Identification and Inference for Econometric Models: Essays in Honor of Thomas Rothenberg

By R. Lund. 2006

244 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/2091572e6d408618c815b0a6479ffbe3d4bd7116

Citations in the corpus

• Instrumental Variables Two-Stage Least Squares (2SLS) vs. Maximum Likelihood Structural Equation Modeling of Causal Effects in Linear Regression Models (2019, unknown): “In particular, this research has focused on the impact of the strength of the relationship x on z (i.e., whether instrumental variables are ‘weak’ predictors of x) on the performance of estimators (Bound, Jaeger, & Baker, 1995; Staiger & Stock, 1997; Stock & Yogo, 2005).”
• Organization Capital and Mergers and Acquisitions (2017, unknown): “The p-value of Cragg–Donald’s Wald F weak-instrument test statistic is 0.000, rejecting the null hypothesis that 19The data are available at http://www.dol.gov/general/topic/unemployment-insurance. the instruments are weak (Cragg and Donald (1993), Stock and Yogo (2005)).”
• How Do Electricity Shortages Affect Industry? Evidence from India† (2016, unknown): “For comparison, the Stock and Yogo (2005) critical values for one 29Online Appendix Table A17 plus additional regressions confirm that shortages have no effect on fuel revenue shares for non-generators.”
• Entrepreneurship, Firm Entry, and the Taxation of Corporate Income: Evidence from Europe (2011, unknown): “In particular the weak identification test that uses the Cragg-Donald statistic (Cragg and Donald (1993)) requires an assumption of i.i.d errors (Stock and Yogo (2005)).”
• Securing Private Property: Formal versus Informal Institutions (2011, unknown): “To informally test for weak instruments, Staiger and Stock (1997), Stock, Wright, and Yogo (2002), and Stock and Yogo (2005) suggest as a rule of thumb that the F-statistic in the first stage should be greater than 10 and the R-squared should be 0.30 or greater.”
• Renewable energy, non-renewable energy and sustainable development (2019, unknown): “If the Cragg-Donald F statistic exceeds the 10% maximal IV size reported in Stock and Yogo (2005), the instrument is considered as ‘very powerful.’”
• Patent rights, product market reforms, and innovation (2015, unknown): “See the Kleibergen-Paap Wald statistic at the bottom of column 6 in Table 4, Baum et al. (2007), Kleibergen and Paap (2006), and Stock and Yogo (2005). potential concern with these results is that the estimates of the product market reform effect for industries in countries with strong patent…”
• Openness and income: The roles of trade and migration (2014, unknown): “The Stock and Yogo (2005) critical values we report are only strictly appropriate under homoskedasticity.”
• Financial Inclusion for Financial Stability: Access to Bank Deposits and the Growth of Deposits in the Global Financial Crisis (2013, unknown): “We have used the rule of thumb of Stock, Wright and Yogo (2002) and Stock and Yogo (2005) to check that our instruments are relevant and our GMM regression does not suffer from the weak instrument problem.”
• Transparency and Liquidity Uncertainty in Crisis Periods (2011, unknown): “Instruments in the first stage are significantly related to transparency and the Cragg-Donald statistic indicates that we do not suffer from weak instruments [Stock and Yogo (2005)].”
• Causal Inference in Urban and Regional Economics (2014, unknown): “Stock and Yogo (2005) provide standard critical values for F tests for evaluating instrument strength.”
• Efficiency Bounds for Missing Data Models with Semiparametric Restrictions (2008, unknown): “However, that moment will be informative for 0 if q (x; 0) = E [Y1jx] 0 varies with x, consistent with Hahn s (1998) nding that the e¢ ciency loss associated with b cc is proportional to V (q (X; 0)).”