Tae Hun,
Quoting Tae Hun Kim <[email protected]>:
> Thank you very much for the help.
>
> As you suggested, I updated -ivreg2- and got two J
> statistics(constrained and unconstrained)
> The result is
> Hansen J statistic (constrained) : 27.609-> Chi-sq(2) P-val=0.0000
> Hansen J statistic (unconstrained) : 6.618-> Chi-sq(1)
> P-val=0.01009
> C statistic : 20.990-> Chi-sq(1) P-val=0.0000
> ==> so, I concluded instruments aren't orthgonal
>
> But I changed the set of excluded instruments and estimated it
> again
> The result is
> Hansen J statistic (constrained) : 30.141-> Chi-sq(2) P-val=0.0000
> Hansen J statistic (unconstrained) : 1.279-> Chi-sq(1)
> P-val=0.25816
> C statistic : 28.862-> Chi-sq(1) P-val=0.0000
> ==> so, it indicates that instruments are orthgonal to the error term
> and 'smom' variable is endogenous.
>
> Could you confirm whether my interpretation is right or not?
I think your interpretation is correct.
--Mark
> Thanks,
> T.H Kim
>
>
>
>
> On Mon, 28 Feb 2005 23:44:21 +0000 (GMT), Mark Schaffer
> <[email protected]> wrote:
> > Tae Hun,
> >
> > Quoting Tae Hun Kim <[email protected]>:
> >
> > > Hello Statalist.
> > > I would appreciate some help on the following problem.
> > > I want to conduct heteroskedastic robust endogeneity test.
> Most
> > > previous postings related to endogeneity test assume
> conditional
> > > homoskedasticity. As long as I know, if error term is
> > > heteroskedastic,
> > > p-value is wrong. so, we might obtain wrong conclusion.
> > >
> > > To test endogeneity (heteroskedastic robust version)
> > > --------- equation----
> > > . ivreg2 fmom y87 y88 y89 y90 y91 y92 y93 y94 y95 y96 y97 y98
> y99 y00
> > > y01 y02 s87 s88 s89 s90 s91 s92 s93 s94 s95 s96 s97 s98 s99 s00
> s01
> > > s02 smom ( = dgovern dratio ), gmm orthog(smom);
> > > **Smom : suspected engogenous variable
> > > ----test result---------
> > > Hansen J statistic (Lagrange mulitplier test of excluded
> > > instruments):
> > > 27.609
> > > Chi-sq(2) P-val = 0.00000
> > > C statistic (exogeneity/orthogonality of specified
> instruments):
> > >
> > > 20.990
> > > Chi-sq(1) P-val = 0.00000
> > > Instruments tested: smom
> > >
> ------------------------------------------------------------------------------
> > > Instruments: y87 y88 y89 y90 y91 y92 y93 y94 y95 y96 y97 y98
> y99 y00
> > > y01 y02 s87 s88 s89 s90 s91 s92 s93 s94 s95 s96 s97 s98 s99 s00
> s01
> > > s02 smom dgovern dratio
> > >
> ------------------------------------------------------------------------------
> > >
> > > I think the result says 'smom' is endogenous(C-ststistic:20.990)
> and
> > > two excluded instruments are not orthogonal to the error
> term(Hansen J
> > > statistic :27.609)
> > > Q1. My code and My interpretation are right?
> >
> > Mostly yes. I think you should update your version of -ivreg2-,
> because the
> > latest version will display the J statistics for both the
> constrained (smom
> > exogenous) and unconstrained (smom endogenous) specifications.
> You'll
> > probably find that both have J statistics that suggest that the
> > orthogonality conditions aren't met (one will be 27.609 and the
> other will
> > be about 7). This implies that the C-statistic doesn't mean much,
> because
> > you are comparing two misspecified equations. But see below.
> >
> > > But I just tried to test overidentification as the following
> > > equation
> > > ivreg2 fmom y87 y88 y89 y90 y91 y92 y93 y94 y95 y96 y97 y98 y99
> y00
> > > y01 y02 s87 s88 s89 s90 s91 s92 s93 s94 s95 s96 s97 s98 s99
> s00 s01
> > > s02 (smom=dgovern dratio), gmm;
> > > ----------test result------------
> > > Hansen J statistic (overidentification test of all
> instruments):
> > >
> > > 3.633
> > > Chi-sq(1) P-val = 0.05665
> > >
> ------------------------------------------------------------------------------
> > > Instrumented: smom
> > > Instruments: y87 y88 y89 y90 y91 y92 y93 y94 y95 y96 y97 y98
> y99 y00
> > > y01 y02 s87 s88 s89 s90 s91 s92 s93 s94 s95 s96 s97 s98 s99 s00
> s01
> > > s02 dgovern dratio
> > >
> ------------------------------------------------------------------------------
> > >
> > > the result indicates that instruments are orthogonal under 5%
> > > significance level
> > >
> > > Q2 : why two results are different? Did i miss something?
> >
> > This one is equivalent to the unconstrained version mentioned
> above (smom
> > endogenous). The difference is, I think, because the first
> version uses an
> > estimate of the covariance matrix of orthogonality conditions
> that
> > guarantees a positive C statistic, which is different from the one
> used
> > here. In my experience, the difference is usually small, but
> yours is a bit
> > larger than usual.
> >
> > That said, the conclusions don't differ that much - a p-value of
> 6% is
> > basically just as much a concern as a p-value of 5%!
> >
> > Hope this helps.
> >
> > Mark
> >
> > > Thanks in advance,
> > >
> > > T.H Kim
> > > *
> > > * 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 +44-131-451-3294
> > email: [email protected]
> > web: http://www.sml.hw.ac.uk/ecomes
> >
> >
> -------------------------------------------------------------------
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> >
> > This message is subject to http://www.hw.ac.uk/disclaim.htm
> >
> >
> -------------------------------------------------------------------
> >
> > *
> > * For searches and help try:
> > * http://www.stata.com/support/faqs/res/findit.html
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> > * 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/
>
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3294
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
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