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# Re: st: AKAIKE formula

 From Paulo Regis To statalist@hsphsun2.harvard.edu Subject Re: st: AKAIKE formula Date Tue, 13 Apr 2010 19:27:02 +0800

```thank you for your suggestion. I will give a look

Paulo

On Tue, Apr 13, 2010 at 6:29 PM, Maarten buis <maartenbuis@yahoo.co.uk> wrote:
> --- On Tue, 13/4/10, Paulo Regis wrote:
>> Lets say it is an F-test, where one of the "q"
>> restrictions is the coefficient of the lag of the dependent
>> variable. In my example, I showed the case where q=1.
>> H0: c = 0 .
>>
>> More general for an F-statistic, since you have the lag of
>> the dependent variable, there is endogeneity (you can use
>> lags of the indep variables as instruments). Therefore, you
>> can think of a Wald test where:
>> a) you use OLS for the restricted model.
>> b) you should use IV for the unrestricted model.
>>
>> Alternatively, I could check which of the two models
>> minimize akaike.
>> How inappropriate is that?
>
> I am guessing you mean the following:
>
> - you have model where you believe that you need to use an
> IV estimator because you added a laged dependent variable
> as a predictor.
>
> - You have a second model that did not include the laged
> dependent variable, so you concluded that you did not
> have to use an IV estimator
>
> Both models contain a variable x
>
> You are interested in the hypothesis that the effect of x
> is equal in both models.
>
> Sounds a bit similar to a setup for a Hausman test, so maybe
> you can look into that literature to see if that can give
> you some inspiration on how to takle your problem.
>
> Maybe somebody else on the list has a bright idea?
>
> -- Maarten
>
> --------------------------
> Maarten L. Buis
> Institut fuer Soziologie
> Universitaet Tuebingen
> Wilhelmstrasse 36
> 72074 Tuebingen
> Germany
>
> http://www.maartenbuis.nl
> --------------------------
>
>
>
>
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