how to interpret results for Weak Instrumental Diagnostics"
Posted: Mon Sep 17, 2012 8:00 am
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
Equation: GMM
Cragg-Donald F-statistic: 103.8000
Stock-Yugo critical values (relative bias):
5% 13.91
10% 9.08
20% 6.46
30% 5.39
Stock-Yugo critical values (size):
10% 22.30
15% 12.83
20% 9.54
25% 7.80
Moment selection criteria:
SIC-based: -11.30923
HQIC-based: -6.433273
Relevant MSC: -16.66735
Kindly help me out as to how to interpret results for Weak Instrumental Diagnostics in GMM. I got the following results:
Weak Instrument Diagnostics
Equation: GMM
Cragg-Donald F-statistic: 103.8000
Stock-Yugo critical values (relative bias):
5% 13.91
10% 9.08
20% 6.46
30% 5.39
Stock-Yugo critical values (size):
10% 22.30
15% 12.83
20% 9.54
25% 7.80
Moment selection criteria:
SIC-based: -11.30923
HQIC-based: -6.433273
Relevant MSC: -16.66735