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st: Valid instrument test for exactly identified regression
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[email protected]
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Subject
st: Valid instrument test for exactly identified regression
Date
Wed, 15 Jun 2011 10:10:32 +0000
Hi all,
I have a model that is exactly identified, so the xtivreg2 command gives me a zero for the Hansen J statistic.
Can you please advise: how do I test the validity of the IV, that it doesn't correlate with the errors in the structural equation?
I know the IV is relevant from the first stage (1st stage F-test, weak-instrument robust inference tests -- all reject null at 99%).
Thanks!
E
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