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From |
Yvonne <silvery.enigma@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Instrumental variable and overid tests |

Date |
Sat, 1 Nov 2008 16:36:56 -0400 |

Hi statalisters, I have two instrumental variables that I'm considering, Instrument A and Instrument B. In theory, instrument A is more likely to be correlated with the outcome variable on the left-hand side and so i created a variation of instrument A (which is instrument B), thinking that it might have a better chance to pass the overid test. Now surprisingly, across many different specifications that I've tried, it turns out that instrument A has a better chance of having a smaller Hansen J statistic (and thus a greater p-value) and of passing the overid test. So my question is, even if in theory the instrument is very likely to be correlated with the variable on the left-hand side, if it passes the overid test, can I argue that this is a valid instrument? Both instruments reject the joint F-statistic, even though in most cases the statistic is smaller than 10, which implies that both instruments are not very strong. Can I just hold onto the instrument that passes the joint F-test as well as the overid test? * * 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/

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