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RE: RE: st: Valid instrument test for exactly identified regression
From
DE SOUZA Eric <[email protected]>
To
"[email protected]" <[email protected]>
Subject
RE: RE: st: Valid instrument test for exactly identified regression
Date
Wed, 15 Jun 2011 19:29:03 +0200
Mark,
You're getting mixed up concerning who said what. It was Etanbay who wrote that. At the end of Etanbay's message was Thanks - Eric, which is what got you confused.
Eric
-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Schaffer, Mark E
Sent: 15 June 2011 19:20
To: [email protected]
Subject: RE: RE: st: Valid instrument test for exactly identified regression
Eric,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> [email protected]
> Sent: 15 June 2011 16:42
> To: [email protected]
> Subject: Re: RE: st: Valid instrument test for exactly identified
> regression
>
> Hi, thanks for the discussion.
>
> I understand Hansen J cannot be used, since I have 1 IV for 1 endog.
>
> However, even though more IVs are good, for now I need to show that my
> single IV is valid. (I checked numerous published papers with exact
> id, but no one seems to bother showing their one IV is valid).
It's not that no one bothers.
It's because it's IMPOSSIBLE.
I briefly explained why in my earlier email, but if you want a formal proof, you can find such in many respectable textbooks.
I'm on the road and my textbooks aren't within reach ... maybe someone else on the list can provide some references and quotes?
--Mark
> So I need to show that the IV doesn't corr with the u_it from 2nd
> stage.
>
> I have done what Justina said, which to me made intuitive sense in
> checking if IV corr with u_it. The coefficient is not sig at 90%.
>
> I then did the direct thing, by predicting the u_it (using steps from
> this board) and then pwcorr u_it and IV. The 2 are not correlated. I'm
> not an econometrician (obviously!), so was wondering if you all think
> these steps are problematic, now that there isn't a direct test I can
> do.
>
> Thanks - Eric
>
>
>
>
>
> Sent from my BlackBerry Wireless Handheld Powered by Gee! from StarHub
>
> -----Original Message-----
> From: "Schaffer, Mark E" <[email protected]>
> Sender: [email protected]
> Date: Wed, 15 Jun 2011 14:32:52
> To: <[email protected]>
> Reply-To: [email protected]: 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
> > > > > >
> > > > > > *
> > > > > > * 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: [email protected]
> > > > > 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: [email protected]
> > > > 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: [email protected]
> > 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/
>
> *
> * For searches and help try:
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> * 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.
*
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