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st: RE: Re: IV test statistics in Stata
From
"Lynn" <[email protected]>
To
<[email protected]>
Subject
st: RE: Re: IV test statistics in Stata
Date
Mon, 13 Aug 2012 21:05:18 -0700
Thank you.
Best Regards,
Lynn
PhD Student in Economics
-----Original Message-----
From: [email protected]
[mailto:[email protected]] On Behalf Of Christopher Baum
Sent: Monday, August 13, 2012 3:54 AM
To: [email protected]
Subject: st: Re: IV test statistics in Stata
<>
On Aug 13, 2012, at 2:33 AM, Lynn wrote:
> I want to run several test statistics for instruments in my 2SLS model.
They
> are test of excluded instruments(F-stat), under-identification
> test(Kleibergen-Paap rk LM stat & Kleibergen-Paap rk Wald stat),
> weak-identification test(Kleibegen-Paap Wald rk F stat),
> weak-instrument-robust inference test(Anderson-Rubin Wald test,F-stat &
> Anderson-Rubin Wald test, Chi-square stat & Stock-Wright LM S stat). Could
> you please give me some information about command or reference link for
> these tests. I appreciate it.
All are referenced in the two Stata Journal papers by Baum, Schaffer,
Stillman that you will find with
-findit ivreg2-. The papers, being more than three years old, are freely
downloadable from stata-journal.com.
Kit
Kit Baum | Boston College Economics & DIW Berlin |
http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming |
http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata |
http://www.stata-press.com/books/imeus.html
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