Hi,
Thank you for this clarification.
VB
--- On Thu, 7/1/10, Austin Nichols <[email protected]> wrote:
> From: Austin Nichols <[email protected]>
> Subject: Re: st: Question on Wooldridge's Procedure 18.1
> To: [email protected]
> Date: Thursday, 7 January, 2010, 8:52 PM
> vipul bhatt <[email protected]>:
>
> No, you cannot--this is point of the sentence
> "Note that the weak instrument diagnostics
> will fail miserably using these
> approaches."
> in http://www.stata.com/meeting/germany09/nichols.pdf
>
> Your weak instrument diagnostics should come from straight
> IV, not
> procedure 18.1--note that procedure 18.1 would go through
> if Z was
> pure noise, and the predicted value of your endogenous
> variable could
> be very highly correlated with the endogenous variable,
> leading you to
> think you had very strong instruments. This is also a
> problem using
> predictions as excluded instruments in other settings
> (e.g.
> http://www.nber.org/papers/w11279 which uses predicted
> income as an
> instrument for income), and then reporting the diagnostics
> as if the
> predictions are actual measured data.
>
> On Thu, Jan 7, 2010 at 10:13 AM, vipul bhatt <[email protected]>
> wrote:
> > Hi,
> >
> > Thank you for these useful links. When I said
> Wooldrige mentions that we can ignore step 1 estimation I
> was actually referring to zeroth stage where I do probit of
> binary endogenous regressor on my instrument Z. Can we
> ignore insignificance of Z in this zeroth stage and simply
> focus on the validity of the predicted probablities (as
> these are my 'generated instrument') using output of
> ivreg2?
> >
> > Thank you,
> > VB
> >
>
> *
> * 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/
>
The INTERNET now has a personality. YOURS! See your Yahoo! Homepage. http://in.yahoo.com/
*
* 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/
