(2)最小特征统计量,minimum eigenvalue statistic,这是Stock and Yogo (2005)提出来的,stata会在ivreg2中给出临界值。Staiger and Stock (1997)建议只要该值大于10就认为不存在弱IV。这个值用于iid的情况。 (3)Cragg-Donald Wald F统计量,由Cragg and Donald (1993)提出,Stock and Yogo (2005)给出其临界值...
需要注意的是,这里的原假设是所选工具变量是弱工具变量,当两个F统计量大于 Stock-Yogo weak ID test critical values 中10%偏误的临界值时,可以拒绝原假设,认为不存在弱工具变量问题。 Weak identificationtest Ho: equation is weakly identified Cragg-Donald Wald F statistic 116.42 Kleibergen-Paap Wald rk F ...
F-test of excluded instruments and R-squared with included instruments "partialled-out"; enhanced Cragg-Donald tests for weak instruments, redundancy of ... CF Baum,ME Schaffer,S Stillman - 《Statistical Software Components》 被引量: 0发表: 2011年 Drawbacks in the 3-Factor Approach of Fama ...
Re: st: RE: Cragg-Donald Wald Statistic and Stock and Yogo Critical values when there are more than 2 endogenous variables that are likely weak From: Stephen Armah <armah.stephen@gmail.com>References: st: Cragg-Donald Wald Statistic and Stock and Yogo Critical values when there are more...
Cragg-Donald Wald F statistic 39.30 Kleibergen-Paap Wald rk F statistic 44.32 Stock-Yogo weak ID test critical values for K1=1 and L1=1: 10% maximal IV size 16.38 15% maximal IV size 8.96 20% maximal IV size 6.66 25% maximal IV size 5.53 ...