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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. > > > > > > * > > > * 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/ > > > > > -- > Heriot-Watt University is a Scottish charity > registered under charity number SC000278. > > > * > * 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/

**References**:**RE: st: RE: difficulty in explaining GMM sargan overid***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

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