大部分内容来自于ivreg命令的帮助文档,仅供自己学习参考,当然大家也可观摩,但是后果不负!
诊断检验部分,给出三个检验:weak instruments(弱工具检验);Dubin-Wu-Hausman(内生解释变量检验);Sargan(工具变量的外生性检验,只有工具变量的个数多于解释变量个数时,才可检验)
Should diagnostic tests for the instrumental-variable regression be carried out? These encompass an F test of the first stage regression for weak instruments, a Wu-Hausman test for endogeneity, and a Sargan test of overidentifying restrictions (only if there are more instruments than regressors).