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Re: st: RE: AR test
From
Austin Nichols <[email protected]>
To
[email protected]
Subject
Re: st: RE: AR test
Date
Fri, 6 May 2011 11:42:54 -0400
Dan Bergov <[email protected]>:
The AR test is easy, but confidence regions, not so much; see
http://www.stata.com/meeting/5nasug/wiv.pdf
and also read the recent paper:
http://www.econ.queensu.ca/working_papers/papers/qed_wp_1257.pdf
On Wed, May 4, 2011 at 5:01 AM, Dan Bergov <[email protected]> wrote:
> Eric, thanks a lot. It just I do not get a thing. I read in Mr. Baum's book that the first stage regression is to test the relevance of the instruments. The AR test I am talking about (Anderson and Rubin 1949) tests the whether we have a confidence region for the estimated parameter even if the presence of weak instruments. Am I correct?
> So I am wondering: I estimate with generalised method of moments, I assume that I have one endogenous regressor and after that test if the parameter I estimated for the endogenous regressor has a confidence region in the case that some of my instruments are not relevant? If someone can tell me if I am wrong or right I would deeply appreciate it. Thnks. Dan.
>
> ----- Original Message -----
> From: DE SOUZA Eric <[email protected]>
> To: "[email protected]" <[email protected]>
> Cc:
> Sent: Tuesday, May 3, 2011 7:18 PM
> Subject: Re: st: RE: AR test
>
> add the option -first- to your -ivreg2- command.
> Have a look at the help file for ivreg2: -help ivreg2- for more details.
>
>
> Eric de Souza
> College of Europe
> Brugge (Bruges), Belgium
> http://www.coleurope.eu
>
>
> -----Original Message-----
> From: [email protected] [mailto:[email protected]] On Behalf Of Dan Bergov
> Sent: 03 May 2011 17:57
> To: [email protected]
> Subject: st: AR test
>
> Hi! I am somehow new to this forum, and stata:). I was wondering if someone could tell what package is needed to perform Anderson Rubin test for weak instruments, I mean the one that is robust to weak instruments not the one reported bi ivreg2 for overidentyfing conditions. I downloaded condivreg package but I have more than one endogenous regressors so I don't need CLR test, but AR test. Thanks! Hope to get a reply!
> Dan
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