estat firststage, all forcenonrobust,汇报第一阶段的结果。 (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 a...
first-stage F-statistic (or, when there are multiple endogenous regressors, the Cragg-Donald (1993) statistic) to test whether given instruments are weak... JH Stock,M Yogo - 《Nber Technical Working Papers》 被引量: 8243发表: 2005年 A weak instrument F-test in linear IV models with mult...
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...