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> Andrea, > > I'm not an xtabond(2) expert, but ... > > One way to think about the Sargan stat in xtabond(2) is that it indicates > that your instrumenting is OK from the point of satisfying the > orthogonality conditions. That is, your instruments are "valid". > > It does *not* tell you directly about what regressors, if any, actually > need any instrumenting in the first place. > > In the simple IV context, this second question can be addressed using a Wu- > Hausman endogeneity test, or, equivalently in this context, a C or > difference-in-Sargan test. > > In your xtabond(2) application, you could also do a difference-in-Sargan > test "by hand". Say you have two specifications. One treats more > variables as endogenous, and passes the Sargan test. You want to know if > you can treat some of these variables as exogenous, and so you have a > second specification that does this but is otherwise identical (same > number of obs, same variables, etc - but note this can be tricky to get > right in practice). You run this second spec and take the difference > between its Sargan and the Sargan from the first spec. If the difference > is "big" (i.e., reject the null if it's above a chi-sq critical value with > #dofs=#vars being tested for exogeneity), you conclude that these > variables are endogenous and needed instrumenting after all. If the > difference is small, then you didn't need to instrument them and you can > go with your second spec. > > Hope this helps. > > --Mark > > Quoting sistoand80 <sistoand80@libero.it>: > > > Dear Mark, > > i need some suggestions about the problem of over-identifying > > restrictions. If I tape > > > > xtabond y X > > > > stata instruments Ld.y with its own lags (in level) from t-3 to t > > and, if you think at X as a vector of exogenous variables, d.X. The > > degree of freedom of sargan test is the number of instruments minus > > 1 (the variable instrumented). If, in this case, the sargan reject > > the null hypothesis, it would mean that X are not fully exogenous or > > I would expect this result as the lagged dependent variable has been > > instrumented only with its own lags? > > > > If I tape > > > > xtabond y, pre(X) > > > > stata would instrument Ld.y with lags of y and X in level (y from > > t-3 and X from t-2). In this case, if Sargan test does not reject > > the null, it means that X variables are not predetermined and it may > > be considered as strictly exogenous covariates? And if the Sargan > > rejectes the null, it means that these variables are endogenous? > > (I've already red about the small power of Sargan test that tends to > > overreject the null in presence of heteroskedasticity). > > Thank You very much for your kindly reply, > > best regards > > > > Andrea Sisto > > University of Eastern Piedmont > > ---------- Initial Header ----------- > > > > >From : owner-statalist@hsphsun2.harvard.edu > > To : statalist@hsphsun2.harvard.edu,"Katarina Lynch" > > ferkel999@hotmail.com > > Cc : > > Date : Fri, 29 Oct 2004 13:42:30 +0100 (BST) > > Subject : Re: st: endogeneity and IV > > > > > Katarina, > > > > > > Quoting Katarina Lynch <ferkel999@hotmail.com>: > > > > > > > Dear Statalist, > > > > > > > > I am trying to inroduce instrumental variables to fix the > > > > endogeneity > > > > problem caused by fixed and random effects regressions. How can > > I > > > > determine > > > > which independent variables are endogenous, i.e. correlated with > > the > > > > error > > > > term? I simply gave the command "pw resid var1 var2 var3 var4" > > and > > > > it gave a > > > > matrix where one of the variables showed a correlation with > > resid. > > > > > > That's not how you test for endogeneity. You want use either a > > Sargan- > > > Hansen statistic or the Hausman approach (these are sometimes > > equivalent, > > > depending on the application). > > > > > > > Does it > > > > mean that this variable is endogenous or is there any other way? > > The > > > > reason > > > > I am asking this, perhaps, strange question is, in STATA7, the > > > > xtabond > > > > command requires predetermined variables in the sense that > > E(x, > > > > error) is > > > > nonzero. > > > > > > The Sargan(-Hansen) stat at the bottom of the xtabond output is a > > test of > > > your orthogonality conditions, i.e., that your exogenous > > independent > > > variables and instruments are indeed exogenous. > > > > > > Hope this helps. > > > > > > --Mark > > > > > > > > > > > Thank you, > > > > > > > > Katarina > > > > > > > > > > _________________________________________________________________ > > > > Immer für Sie da. MSN Hotmail. > > http://www.msn.de/email/webbased/ > > > > Jetzt > > > > kostenlos anmelden und überall erreichbar sein! > > > > > > > > > > > > * > > > > * 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 Schaffer > > > Director, CERT > > > Department of Economics > > > School of Management & Languages > > > Heriot-Watt University, Edinburgh EH14 4AS > > > tel +44-131-451-3494 / fax +44-131-451-3008 > > > email: m.e.schaffer@hw.ac.uk > > > web: http://www.sml.hw.ac.uk/ecomes > > > ________________________________________________________________ > > > > > > DISCLAIMER: > > > > > > This e-mail and any files transmitted with it are confidential > > > and intended solely for the use of the individual or entity to > > > whom it is addressed. If you are not the intended recipient > > > you are prohibited from using any of the information contained > > > in this e-mail. In such a case, please destroy all copies in > > > your possession and notify the sender by reply e-mail. Heriot > > > Watt University does not accept liability or responsibility > > > for changes made to this e-mail after it was sent, or for > > > viruses transmitted through this e-mail. Opinions, comments, > > > conclusions and other information in this e-mail that do not > > > relate to the official business of Heriot Watt University are > > > not endorsed by it. > > > ________________________________________________________________ > > > * > > > * 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/ > > > > > > > > > > > ____________________________________________________________ > > Libero ADSL: navighi gratis a 1.2 Mega, senza canone e costi di > > attivazione. > > Abbonati subito su http://www.libero.it > > > > > > > > * > > * 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 Schaffer > Director, CERT > Department of Economics > School of Management & Languages > Heriot-Watt University, Edinburgh EH14 4AS > tel +44-131-451-3494 / fax +44-131-451-3008 > email: m.e.schaffer@hw.ac.uk > web: http://www.sml.hw.ac.uk/ecomes > ________________________________________________________________ > > DISCLAIMER: > > This e-mail and any files transmitted with it are confidential > and intended solely for the use of the individual or entity to > whom it is addressed. If you are not the intended recipient > you are prohibited from using any of the information contained > in this e-mail. In such a case, please destroy all copies in > your possession and notify the sender by reply e-mail. Heriot > Watt University does not accept liability or responsibility > for changes made to this e-mail after it was sent, or for > viruses transmitted through this e-mail. Opinions, comments, > conclusions and other information in this e-mail that do not > relate to the official business of Heriot Watt University are > not endorsed by it. > ________________________________________________________________ > * > * 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/ > ____________________________________________________________ Libero ADSL: navighi gratis a 1.2 Mega, senza canone e costi di attivazione. 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