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st: RE: Valid instrument test for exactly identified regression
From
"Schaffer, Mark E" <[email protected]>
To
<[email protected]>
Subject
st: RE: Valid instrument test for exactly identified regression
Date
Wed, 15 Jun 2011 13:42:17 +0100
Etanbay,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> [email protected]
> Sent: 15 June 2011 11:11
> To: [email protected]
> Subject: 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?
Short answer - you can't.
Slightly longer answer - you have one excluded instrument you are using
to identify one parameter. That leaves you with no degrees of freedom
to test anything else: 1-1=0.
--Mark
> 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
>
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