Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
st: Cragg Donald tests
From
Karan Nagpal <[email protected]>
To
[email protected]
Subject
st: Cragg Donald tests
Date
Thu, 22 Mar 2012 00:14:32 +0000
I'm trying to test the strength of my instruments, but not sure how to
interpret the Cragg-Donald IV values. I implemented ivreg2, and
received the following output:
Stock-Yogo weak ID test critical values:
10% maximal IV size 16.38
15% maximal IV size 8.96
20% maximal IV size 6.66
25% maximal IV size 5.53
I'm not sure what I should be comparing these values to and how I can
use the "main output" to find the Cragg-Donald F statistic, which is
what stata advised.
Thanks,
Karan
*
* 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/