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From |
John Antonakis <john.antonakis@unil.ch> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: re: ivreg2: No validity tests if just-identified? |

Date |
Thu, 16 Apr 2009 09:10:16 +0200 |

Hi Kit:

That is: y = b0 + b1x_hat + e1 x = b11 + b12z + e12

Best, John. ____________________________________________________ Prof. John Antonakis Associate Dean Faculty of Business and Economics University of Lausanne Internef #618 CH-1015 Lausanne-Dorigny Switzerland Tel ++41 (0)21 692-3438 Fax ++41 (0)21 692-3305 ____________________________________________________ On 16.04.2009 03:38, Kit Baum wrote:

<> Jennifer saidI worked quite carefully through the various options in ivreg2 andivregress 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 isno way to test (a) if the model is just-identified, i.e. if I have thesame number of excluded instruments as I have endogenous regressors).For example, the Sargan overid statistic, the C-statistic, the LR IVredundancy test statistic, etc. all don't get produced unless themodel is overidentified. Is that true?! If yes, I would need to relyon persuasion using economic intuition to make my case that theinstruments are valid, and there are no statistical tools to use?Quite so. If you have only just enough instruments to identify themodel, there are none available to test overidentifying restrictions,as there is no overid. The J statistic is by definition zero for allexactly identified models. On the other hand, if you have found somevariables which you believe are appropriate instruments,transformations of them (powers, lags, interactions) should also bevalid instruments, so it is not clear why you are stuck with exact ID.KitKit Baum | Boston College Economics & DIW Berlin |http://ideas.repec.org/e/pba1.htmlAn Introduction to Stata Programming| http://www.stata-press.com/books/isp.htmlAn Introduction to Modern Econometrics Using Stata |http://www.stata-press.com/books/imeus.html* * 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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**References**:**st: re: ivreg2: No validity tests if just-identified?***From:*Kit Baum <baum@bc.edu>

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