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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 |
Fri, 17 Apr 2009 22:28:31 +0200 |

Hi Kit:

Estimate S.E. Est./S.E. P-Value IQ ON S 2.876 0.205 14.022 0.000 EXPR -0.239 0.207 -1.153 0.249 MED 0.482 0.164 2.935 0.003 Cons 60.467 2.913 20.759 0.000 LW ON IQ 0.022 0.012 1.815 0.070 S 0.040 0.038 1.050 0.294 EXPR 0.051 0.008 6.280 0.000 Cons 2.789 0.771 3.618 0.000 Note: I explicitly correlated the residuals of IQ and LW and obtained: LW WITH IQ -2.412 1.638 -1.472 0.141 (this residual covariance is not different from zero) Also, the model is just-identified, just as in ivreg2: TESTS OF MODEL FIT Chi-Square Test of Model Fit Value 0.000 Degrees of Freedom 0 P-Value 0.0000 These estimates are pretty much the same as the ivreg2 estimates from Stata.

TESTS OF MODEL FIT Chi-Square Test of Model Fit Value 2.914 Degrees of Freedom 1 P-Value 0.0878 This test is is about the same as your endog test: Endogeneity test of endogenous regressors: 2.909

Thus, in this case, the test cannot reject the null.

Thanks for the clarification. Best,

____________________________________________________ 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 17.04.2009 20:54, Christopher Baum wrote: > <> > John said >

> y = b0 + b1x_hat + e1 > x = b11 + b12z + e12

> >

>

>

>

> > use http://fmwww.bc.edu/ec-p/data/hayashi/griliches76.dta > ivreg2 lw s expr (iq=med), endog(iq) > >

> > * > * 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/ * * 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/

**References**:**st: re: ivreg2: No validity tests if just-identified?***From:*Christopher Baum <baum@bc.edu>

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