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Re: st: RE: difficulty in explaining GMM sargan overid

From   B B <>
Subject   Re: st: RE: difficulty in explaining GMM sargan overid
Date   Fri, 25 Jun 2010 08:17:31 +0000 (GMT)


right, I did for once think he meant to reduce the instruments but then I thought it might just be the method. Thank you very much for clarifying this.l It is very helpful.

I think I cant increase the Ns because I only restricted the sample to a certain group of emerging and frontier markets and plus I have a limited time to do this, however, if after every thing you've suggested, (reducing the IV marginally) it does need me to increase the N then maybe I have no option.

Thank you, Thank you, Thank you


--- On Fri, 25/6/10, Clive Nicholas <> wrote:

> From: Clive Nicholas <>
> Subject: Re: st: RE: difficulty in explaining GMM sargan overid
> To:
> Date: Friday, 25 June, 2010, 5:05
> Binta Sarat replied to Mark
> Schaffer:
> [...]
> > Just wanted to clarify, are you suggesting using 2sls?
> And if yes, from your response it seems like when I use
> 2sls, I might end up with similar output to OLS, is this
> correct? Please help clarify this. I'm sorry it sounds
> really lame,but Im new to most of these things and Im trying
> to not get confused with them.
> I suspect your tiredness is preventing you from following
> what Mark
> wrote closely enough! He's simply saying that you're using
> far too
> many instrumental variables (350) for the observations
> you've got to
> play with (209).
> Remember that, in many ways, IVs are not much different
> from any other
> variables: adding each one to your model will consume 1
> degree of
> freedom. Since you don't have nearly enough data to handle
> this,
> you'll need to either:
> (1) substantially increase your Ns, if that's possible; or
> (2) substantially reduce your instruments, exactly as Mark
> advises.
> As for whether "to 2SLS or not to 2SLS?", we don't know
> your data to
> really advise you on IV model selection, and in any case,
> this really
> is your call.
> -- 
> Clive Nicholas
> [Please DO NOT mail me personally here, but at
> <>.
> Please respond to contributions I make in
> a list thread here. Thanks!]
> "My colleagues in the social sciences talk a great deal
> about
> methodology. I prefer to call it style." -- Freeman J.
> Dyson.
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