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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 14:56:26 +0200

so it  was significant at the 10% level ? That's no good.
Try to find a second instrument for decent testing (e.g.a quadratic term of your first instrument) .
JF

-------- Original-Nachricht --------
> Datum: Wed, 15 Jun 2011 12:45:23 +0000
> Von: etanebay@yahoo.com
> An: statalist@hsphsun2.harvard.edu
> Betreff: Re: st: Valid instrument test for exactly identified regression

> Hi thanks, I've already tried that informally and the IV wasn't
> significant at 95%. But is there a Hansen J-like test I can do that is more formal?
> Thanks. 
> 
> 
> Sent from my BlackBerry Wireless Handheld 
> Powered by Gee! from StarHub
> 
> -----Original Message-----
> From: "Justina Fischer" <JAVFischer@gmx.de>
> Sender: owner-statalist@hsphsun2.harvard.edu
> Date: Wed, 15 Jun 2011 13:34:03 
> To: <statalist@hsphsun2.harvard.edu>
> Reply-To: statalist@hsphsun2.harvard.eduSubject: Re: st: Valid instrument
> test for exactly identified regression
> 
> 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:
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> > *   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
> 
> 
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-- 
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


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