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From |
Paulo Regis <pauloregis.ar@googlemail.com> |

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 > -------------------------- > > > > > * > * 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**:**Re: st: AKAIKE formula***From:*Paulo Regis <pauloregis.ar@googlemail.com>

**Re: st: AKAIKE formula***From:*Maarten buis <maartenbuis@yahoo.co.uk>

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