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From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

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

Date |
Wed, 15 Jun 2011 14:10:22 +0100 |

Justina, I don't think the test you proposed makes sense, to be honest. (Maybe you had in mind a test of the exogeneity of the endogenous regressor?) But your conclusion - find a second instrument - is sensible. --Mark > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Justina Fischer > Sent: 15 June 2011 13:56 > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: Valid instrument test for exactly identified > regression > > 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: > > > * 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/ > > > > * > > * 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/ > -- 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/

**Follow-Ups**:**Re: RE: st: Valid instrument test for exactly identified regression***From:*"Justina Fischer" <JAVFischer@gmx.de>

**References**:**st: Valid instrument test for exactly identified regression***From:*etanebay@yahoo.com

**Re: st: Valid instrument test for exactly identified regression***From:*"Justina Fischer" <JAVFischer@gmx.de>

**Re: st: Valid instrument test for exactly identified regression***From:*etanebay@yahoo.com

**Re: st: Valid instrument test for exactly identified regression***From:*"Justina Fischer" <JAVFischer@gmx.de>

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