Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
From | DE SOUZA Eric <eric.de_souza@coleurope.eu> |
To | "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu> |
Subject | st: RE: IVROBUST: Stata module to perform weak instrument test for a single endogenous regressor in TSLS and LIML |
Date | Wed, 13 Nov 2013 11:34:47 +0100 |
This is what I get when testing the package: . use http://fmwww.bc.edu/ec-p/data/hayashi/griliches76.dta (Wages of Very Young Men, Zvi Griliches, J.Pol.Ec. 1976) . ivrobust lw s expr tenure (iq = med kww) (0 observations deleted) cpatnaikgen(): 3301 subscript invalid <istmt>: - function returned error r(3301); . ivrobust lw s expr tenure (iq = kww) (0 observations deleted) Montiel-Pflueger robust weak instrument test -------------------------------------------------------------- Effective F statistic: 26.084 Confidence level alpha: 5% -------------------------------------------------------------- -------------------------------------------------------------- Critical Values TSLS LIML -------------------------------------------------------------- % of Worst Case Bias tau=5% 37.418 37.418 tau=10% 23.109 23.109 tau=20% 15.062 15.062 tau=30% 12.039 12.039 -------------------------------------------------------------- . ivrobust lw s expr tenure (iq = med) (0 observations deleted) Montiel-Pflueger robust weak instrument test -------------------------------------------------------------- Effective F statistic: 8.751 Confidence level alpha: 5% -------------------------------------------------------------- -------------------------------------------------------------- Critical Values TSLS LIML -------------------------------------------------------------- % of Worst Case Bias tau=5% 37.418 37.418 tau=10% 23.109 23.109 tau=20% 15.062 15.062 tau=30% 12.039 12.039 -------------------------------------------------------------- Eric de Souza College of Europe Brugge (Bruges), Belgium http://www.coleurope.eu From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Carolin Pflueger Sent: 11 November 2013 22:09 To: statalist@hsphsun2.harvard.edu Subject: st: IVROBUST: Stata module to perform weak instrument test for a single endogenous regressor in TSLS and LIML A new package -ivrobust- is now available from SSC. Many thanks to Kit Baum for making it available on the SSC archive. -ivrobust- implements the weak instrument test of Montiel Olea and Pflueger (J.Bus.Ec.Stat., 2013) that is robust to heteroskedasticity, serial correlation, and clustering. ivrobust tests the null hypothesis of weak instruments for both Two-Stage Least Squares (TSLS) and Limited Information Maximum Likelihood (LIML) with one single endogenous regressor. The following paper provides a detailed description of -ivrobust- with examples: Montiel Olea, J. L., C. E. Pflueger, and Su Wang, ``A robust test for weak instruments in Stata'', available on SSRN. Carolin Pflueger -- Carolin Pflueger Department of Finance Sauder School of Business University of British Columbia 2053 Main Mall Vancouver, BC V6T 1Z2, Canada * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/