Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

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


From   "Justina Fischer" <JAVFischer@gmx.de>
To   statalist@hsphsun2.harvard.edu
Subject   Re: RE: st: Valid instrument test for exactly identified regression
Date   Wed, 15 Jun 2011 18:06:24 +0200

Hi 

I am talking to you as practioneer now :-)

checking whether the error terms are correlated is another way of testing whether the instrument is an omitted variable in the main regression. So both tests 'by hand' suggest this is not the case - thus your IV is a valid instrument.

best
Justina


-------- Original-Nachricht --------
> Datum: Wed, 15 Jun 2011 15:41:56 +0000
> Von: etanebay@yahoo.com
> An: statalist@hsphsun2.harvard.edu
> Betreff: Re: RE: st: Valid instrument test for exactly identified regression

> 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
> 
> 
> 
> 
> 
> Sent from my BlackBerry Wireless Handheld 
> 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
> > > > > > 
> > > > > > *
> > > > > > *   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/
> > 
> > --
> > 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/
> 
> *
> *   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/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index