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


From   B B <binta.sarat@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   RE: st: RE: difficulty in explaining GMM sargan overid
Date   Fri, 25 Jun 2010 21:35:04 +0000 (GMT)

Hi Mark,

Thank you very much. I perfectly get it now. I surely have been looking at the option and its looking bright again.

Thanks very much for your help.

Binta

--- On Fri, 25/6/10, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> wrote:

> From: Schaffer, Mark E <M.E.Schaffer@hw.ac.uk>
> Subject: RE: st: RE: difficulty in explaining GMM sargan overid
> To: statalist@hsphsun2.harvard.edu
> Date: Friday, 25 June, 2010, 12:36
> Binta,
> 
> Clive is exactly right.  I said you need to reduce the
> number of IVs (a lot), but as he correctly points out, you
> can also address the problem by increasing N (a lot).
> 
> The reason for using 2SLS in my explanation is simply that
> it's easier to get the intution for what is going on with
> 2SLS.  2SLS and the A-B GMM estimator are very close
> relatives; in fact, if you add the assumption of conditional
> homoskedasticity to the latter, you will get a 2SLS version
> of the estimator.
> 
> Cheers,
> Mark
> 
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu
> 
> > [mailto:owner-statalist@hsphsun2.harvard.edu]
> On Behalf Of B B
> > Sent: 25 June 2010 09:18
> > To: statalist@hsphsun2.harvard.edu
> > Subject: Re: st: RE: difficulty in explaining GMM
> sargan overid
> > 
> > ha!
> > 
> > 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
> > 
> > Binta
> > 
> > --- On Fri, 25/6/10, Clive Nicholas <clivelists@googlemail.com>
> wrote:
> > 
> > > From: Clive Nicholas <clivelists@googlemail.com>
> > > Subject: Re: st: RE: difficulty in explaining GMM
> sargan overid
> > > To: statalist@hsphsun2.harvard.edu
> > > 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 
> > > <clivenicholas@hotmail.com>.
> > > 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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> > 
> > 
> >       
> > 
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> 
> 
> -- 
> Heriot-Watt University is a Scottish charity
> registered under charity number SC000278.
> 
> 
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