WebApr 10, 2024 · 请问老师,Cragg-Donald WaldF 和Kleibergen-Paap rk Wald F 这两个统计量大于临界值,表明通过弱工具变量检验,即工具变量与解释变量有较强的相关性吗?. … WebMar 25, 2024 · Hi Laurent, I have a bit update on the first-stage F statistics. It seems like when we have more than two endogenous variables in an IV regression, the results are different between fixest and lfe.For example, when there are two endogenous variables, the first-stage F statistics (ivwald) for the second endogenous variable from fixest is quite …
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WebJun 28, 2024 · Weak identification test (Cragg-Donald Wald F statistic): 75.032 (Kleibergen-Paap rk Wald F statistic): 26.082 Stock-Yogo weak ID test critical values: 10% maximal IV size 16.38 15% maximal IV size 8.96 20% maximal IV size 6.66 25% maximal IV size 5.53 Source: Stock-Yogo (2005). WebAnderson's canonical correlation test works similar to Cragg-Donald with the difference that Anderson's CC is a likelihood ratio test whilst Cragg-Donald is a Wald statistic but both tests are applicable with one endogenous variable and one instrument. However, in the end Stock Yogo, Cragg-Donald and Anderson all rely on an iid assumption on ... tobe rock in loas
工具变量法结果解读(IV)_工具变量结果怎么看_jimfang1987的博 …
WebAug 23, 2016 · Cragg-Donald Wald F statistic 154.37 Stock-Yogo weak ID test critical values for K1=1 and L1=2: 10% maximal IV size 19.93 15% maximal IV size 11.59 20% maximal IV size 8.75 25% maximal IV size 7.25 Source: Stock-Yogo (2005). Reproduced by permission. Weak-instrument-robust inference WebMay 25, 2024 · 2.f检定这类用来检验弱工具的方法是有局限的, f>10只是个很粗糙的准则, 即使f>30 也并不一定说明工具变量关联性强. 近十年来有很多针对这个问题的研究, 当然也 … WebJan 29, 2024 · the Kleibergen-Paap rk Wald F statistic : I do not know whether this one is robust or not, you should check yourself if you are interested. the Stock-Yogo critical … toberne