[R] Cragg-Donald Wald F statistic (weak instruments)

[Daniel Malter]

You find code to compute the Cragg-Donald Wald F test statistic to test for
weak instruments (e.g., Stock and Yogo, 2005) below with a working example.
The code reproduces the results from Stata 12 using the same data (see
bottom of this email), but further testing is needed. Use at your own risk.
The Cragg-Donald Wald F statistic is the smallest of the eigenvalues of G
(see the output of "eigen(G)" below). Critical values are found in Stock and
Yogo (2005).

HTH,
Daniel Malter






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