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st: ivreg2: No validity tests if just-identified?


From   Jennifer Beardsley <jenn_beardsley@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: ivreg2: No validity tests if just-identified?
Date   Wed, 15 Apr 2009 16:46:37 -0700 (PDT)

Dear Stata-list,

I worked quite carefully through the various options in ivreg2 and ivregress for testing (a) instrument validity (orthogonality etc) and (b) instrument strength (correlatedness with endogenous regressors). After doing so, I seem to be arriving at the conclusion that there is no way to test (a) if the model is just-identified, i.e. if I have the same number of excluded instruments as I have endogenous regressors). For example, the Sargan overid statistic, the C-statistic, the LR IV redundancy test statistic, etc. all don't get produced unless the model is overidentified. Is that true?! If yes, I would need to rely on persuasion using economic intuition to make my case that the instruments are valid, and there are no statistical tools to use?

In contrast, there do seem to be ready statistics I can draw on to examine instrument weakness/strength.

Thanks for any response,
Jennifer


      

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