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


From   "Justina Fischer" <JAVFischer@gmx.de>
To   statalist@hsphsun2.harvard.edu, statalist@hsphsun2.harvard.edu
Subject   Re: RE: st: Valid instrument test for exactly identified regression
Date   Wed, 15 Jun 2011 15:19:29 +0200

well, validity implies that the exclusion restriction is satisfied. 
At least I learned this in grad school...

Nevertheless, he needs more and better instruments.
JF
-------- Original-Nachricht --------
> Datum: Wed, 15 Jun 2011 14:10:22 +0100
> Von: "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
> An: statalist@hsphsun2.harvard.edu
> Betreff: RE: st: Valid instrument test for exactly identified regression

> 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
> > > > 
> > > > *
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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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> > --
> > 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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> 
> 
> -- 
> Heriot-Watt University is a Scottish charity
> registered under charity number SC000278.
> 
> 
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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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