Dear all
I am using command xtivreg2 and I have a couple of questions about the weak instruments test.
I estimate a regression with two-way clustering, so this means that the Cragg-Donald-based weak instruments test is no longer valid. The proper test for that case is the Kleibergen-Paap test.
So, the Stata reports the Kleibergen-Paap F-stat. However, the critical values reported by xtivreg2 for the Kleibergen-Paap statistic are the critical values for the Cragg-Donald test (i.i.d. case).
My questions are the following:
- Is it correct to use the Cragg-Donald critical values for the Kleibergen-Paap test? (an extra info: when I estimate my regression, the result I get for the Kleibergen-Paap F-stat is very high (140) compared to the Cragg-Donald critical values)
- If not, does anyone know the critical values for the Kleibergen-Paap test?
Any help would be greatly appreciated!
I am using command xtivreg2 and I have a couple of questions about the weak instruments test.
I estimate a regression with two-way clustering, so this means that the Cragg-Donald-based weak instruments test is no longer valid. The proper test for that case is the Kleibergen-Paap test.
So, the Stata reports the Kleibergen-Paap F-stat. However, the critical values reported by xtivreg2 for the Kleibergen-Paap statistic are the critical values for the Cragg-Donald test (i.i.d. case).
My questions are the following:
- Is it correct to use the Cragg-Donald critical values for the Kleibergen-Paap test? (an extra info: when I estimate my regression, the result I get for the Kleibergen-Paap F-stat is very high (140) compared to the Cragg-Donald critical values)
- If not, does anyone know the critical values for the Kleibergen-Paap test?
Any help would be greatly appreciated!
