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Re: RE: RE: st: Valid instrument test for exactly identified regression


From   "Justina Fischer" <[email protected]>
To   [email protected]
Subject   Re: RE: RE: st: Valid instrument test for exactly identified regression
Date   Wed, 15 Jun 2011 18:54:38 +0200

Hi Mark,

with one IV only I proposed a way of checking 'by hand' as practioneer - not necessarily methodologically fancy enough to be reported in a paper, but giving some confidence, though.  

best
Justina




-------- Original-Nachricht --------
> Datum: Wed, 15 Jun 2011 14:32:52 +0100
> Von: "Schaffer, Mark E" <[email protected]>
> An: [email protected]
> Betreff: RE: RE: st: Valid instrument test for exactly identified regression

> Justina,
> 
> > -----Original Message-----
> > From: [email protected] 
> > [mailto:[email protected]] On Behalf Of 
> > Justina Fischer
> > Sent: 15 June 2011 14:19
> > To: [email protected]; [email protected]
> > 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" <[email protected]>
> > > An: [email protected]
> > > 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: [email protected]
> > > > [mailto:[email protected]] On Behalf 
> > Of Justina 
> > > > Fischer
> > > > Sent: 15 June 2011 13:56
> > > > To: [email protected]
> > > > 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: [email protected]
> > > > > An: [email protected]
> > > > > 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" <[email protected]>
> > > > > Sender: [email protected]
> > > > > Date: Wed, 15 Jun 2011 13:34:03
> > > > > To: <[email protected]>
> > > > > Reply-To: [email protected]: 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: [email protected]
> > > > > > An: [email protected]
> > > > > > 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
> > > > > > 
> > > > > > *
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> > > > > 
> > > > > --
> > > > > Justina AV Fischer, PhD
> > > > > Senior Researcher
> > > > > Faculty of Economics
> > > > > University of Mannheim
> > > > > 
> > > > > homepage: http://www.justinaavfischer.de/
> > > > > e-mail: [email protected]
> > > > > papers: http://ideas.repec.org/e/pfi55.html
> > > > > 
> > > > > 
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> > > > 
> > > > --
> > > > Justina AV Fischer, PhD
> > > > Senior Researcher
> > > > Faculty of Economics
> > > > University of Mannheim
> > > > 
> > > > homepage: http://www.justinaavfischer.de/
> > > > e-mail: [email protected]
> > > > papers: http://ideas.repec.org/e/pfi55.html
> > > > 
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> > > 
> > > 
> > > --
> > > Heriot-Watt University is a Scottish charity registered 
> > under charity 
> > > number SC000278.
> > > 
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> > 
> > --
> > Justina AV Fischer, PhD
> > Senior Researcher
> > Faculty of Economics
> > University of Mannheim
> > 
> > homepage: http://www.justinaavfischer.de/
> > e-mail: [email protected]
> > papers: http://ideas.repec.org/e/pfi55.html
> > 
> > 
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> > 
> 
> 
> -- 
> Heriot-Watt University is a Scottish charity
> registered under charity number SC000278.
> 
> 
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-- 
Justina AV Fischer, PhD
Senior Researcher
Faculty of Economics
University of Mannheim

homepage: http://www.justinaavfischer.de/
e-mail: [email protected]
papers: http://ideas.repec.org/e/pfi55.html


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