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


From   etanebay@yahoo.com
To   statalist@hsphsun2.harvard.edu
Subject   Re: RE: st: Valid instrument test for exactly identified regression
Date   Wed, 15 Jun 2011 15:41:56 +0000

Hi, thanks for the discussion. 

I understand Hansen J cannot be used, since I have 1 IV for 1 endog. 

However, even though more IVs are good, for now I need to show that my single IV is valid.  (I checked numerous published papers with exact id, but no one seems to bother showing their one IV is valid). 
So I need to show that the IV doesn't corr with the u_it from 2nd stage. 

I have done what Justina said, which to me made intuitive sense in checking if IV corr with u_it. The coefficient is not sig at 90%. 

I then did the direct thing, by predicting the u_it (using steps from this board) and then pwcorr u_it and IV. The 2 are not correlated. I'm not an econometrician (obviously!), so was wondering if you all think these steps are problematic, now that there isn't a direct test I can do. 

Thanks - Eric





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Powered by Gee! from StarHub

-----Original Message-----
From: "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
Sender: owner-statalist@hsphsun2.harvard.edu
Date: Wed, 15 Jun 2011 14:32:52 
To: <statalist@hsphsun2.harvard.edu>
Reply-To: statalist@hsphsun2.harvard.eduSubject: RE: RE: st: Valid instrument test for exactly identified regression

Justina,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Justina Fischer
> Sent: 15 June 2011 14:19
> To: statalist@hsphsun2.harvard.edu; statalist@hsphsun2.harvard.edu
> Subject: Re: RE: st: Valid instrument test for exactly 
> identified regression
> 
> well, validity implies that the exclusion restriction is satisfied. 
> At least I learned this in grad school...

True.  But it's not testable if the equation is just-identified.  You
only have degrees of freedom available for testing if it's
overidentified (hence the name of the test - Eric's point).

> Nevertheless, he needs more and better instruments.

Indeed!

--Mark

> 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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> 


-- 
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registered under charity number SC000278.


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