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st: Kleinbargen Paap
From
Karan Nagpal <[email protected]>
To
[email protected]
Subject
st: Kleinbargen Paap
Date
Tue, 27 Mar 2012 14:33:55 +0100
Suppose I have one endogenous variable and I am using two instruments.
I suspect there's heteroskedasticity, so the Cragg-Donald test doesn't
work, right?
Hence, I rely on the Kleinbargen-Paap test statistic, obtained using
the ivreg2 command. Am I right in assuming that the null of the KP
test is "instruments are weak?"
The statistic for the (Kleibergen-Paap rk Wald F statistic) is 29.356.
Do I compare this with the Stock-Yogo thresholds or with the
first-stage F-statistic, to test the null?
Thanks,
Karan
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