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st: RE: RE: Valid instrument test for exactly identified regression


From   DE SOUZA Eric <eric.de_souza@coleurope.eu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: RE: Valid instrument test for exactly identified regression
Date   Wed, 15 Jun 2011 14:50:52 +0200

Etanbay,

To add to Mark's reply, it is not for nothing that the test is called the test for OVER-identification.


Eric de Souza
College of Europe
Brugge (Bruges), Belgium
http://www.coleurope.eu


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Schaffer, Mark E
Sent: 15 June 2011 14:42
To: statalist@hsphsun2.harvard.edu
Subject: st: RE: Valid instrument test for exactly identified regression

Etanbay,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> etanebay@yahoo.com
> Sent: 15 June 2011 11:11
> To: statalist@hsphsun2.harvard.edu
> 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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