Weak-Id Robust Inference in GMM

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neverhood
Posts: 3
Joined: Sat Mar 06, 2010 8:39 pm

Weak-Id Robust Inference in GMM

Postby neverhood » Thu Aug 05, 2010 9:15 pm

Hello,

Does anybody knows a way on how to perform weak-id robust Anderson - Rubin (1949) or Kleibergen (2002) KLM test for post IV-GMM estimation?

Cheers

Burak
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EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13586
Joined: Tue Sep 16, 2008 5:38 pm

Re: Weak-Id Robust Inference in GMM

Postby EViews Gareth » Fri Aug 06, 2010 5:00 pm

View->IV Diagnostics and Tests->Weak Instruments

Will give the Cragg-Donald statistic, which is closely related to both.
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