Dear All,
I am using ivreg2h command to carry out an IV estimation. After the first stage I checked the waek instruments tests and I got the following:
The two tests should have the same null hypothesis, but they provide different evidence. If I am correct and look at the AR test, I should reject the validity of my instruments. Instead the SW test indicates the opposite. How could I interpret such a result?
Thanks in advance
Dario
I am using ivreg2h command to carry out an IV estimation. After the first stage I checked the waek instruments tests and I got the following:
Code:
Weak-instrument-robust inference Tests of joint significance of endogenous regressors B1 in main equation Ho: B1=0 and orthogonality conditions are valid Anderson-Rubin Wald test F(26,70)= 3.80 P-val=0.0000 Anderson-Rubin Wald test Chi-sq(26)= 142.66 P-val=0.0000 Stock-Wright LM S statistic Chi-sq(26)= 32.87 P-val=0.1658
Thanks in advance
Dario