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

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

Helped at lot, lot's of thanx! Anne

Am 11. Februar 2012 16:01 schrieb Schaffer, Mark E <M.E.Schaffer@hw.ac.uk>:
> Anne,
>
>> -----Original Message-----
>> From: Anne Tausch [mailto:anne.tausch@googlemail.com]
>> Sent: 10 February 2012 17:49
>> To: statalist@hsphsun2.harvard.edu
>> Cc: Schaffer, Mark E; baum@bc.edu; Steven Stillman
>> Subject: Validity of ivreg2-tests for underidentification and
>> weak instruments if errors are not i.i.d. etc.
>>
>> 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?
>
> Yes.  I'm assuming you're asking -ivreg2- to report HAC or cluster-robust stats.  The A-P test stat will also be HAC or cluster-robust.
>
>> And what
>> about Shea's partial r-square? Is that valid in the case of
>> non i.i.d errors?
>
> Actually, Shea's partial r-square isn't really valid even in the iid case and doesn't have a distribution that allows you to use it for formal testing.  If you really want an R-sq, you're better off using the A-P version.  You can get the A-P R-sq after an -ivreg2- estimation from the saved matrix e(first).
>
>>
>> 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?
>
> Sort of.  It's as valid for assessing weak identification as the HAC-robust F statistic in the 1-endogenous-regressor case, which is to say, "sort of valid".  The weak identification test critical values that Stock and Yogo worked out are for the iid case only, and so using a HAC-robust, or heteteroskedasticity-robust, or cluster-robust test stat with these critical values has only an informal justification.  (As in: "It's the best we can do for now".)
>
>> 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?
>
> The Staiger-Stock (1997, Econometrica) rule of thumb of "F>=10" applies in this case too.
>
> HTH,
> Mark
>
>
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