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From |
Austin Nichols <austinnichols@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: Question on Wooldridge's Procedure 18.1 |

Date |
Thu, 7 Jan 2010 10:22:39 -0500 |

vipul bhatt <vbhatt_22@yahoo.co.in>: No, you cannot--this is point of the sentence "Note that the weak instrument diagnostics will fail miserably using these approaches." in http://www.stata.com/meeting/germany09/nichols.pdf Your weak instrument diagnostics should come from straight IV, not procedure 18.1--note that procedure 18.1 would go through if Z was pure noise, and the predicted value of your endogenous variable could be very highly correlated with the endogenous variable, leading you to think you had very strong instruments. This is also a problem using predictions as excluded instruments in other settings (e.g. http://www.nber.org/papers/w11279 which uses predicted income as an instrument for income), and then reporting the diagnostics as if the predictions are actual measured data. On Thu, Jan 7, 2010 at 10:13 AM, vipul bhatt <vbhatt_22@yahoo.co.in> wrote: > Hi, > > Thank you for these useful links. When I said Wooldrige mentions that we can ignore step 1 estimation I was actually referring to zeroth stage where I do probit of binary endogenous regressor on my instrument Z. Can we ignore insignificance of Z in this zeroth stage and simply focus on the validity of the predicted probablities (as these are my 'generated instrument') using output of ivreg2? > > Thank you, > VB > * * 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/

**Follow-Ups**:**Re: st: Question on Wooldridge's Procedure 18.1***From:*vipul bhatt <vbhatt_22@yahoo.co.in>

**References**:**Re: st: Question on Wooldridge's Procedure 18.1***From:*Austin Nichols <austinnichols@gmail.com>

**Re: st: Question on Wooldridge's Procedure 18.1***From:*vipul bhatt <vbhatt_22@yahoo.co.in>

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