On the Stock–Yogo Tables
A standard test for weak instruments compares the first-stage <i>F</i>-statistic to a table of critical values obtained by Stock and Yogo (2005) using simulations. We derive a closed-form solution for the expectation from which these critical values are derived, as well as present some s...
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doaj-a79d76558d0c404f94df50cd77a76f952020-11-25T00:34:55ZengMDPI AGEconometrics2225-11462018-11-01644410.3390/econometrics6040044econometrics6040044On the Stock–Yogo TablesChristopher L. Skeels0Frank Windmeijer1Department of Economics, The University of Melbourne, Parkville, 3010, AustraliaDepartment of Economics and IEU, University of Bristol, Bristol, BS8 1TU, UKA standard test for weak instruments compares the first-stage <i>F</i>-statistic to a table of critical values obtained by Stock and Yogo (2005) using simulations. We derive a closed-form solution for the expectation from which these critical values are derived, as well as present some second-order asymptotic approximations that may be of value in the presence of multiple endogenous regressors. Inspection of this new result provides insights not available from simulation, and will allow software implementations to be generalised and improved. Finally, we explore the calculation of <i>p</i>-values for the first-stage <i>F</i>-statistic weak instruments test.https://www.mdpi.com/2225-1146/6/4/44weak instrumentshypothesis testingStock–Yogo tableshypergeometric functionsquadratic forms<i>p</i>-values |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Christopher L. Skeels Frank Windmeijer |
spellingShingle |
Christopher L. Skeels Frank Windmeijer On the Stock–Yogo Tables Econometrics weak instruments hypothesis testing Stock–Yogo tables hypergeometric functions quadratic forms <i>p</i>-values |
author_facet |
Christopher L. Skeels Frank Windmeijer |
author_sort |
Christopher L. Skeels |
title |
On the Stock–Yogo Tables |
title_short |
On the Stock–Yogo Tables |
title_full |
On the Stock–Yogo Tables |
title_fullStr |
On the Stock–Yogo Tables |
title_full_unstemmed |
On the Stock–Yogo Tables |
title_sort |
on the stock–yogo tables |
publisher |
MDPI AG |
series |
Econometrics |
issn |
2225-1146 |
publishDate |
2018-11-01 |
description |
A standard test for weak instruments compares the first-stage <i>F</i>-statistic to a table of critical values obtained by Stock and Yogo (2005) using simulations. We derive a closed-form solution for the expectation from which these critical values are derived, as well as present some second-order asymptotic approximations that may be of value in the presence of multiple endogenous regressors. Inspection of this new result provides insights not available from simulation, and will allow software implementations to be generalised and improved. Finally, we explore the calculation of <i>p</i>-values for the first-stage <i>F</i>-statistic weak instruments test. |
topic |
weak instruments hypothesis testing Stock–Yogo tables hypergeometric functions quadratic forms <i>p</i>-values |
url |
https://www.mdpi.com/2225-1146/6/4/44 |
work_keys_str_mv |
AT christopherlskeels onthestockyogotables AT frankwindmeijer onthestockyogotables |
_version_ |
1725311452901801984 |