Hi Folks,
I am using the -ivreg2- command with 2 endogenous variables, but don't know which weak instrument test I shall use. As James Stock's slides (https://scholar.harvard.edu/files/st...akiv1-2_v4.pdf) show, I should use the MOP effective F under the -weakivtest- command. But it only works for 1 endogenous variable case. I know I shouldn't compare the KP statistic with stock-yogo critical values, nor use the cragg-donald one which assumes homoskedasticity. But shall I just compare the KP statistic with 10? Thanks !
Hunter.
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