GMM: Weak Instrument

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haji
Posts: 3
Joined: Wed Nov 02, 2011 7:33 pm

GMM: Weak Instrument

Postby haji » Wed Nov 02, 2011 7:48 pm

Dear All,
Kindly help me out as to how to interpret results for Weak Instrumental Diagnostics" in GMM. I got the following results:
Weak Instrument Diagnostics
Cragg-Donald F-statistic: 0.651814
Stock-Yugo bias critical values not available for
models with less than 3 instruments.
Stock-Yugo critical values (size):
10% 19.93
15% 11.59
20% 8.75
25% 7.25
Moment selection criteria:
SIC-based: -1.083516
HQIC-based: -0.077758
Relevant MSC: -2.222072

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