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


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: ivreg2: No validity tests if just-identified?
Date   Thu, 16 Apr 2009 07:01:15 -0400

<>
Credit for that suggestion should go to Jeff Wooldridge, who outlines the strategy in his MIT Press textbook Econometric Analysis of Cross Section and Panel Data. That book also contains an excellent discussion of instrumental variables techniques.


Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html



On Apr 16, 2009, at 02:33 , Jennifer wrote:

Kit, thanks for reminding me that I can use nonlinear transformations of my instruments as additional instruments to make the model over- identified
and thus be able to run the battery of instrument validity tests. This
option was in my mind at some point but it seemed to have escaped, so
thanks for bringing it back!

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