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Re: st: RE: Different coefficient magnitudes in ols and 2sls estimation


From   Sukesh Patro <kksp.stata@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Different coefficient magnitudes in ols and 2sls estimation
Date   Thu, 22 Apr 2010 13:05:13 -0500

Nick,
The coefficients are 0.20 in OLS and 2.00 in 2SLS. To answer your
question, "significantly smaller" in this context means the referee
thinks that this is different enough to be troubling.
Also, to answer a related question from Kit Baum we did a Hausman test
on Y2 and rejected the exogeneity of Y2. So it seems that 2SLS would
be appropriate. We have not done a Sargan or Hansen test. Will look
into that and post the outcome.
Thanks to both of you for your interest.

SSKP


On Thu, Apr 22, 2010 at 11:22 AM, Nick Cox <n.j.cox@durham.ac.uk> wrote:
> What precisely does "significantly smaller" mean in this discussion?
> Does "significant" mean here anything other than "surprising to me"? I
> don't have an answer to your question, but as you say clarity is needed
> here.
> Nick
> n.j.cox@durham.ac.uk
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