 |
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
st: RE: Sargan and Hansen tests
Carola,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Carola Herrera
> Sent: 28 December 2008 22:51
> To: [email protected]
> Subject: st: Sargan and Hansen tests
>
> Dear all,
>
> Do the Sargan and Hansen J tests only apply if one has more
> IVs than endogenous regressors?
Yes.
> These are overidentification
> tests, right?
Yes.
> How can I check if the IV violates the exclusion restriction
> is violated if there is only one IV and one endogenous
> regressor? No way I can show this is the case, right?
Correct.
> If I have doubts about whether my IV meets the exclusion
> restriction AND I have concerns about endogeneity...shall I
> "believe" the OLS estimates or shall I "believe" the 2SLS
> ones...Or probably none?
"Believe neither" is the short answer, but really it depends on your
application. You might, for example, have priors about the direction of
the biases that you can exploit. Or maybe your concerns about
endogeneity are stronger than your concerns about the possible failure
of the exclusion restrictions.
HTH.
Cheers,
Mark
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University
Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
http://ideas.repec.org/e/psc51.html
>
> thanks
>
> Happy holidays to all.
> Carola
>
>
>
>
>
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
--
Heriot-Watt University is a Scottish charity
registered under charity number SC000278.
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/