
20% maximal IV relative bias
5.91
30% maximal IV relative bias
4.79
10% maximal IV size
19.45
15% maximal IV size
11.22
20% maximal IV size
8.38
25% maximal IV size
6.89
Source: Stock-Yogo (2005). Reproduced by permission.
Thanks.
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