[Stata高级班] 弱工具变量 [推广有奖]

还请你把具体的命令和详情告诉我，否则我很难给出具体的解答，望见谅。

是用xtivreg2命令，结果显示weak identification test 的Cragg-Donald F统计量，讲义里面写着原假设是工具变量与内生变量具有较强的相关性，但是我查了stock和Yogo(2005),好像这个原假设是工具变量是弱工具变量，我对文章里面提出的三者临界值的方法不是很了解，有基于maximum IV estimator bias和maximum wald test size distortion。

我查了一下资料，你说的没错，原假设应该是二者不相关。

参见 help ivreg2 (这是 xtivreg2 命令的前身)：
When errors are assumed to be i.i.d., the test for weak identification automatically reported by ivreg2 is an F version of the Cragg-Donald Wald statistic, (N-L)/L1*CDEV, where L is the number of instruments and L1 is the number of excluded instruments.  Stock and Yogo (2005) have compiled critical values for the Cragg-Donald F statistic for several different estimators (IV, LIML, Fuller-LIML), several different definitions of "perform poorly" (based on bias and test size), and a range of configurations (up to 100 excluded instruments and up to 2 or 3 endogenous regressors, depending on the estimator).

至于那三个临界值，你需要看看 Stock and Yogo (2005) 的原文。