Thanks very much Kit.
Erasmo
On Mon, Sep 21, 2009 at 5:12 PM, Kit Baum <[email protected]> wrote:
> <>
> I am estimating a model with multiple endogenous variables (i.e., 3)
> using xtivreg2. The output includes the Hansen J. Why is that we only
> have 1 Hansen J (instead of 3) when there are 3 endogenous variables?
> My intuition tells me that that is because we are simply testing
> whether the instrument set is correctly excluded from the second stage
> model (which is only 1). Can anyone suggest any references where I
> could get more intuition on the issue?
>
>
> As discussed in Baum-Schaffer-Stillman papers in Stata Journal 2003, 2007,
> IMEUS and the Stata manual, the Hansen-Sargan statistic is a measure that
> pertains to the overall regression. In the IV-GMM context, it is a test of
> the 'overidentifying restrictions' that each of the instruments are
> orthogonal to the error process. Thus it does not matter how many endogenous
> variables appear in the equation, and in fact we are not questioning their
> asserted endogeneity. What matters, for the Hansen J dof, is the number of
> OID restrictions. You can challenge the endogeneity/exogeneity status of
> endogenous variables in B-S-S -ivreg2- (available from ssc) using the
> endog() or orthog() options.
>
> Kit
>
> Kit Baum | Boston College Economics & DIW Berlin |
> http://ideas.repec.org/e/pba1.html
> An Introduction to Stata Programming |
> http://www.stata-press.com/books/isp.html
> An Introduction to Modern Econometrics Using Stata |
> http://www.stata-press.com/books/imeus.html
>
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