st: Validity of ivreg2-tests for underidentification and weak instruments if errors are not i.i.d. etc.

[Anne Tausch <anne.tausch@googlemail.com>]

Dear Mark Schaffer, hello everybody,

I really appreciate your willingness to answer my questions regarding
the tests for underidentification/weak instruments that are
implemented in ivreg2. My questions are about the validity of certain
tests in particular circumstances and are stated below.

Unfortunately, I wasn't able to find the answers in the articles of
you, Christopher Baum and Steven Stillman (or elsewhere).

Many thanks and best wishes

Anne

My questions are:

1. Is the chi-square test of Angrist and Pischke valid in the presence
of heteroskedasticity and autocorrelation? And what about Shea's
partial r-square? Is that valid in the case of non i.i.d errors?

2. In the case of multiple endogenous regressors, the Angrist and
Pischke F statistic can be used to asses whether a particular
endogenous regressor is weakly identified by comparing the empirical
value to the critical values of Stock and Yogo. Is this test still
valid in the presence of heteroskedasticity and autocorrelation?

3. If one has just one endogenous regressor and just one excluded
instrument variable: Can one still use the rule of thumb that F should
be greater than 10? Oder does that rule only make sense when one has
more than one excluded instrument?

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