Thanks a lot for the replies. Thanks to Google, I just found one of your
papers about that ("Instrumental variables and GMM: Estimation and
Testing"). I'll read it tomorrow.
> -----Original Message-----
> From: firstname.lastname@example.org
> [mailto:email@example.com] On Behalf Of
> Mark Schaffer
> Sent: Monday, September 13, 2004 9:43 AM
> To: firstname.lastname@example.org
> Subject: Re: st: RE: dmexogxt questions
> Just a couple of footnotes to Steve's response:
> Subject: st: RE: dmexogxt questions
> Date sent: Tue, 14 Sep 2004 00:31:36 +1200
> From: "Steve Stillman" <email@example.com>
> To: <firstname.lastname@example.org>
> Send reply to: email@example.com
> > Hi Jean. The answers to your questions are below. Cheers, Steve
> > -----Original Message-----
> > From: firstname.lastname@example.org
> > [mailto:email@example.com]On Behalf Of Salvati,
> > Jean
> > Sent: Saturday, September 11, 2004 8:49 AM
> > To: firstname.lastname@example.org
> > Subject: st: dmexogxt questions
> > Hello,
> > I have two questions about dmexogxt:
> > 1) The joint test clearly rejects the null hypothesis that all
> > regressors are exogenous, but the tests on individual
> regressors don't
> > reject the null for any of the regressors (not even close).
> > More precisely, let's say I estimate my model with the following
> > command:
> > xtivreg y x1 (x2 x3 = z2 z3), fe
> > When I do "dmexogxt", the null hypothesis that all regressors are
> > exogenous ism clearly rejected. However, when I do
> "dmexogxt x2" and
> > "dmexogxt x3", I definitly can't reject the null for either
> x2 or x3
> > at the same level.
> > How can I interpret these results?
> > *** When you run the command dmexogxt x2, you are assuming
> that x3 is
> > definitely endogenous and are only testing that x2 is
> exogenous given
> > this assumption. For whatever reason, in your example, you cannot
> > clearly distinguish between (x2 endog, x3 exog), (x2 exog,
> x3 endog),
> > or (both endog). Since you do not seem to have a reason to assume
> > either one is definitely endogenous (thus, leading to the reduced
> > test), my instinct would be that you are best off treating both as
> > being endogenous.
> The text here can be interpreted in the same way as a Hausman
> test, i.e., endogeneity/exogeneity is picked up by
> differences in the coefficients between the two
> specifications. In effect, when you set one or the other of
> x2 and x3 to be exogenous, the coeffs don't change much
> compared to the benchmark case where both are endogeneous.
> But when you set both to be exogenous, the coeffs change a
> lot, again compared to the case of both being endogenous.
> This doesn't sound very strange, at least to me.
> > 2) After "xtivreg y x1 (x2 = z2 ), fe", both "dmexogxt" and
> > x2" yield F-statistics.
> > *** with only one possible endogenous variable, "dmexogxt" and
> > "dmexogxt x2" are identical tests and thus give identical results
> > After "xtivreg y x1 (x2 x3 = z2 z3), fe", both "dmexogxt"
> still gives
> > an F-statistic, but "dmexogxt x2" yields a chi2(1). Why is
> that? Is a
> > Wald test used in the second case, and if so why?
> > *** more generally, if "dmexogxt" is only run on a subset of
> > endogenous variables you will end up with a chi2(number tested
> > variables) instead of an f-test. This occurs because the auxiliary
> > regression being run for the test is now an IV regression (we still
> > need to instrument for the variables left out of the test)
> as opposed
> > to an OLS regression (the case when all possible endogenous
> variables are being tested).
> ... and the Wu version of the test has an F-stat form in this case.
> But if you're relying on asymptotics, it doesn't matter if
> it's an F or chi-sq. If you want an F-stat instead of a
> chi-sq, you can always get one by hand if you divide by the
> relevant dof.
> > Thanks a lot.
> > Jean Salvati
> > *
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> Prof. Mark E. Schaffer
> Centre for Economic Reform and Transformation Department of
> Economics School of Management & Languages Heriot-Watt
> University, Edinburgh EH14 4AS UK
> 44-131-451-3494 direct
> 44-131-451-3008 fax
> 44-131-451-3485 CERT administrator
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