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st: Testing weak instruments agter reg3

Ekrem Kalkan
Dear Stata users,

I am estimating a 3SLS regression (for an Almost Ideal demand system)
with reg3 command. I do not know how to test whether my "excluded
instruments" are weak or not (correlation with endogenous regressors).
I know that with "ivreg2" there are some diagnostics for weak
instruments. For example, the partial F-statistic of the reduced form
regression is required to be higher than 10.  Do you think that  these
diagnostics are valid for system estimation like reg3?

Thank you.

Ekrem Kalkan.
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Re: st: Testing weak instruments agter reg3

Austin Nichols
Ekrem Kalkan <[hidden email]> :
The advice on a first-stage F greater than 10 is about 7 years out of
date now (Stock and Yogo overturned in 2002 that advice from Staiger
and Stock from 1997, more or less), and applies only to a single
endogenous regressor, in any case. -ivreg2- (from SSC) will give you
relevant diagnostics (read the help file) if you estimate one equation
at a time; if you have a recursive system of equations, these will be
very good measures of the strength of your excluded instruments.  If
not, they will be imperfect, but better than nothing.

On Thu, Dec 3, 2009 at 3:40 AM, Ekrem Kalkan <[hidden email]> wrote:
> Dear Stata users,
>
> I am estimating a 3SLS regression (for an Almost Ideal demand system)
> with reg3 command. I do not know how to test whether my "excluded
> instruments" are weak or not (correlation with endogenous regressors).
> I know that with "ivreg2" there are some diagnostics for weak
> instruments. For example, the partial F-statistic of the reduced form
> regression is required to be higher than 10.  Do you think that  these
> diagnostics are valid for system estimation like reg3?

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Re: st: Testing weak instruments agter reg3

Ekrem Kalkan
Thank you very much for your comment.

Ekrem.

2009/12/3 Austin Nichols <[hidden email]>:

> Ekrem Kalkan <[hidden email]> :
> The advice on a first-stage F greater than 10 is about 7 years out of
> date now (Stock and Yogo overturned in 2002 that advice from Staiger
> and Stock from 1997, more or less), and applies only to a single
> endogenous regressor, in any case. -ivreg2- (from SSC) will give you
> relevant diagnostics (read the help file) if you estimate one equation
> at a time; if you have a recursive system of equations, these will be
> very good measures of the strength of your excluded instruments.  If
> not, they will be imperfect, but better than nothing.
>
> On Thu, Dec 3, 2009 at 3:40 AM, Ekrem Kalkan <[hidden email]> wrote:
>> Dear Stata users,
>>
>> I am estimating a 3SLS regression (for an Almost Ideal demand system)
>> with reg3 command. I do not know how to test whether my "excluded
>> instruments" are weak or not (correlation with endogenous regressors).
>> I know that with "ivreg2" there are some diagnostics for weak
>> instruments. For example, the partial F-statistic of the reduced form
>> regression is required to be higher than 10.  Do you think that  these
>> diagnostics are valid for system estimation like reg3?
>
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
>

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*   http://www.ats.ucla.edu/stat/stata/
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