WebJan 29, 2024 · Underidentification test (Kleibergen-Paap rk LM statistic): 18.633 Chi-sq(7) P-val = 0.0094 ----- Weak identification test (Cragg-Donald Wald F statistic): 1.800 (Kleibergen-Paap rk Wald F statistic): 2.063 Stock-Yogo weak ID test critical values: ----- Hansen J statistic (overidentification test of all instruments): 9.458 Chi … Web该检验在一定程度上验证了是否存在弱工具变量，但不能取代弱工具变量的检验。 第三，弱工具变量检验（Weak indentification test）给出了Cragg-Donald Wald F statictics，同时给出了临界值 [由Stock and Yogo(2005)的研究给出] 。上述估计结果中，Cragg-Donald Wald F统计量未能超过 ...
弱工具变量的判定指标都有什么？ - 知乎
WebApr 7, 2024 · the F-statistic for testing the hypothesis that the instruments do not enter the first stage regression of TSLS. The critical values for the test statistic, however, are not … Web(3)看Cragg-Donald Wald Fstatistic。其中Cragg-DonaldWaldF统计量假设扰动项iid（独立同分布），Cragg-DonaldWaldF值大于Stock-YogoweakIDtestcriticalvalues中10%偏误的临界值时，可以拒绝原假设（工具变量是弱工具变量），认为不存在弱工具变量问题。 barbara bowers md paducah ky
工具变量的回归操作与检验stata - 知乎 - 知乎专栏
WebOct 6, 2024 · Weak identification test Ho: equation is weakly identified Cragg-Donald Wald F statistic 13.79 Stock-Yogo weak ID test critical values for K1=1 and L1=4: 5% maximal IV relative bias 16.85 10% maximal IV relative bias 10.27 20% maximal IV relative bias 6.71 30% maximal IV relative bias 5.34 10% maximal IV size 24.58 15% maximal IV size … Webxtivreg2的弱工具变量检验 9 个回复 - 10992 次查看 xtivreg2会汇报弱工具变量的检验结果，譬如，在目前的练习中，结果显示 Weak identification test (Cragg-Donald Wald F statistic): 5 Stock-Yogo weak ID test critical values: 10% maximal ... 2024-7-21 15:54 - peyzf - Stata专版 WebThe Cragg-Donald (1993) test is a common way to test for weak instruments in an IV regression but has never been implemented in R. The cragg package provides an implementation of the Cragg-Donald test in R and provides access to the critical values for the Cragg-Donald statistic developed in Stock and Yogo (Stock 2005). barbara bowers md