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From |
Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com> |

To |
statalist@hsphsun2.harvard.edu |

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

Date |
Fri, 23 Apr 2010 00:12:36 +0530 |

" Is this test focused on the two coefficients that were specified?" Indeed. It is a quadratic in the difference of the estimators weighted by the inverse of the difference of the variance-covariance matrices. T 2010/4/23 Nick Cox <n.j.cox@durham.ac.uk>: > 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 > n.j.cox@durham.ac.uk > > > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Tirthankar Chakravarty > Sent: 22 April 2010 19:33 > To: statalist@hsphsun2.harvard.edu > 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 <n.j.cox@durham.ac.uk>: >> 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 >> n.j.cox@durham.ac.uk >> >> Sukesh Patro >> Sent: 22 April 2010 19:11 >> To: statalist@hsphsun2.harvard.edu >> 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 <n.j.cox@durham.ac.uk> wrote: >>> So, no formal significance test in either case. Thanks for the >>> clarification. >>> >>> Nick >>> n.j.cox@durham.ac.uk >> >> * >> * 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/ >> > > > > -- > 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). > > * > * 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/ > -- 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). * * 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: RE: Different coefficient magnitudes in ols and 2sls estimation***From:*Sukesh Patro <kksp.stata@gmail.com>

**References**:**st: Different coefficient magnitudes in ols and 2sls estimation***From:*Sukesh Patro <kksp.stata@gmail.com>

**st: RE: Different coefficient magnitudes in ols and 2sls estimation***From:*"Nick Cox" <n.j.cox@durham.ac.uk>

**Re: st: RE: Different coefficient magnitudes in ols and 2sls estimation***From:*Sukesh Patro <kksp.stata@gmail.com>

**RE: st: RE: Different coefficient magnitudes in ols and 2sls estimation***From:*"Nick Cox" <n.j.cox@durham.ac.uk>

**Re: st: RE: Different coefficient magnitudes in ols and 2sls estimation***From:*Sukesh Patro <kksp.stata@gmail.com>

**RE: st: RE: Different coefficient magnitudes in ols and 2sls estimation***From:*"Nick Cox" <n.j.cox@durham.ac.uk>

**Re: st: RE: Different coefficient magnitudes in ols and 2sls estimation***From:*Tirthankar Chakravarty <tirthankar.chakravarty@gmail.com>

**RE: st: RE: Different coefficient magnitudes in ols and 2sls estimation***From:*"Nick Cox" <n.j.cox@durham.ac.uk>

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