GMM: Weak Instrument
Posted: 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
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