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


From   "Nick Cox" <[email protected]>
To   <[email protected]>
Subject   RE: st: RE: Different coefficient magnitudes in ols and 2sls estimation
Date   Thu, 22 Apr 2010 19:36:39 +0100

I know nothing about this stuff. Is this test focused on the two coefficients that were specified? It sounds as if the reviewer were just saying "Why are these so different?", which could be a reasonable question. 

Nick 
[email protected] 


-----Original Message-----
From: [email protected] [mailto:[email protected]] On Behalf Of Tirthankar Chakravarty
Sent: 22 April 2010 19:33
To: [email protected]
Subject: Re: st: RE: Different coefficient magnitudes in ols and 2sls estimation

I think, in this situation the Hausman test would be the formal
procedure that tests the divergence between the two estimators. Under
the null of Y2 being exogenous, both the OLS and 2SLS estimator are
consistent and tend to the same probability limit, else the OLS is
inconsistent and the probability limits of the two estimators diverge.
The Hausman test is a formal tests of this convergence under the null.

T

2010/4/22 Nick Cox <[email protected]>:
> No, I meant whether your judgement "significantly smaller" reflected a
> difference confirmed as such by an appropriate formal procedure. I don't
> know what it would be, but this is not it.
>
> Nick
> [email protected]
>
> Sukesh Patro
> Sent: 22 April 2010 19:11
> To: [email protected]
> Subject: Re: st: RE: Different coefficient magnitudes in ols and 2sls
> estimation
>
> Sorry Nick. I left out the t-stats. The OLS t-stat is about 3.00 and
> the 2SLS t-stat is about 2.50. Is this what you meant? I only left
> them out because they were part of the original question.
>
> Thanks again, SSKP
>
>
> On Thu, Apr 22, 2010 at 1:07 PM, Nick Cox <[email protected]> wrote:
>> So, no formal significance test in either case. Thanks for the
>> clarification.
>>
>> Nick
>> [email protected]
>
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>



-- 
To every ω-consistent recursive class κ of formulae there correspond
recursive class signs r, such that neither v Gen r nor Neg(v Gen r)
belongs to Flg(κ) (where v is the free variable of r).

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