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From | "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |
To | <statalist@hsphsun2.harvard.edu> |
Subject | RE: RE: st: Valid instrument test for exactly identified regression |
Date | Wed, 15 Jun 2011 14:32:52 +0100 |
Justina, > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Justina Fischer > Sent: 15 June 2011 14:19 > To: statalist@hsphsun2.harvard.edu; statalist@hsphsun2.harvard.edu > Subject: Re: RE: st: Valid instrument test for exactly > identified regression > > well, validity implies that the exclusion restriction is satisfied. > At least I learned this in grad school... True. But it's not testable if the equation is just-identified. You only have degrees of freedom available for testing if it's overidentified (hence the name of the test - Eric's point). > Nevertheless, he needs more and better instruments. Indeed! --Mark > JF > -------- Original-Nachricht -------- > > Datum: Wed, 15 Jun 2011 14:10:22 +0100 > > Von: "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> > > An: statalist@hsphsun2.harvard.edu > > Betreff: RE: st: Valid instrument test for exactly identified > > regression > > > Justina, > > > > I don't think the test you proposed makes sense, to be > honest. (Maybe > > you had in mind a test of the exogeneity of the endogenous > regressor?) > > But your conclusion - find a second instrument - is sensible. > > > > --Mark > > > > > -----Original Message----- > > > From: owner-statalist@hsphsun2.harvard.edu > > > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf > Of Justina > > > Fischer > > > Sent: 15 June 2011 13:56 > > > To: statalist@hsphsun2.harvard.edu > > > Subject: Re: st: Valid instrument test for exactly identified > > > regression > > > > > > so it was significant at the 10% level ? That's no good. > > > Try to find a second instrument for decent testing (e.g.a > quadratic > > > term of your first instrument) . > > > JF > > > > > > -------- Original-Nachricht -------- > > > > Datum: Wed, 15 Jun 2011 12:45:23 +0000 > > > > Von: etanebay@yahoo.com > > > > An: statalist@hsphsun2.harvard.edu > > > > Betreff: Re: st: Valid instrument test for exactly identified > > > > regression > > > > > > > Hi thanks, I've already tried that informally and the IV wasn't > > > > significant at 95%. But is there a Hansen J-like test I can > > > do that is more formal? > > > > Thanks. > > > > > > > > > > > > Sent from my BlackBerry Wireless Handheld Powered by Gee! > > > from StarHub > > > > > > > > -----Original Message----- > > > > From: "Justina Fischer" <JAVFischer@gmx.de> > > > > Sender: owner-statalist@hsphsun2.harvard.edu > > > > Date: Wed, 15 Jun 2011 13:34:03 > > > > To: <statalist@hsphsun2.harvard.edu> > > > > Reply-To: statalist@hsphsun2.harvard.eduSubject: Re: st: Valid > > > > instrument test for exactly identified regression > > > > > > > > well, going back to your econometric textbook you could > > > test whether > > > > the instrument is significant when added to the main > > > regression (exclusion > > > > restriction) - it should not be.... > > > > > > > > Justina Fischer > > > > -------- Original-Nachricht -------- > > > > > Datum: Wed, 15 Jun 2011 10:10:32 +0000 > > > > > Von: etanebay@yahoo.com > > > > > An: statalist@hsphsun2.harvard.edu > > > > > Betreff: st: Valid instrument test for exactly identified > > > regression > > > > > > > > > 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 > > > > > Sent from my BlackBerry Wireless Handheld Powered by > Gee! from > > > > > StarHub > > > > > > > > > > * > > > > > * 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/ > > > > > > > > -- > > > > Justina AV Fischer, PhD > > > > Senior Researcher > > > > Faculty of Economics > > > > University of Mannheim > > > > > > > > homepage: http://www.justinaavfischer.de/ > > > > e-mail: javfischer@gmx.de > > > > papers: http://ideas.repec.org/e/pfi55.html > > > > > > > > > > > > * > > > > * 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/ > > > > > > > > * > > > > * 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/ > > > > > > -- > > > Justina AV Fischer, PhD > > > Senior Researcher > > > Faculty of Economics > > > University of Mannheim > > > > > > homepage: http://www.justinaavfischer.de/ > > > e-mail: javfischer@gmx.de > > > papers: http://ideas.repec.org/e/pfi55.html > > > > > > > > > * > > > * 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/ > > -- > Justina AV Fischer, PhD > Senior Researcher > Faculty of Economics > University of Mannheim > > homepage: http://www.justinaavfischer.de/ > e-mail: javfischer@gmx.de > papers: http://ideas.repec.org/e/pfi55.html > > > * > * 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/