Does this mean my multiple IVs weakly identify the endogenous regressor since Kleibergen-Paap rk Wald F statistic): 2.749 < Stock-Yogo weak ID test critical values: 5% maximal IV 20.90
Besides, this is also under identified : Underidentification test Chi-sq(11) P-val = 0.2038
However, my multiple IVs are exogenous due to having Hansen j statistics p-value is greater than 0.05.
Am I interpreting them in the right way ? Would appreciate any help regarding this.
Besides, this is also under identified : Underidentification test Chi-sq(11) P-val = 0.2038
However, my multiple IVs are exogenous due to having Hansen j statistics p-value is greater than 0.05.
Am I interpreting them in the right way ? Would appreciate any help regarding this.
Code:
Underidentification test (Kleibergen-Paap rk LM statistic): 14.555
Chi-sq(11) P-val = 0.2038
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Weak identification test (Cragg-Donald Wald F statistic): 3.2e+04
(Kleibergen-Paap rk Wald F statistic): 2.749
Stock-Yogo weak ID test critical values: 5% maximal IV relative bias 20.90
10% maximal IV relative bias 11.51
20% maximal IV relative bias 6.56
30% maximal IV relative bias 4.80
10% maximal IV size 40.90
15% maximal IV size 22.06
20% maximal IV size 15.56
25% maximal IV size 12.23
Source: Stock-Yogo (2005). Reproduced by permission.
NB: Critical values are for Cragg-Donald F statistic and i.i.d. errors.
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Hansen J statistic (overidentification test of all instruments): 8.579
Chi-sq(10) P-val = 0.5724
