(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...
model, or when there are more than two endogenous variables, further information over and above the Cragg-Donald statistic can be obtained about the nature of the weak instrument problem by computing the conditional first-stage F-... E Sanderson,F Windmeijer - 《Centre for Market & Public Org...
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 ...
however I believe ivreg2 and xtivreg2 both do not report Cragg-Donald Wald Statistic and Stock and Yogo Critical values when there are " more than two endogenous variables" that are likely weak. This may be because Stock and Yogo only worked with two endogenous variables. I might be wrong...