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st: RE: IVROBUST: Stata module to perform weak instrument test for a single endogenous regressor in TSLS and LIML
From
DE SOUZA Eric <[email protected]>
To
"'[email protected]'" <[email protected]>
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: [email protected] [mailto:[email protected]] On Behalf Of Carolin Pflueger
Sent: 11 November 2013 22:09
To: [email protected]
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
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