(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...
F-test of excluded instruments and R-squared with included instruments "partialled-out"; enhanced Kleibergen-Paap and Cragg-Donald tests for weak ... CF Baum,ME Schaffer,S Stillman - 《Statistical Software Components》 被引量: 0发表: 2015年 IVREG28: Stata module for extended instrumental varia...
Cragg-Donald Wald Statistic and Stock and Yogo Critical values when there are more than 2 endogenous variables that are likely weak Dear listserve, Does any one know how to get STATA to report Cragg-Donald Wald Statistic and Stock and Yogo Critical values when there are more than 2 endogenous...