R help - Sep 2012 - Cragg-Donald Wald F statistic (weak instruments)

You find code to compute the Cragg-Donald Wald F test statistic to test for
weak instruments (e.g., Stock and Yogo, 2005) below with a working example.
The code reproduces the results from Stata 12 using the same data (see
bottom of this email), but further testing is needed. Use at your own risk.
The Cragg-Donald Wald F statistic is the smallest of the eigenvalues of G
(see the output of "eigen(G)" below). Critical values are found in
Stock and
Yogo (2005).

HTH,
Daniel Malter






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The test statistic above does not reproduce Stata results when there is more
than one endogenous variable. While the code to compute the test statistic
appears to be correct, the difference may lie in Stata computing the test
statistic based on canonical correlations rather than the formula in Stock
and Yogo (2005).

dm.


Daniel Malter wrote
> 
> You find code to compute the Cragg-Donald Wald F test statistic to test
> for weak instruments (e.g., Stock and Yogo, 2005) below with a working
> example. The code reproduces the results from Stata 12 using the same data
> (see bottom of this email), but further testing is needed. Use at your own
> risk. The Cragg-Donald Wald F statistic is the smallest of the eigenvalues
> of G (see the output of "eigen(G)" below). Critical values are
found in
> Stock and Yogo (2005).
> 
> HTH,
> Daniel Malter
> 
> 
> 



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