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| From | Anne Tausch <anne.tausch@googlemail.com> |
| To | statalist@hsphsun2.harvard.edu |
| Subject | Re: st: Validity of ivreg2-tests for underidentification and weak instruments if errors are not i.i.d. etc. |
| Date | Sat, 11 Feb 2012 16:59:57 +0100 |
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 > > > -- > Heriot-Watt University is a Scottish charity > registered under charity number SC000278. > > Heriot-Watt University is the Sunday Times > Scottish University of the Year 2011-2012 > > > > * > * For searches and help try: > * http://www.stata.com/help.cgi?search > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/