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From |
"Salvati, Jean" <JSalvati@imf.org> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: RE: dmexogxt questions |

Date |
Mon, 13 Sep 2004 18:10:35 -0400 |

Mark, Steve, 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. Jean Salvati Econometric Support (202) 623-7804 IS 12-1328 > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Mark Schaffer > Sent: Monday, September 13, 2004 9:43 AM > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: RE: dmexogxt questions > > Jean, > > 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" <stillman@motu.org.nz> > To: <statalist@hsphsun2.harvard.edu> > Send reply to: statalist@hsphsun2.harvard.edu > > > Hi Jean. The answers to your questions are below. Cheers, Steve > > > > -----Original Message----- > > From: owner-statalist@hsphsun2.harvard.edu > > [mailto:owner-statalist@hsphsun2.harvard.edu]On Behalf Of Salvati, > > Jean > > Sent: Saturday, September 11, 2004 8:49 AM > > To: statalist@hsphsun2.harvard.edu > > 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 > "dmexogxt > > 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. > > Cheers, > Mark > > > Thanks a lot. > > > > Jean Salvati > > > > > > * > > * For searches and help try: > > * http://www.stata.com/support/faqs/res/findit.html > > * http://www.stata.com/support/statalist/faq > > * http://www.ats.ucla.edu/stat/stata/ > > > > > > Prof. Mark E. Schaffer > Director > 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 > http://www.som.hw.ac.uk/cert > > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > > * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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