Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

Re: st: Valid instrument test for exactly identified regression


From   "Justina Fischer" <JAVFischer@gmx.de>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Valid instrument test for exactly identified regression
Date   Wed, 15 Jun 2011 13:34:03 +0200

well, going back to your econometric textbook you could test whether the instrument is significant when added to the main regression (exclusion restriction)   - it should not be....

Justina Fischer
-------- Original-Nachricht --------
> Datum: Wed, 15 Jun 2011 10:10:32 +0000
> Von: etanebay@yahoo.com
> An: statalist@hsphsun2.harvard.edu
> Betreff: st: Valid instrument test for exactly identified regression

> Hi all,
> I have a model that is exactly identified, so the xtivreg2 command gives
> me a zero for the Hansen J statistic.
> Can you please advise: how do I test the validity of the IV, that it
> doesn't correlate with the errors in the structural equation?
> I know the IV is relevant from the first stage (1st stage F-test,
> weak-instrument robust inference tests -- all reject null at 99%).
> Thanks!
> E
> Sent from my BlackBerry Wireless Handheld 
> Powered by Gee! from StarHub
> 
> *
> *   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/

-- 
Justina AV Fischer, PhD
Senior Researcher
Faculty of Economics
University of Mannheim

homepage: http://www.justinaavfischer.de/
e-mail: javfischer@gmx.de
papers: http://ideas.repec.org/e/pfi55.html


*
*   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/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index