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Re: st: re: Hansen J with multiple endogenous variables


From   Erasmo Giambona <e.giambona@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: re: Hansen J with multiple endogenous variables
Date   Mon, 21 Sep 2009 18:12:17 +0200

Thanks very much Kit.
Erasmo

On Mon, Sep 21, 2009 at 5:12 PM, Kit Baum <Baum@bc.edu> wrote:
> <>
> I am estimating a model with multiple endogenous variables (i.e., 3)
> using xtivreg2. The output includes the Hansen J. Why is that we only
> have 1 Hansen J (instead of 3) when there are 3 endogenous variables?
> My intuition tells me that that is because we are simply testing
> whether the instrument set is correctly excluded from the second stage
> model (which is only 1). Can anyone suggest any references where I
> could get more intuition on the issue?
>
>
> As discussed in Baum-Schaffer-Stillman papers in Stata Journal 2003, 2007,
> IMEUS and the Stata manual, the Hansen-Sargan statistic is a measure that
> pertains to the overall regression. In the IV-GMM context, it is a test of
> the 'overidentifying restrictions' that each of the instruments are
> orthogonal to the error process. Thus it does not matter how many endogenous
> variables appear in the equation, and in fact we are not questioning their
> asserted endogeneity. What matters, for the Hansen J dof, is the number of
> OID restrictions. You can challenge the endogeneity/exogeneity status of
> endogenous variables in B-S-S -ivreg2- (available from ssc) using the
> endog() or orthog() options.
>
> Kit
>
> 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
>
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