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


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: RE: RE: st: Valid instrument test for exactly identified regression
Date   Wed, 15 Jun 2011 18:17:01 +0100

Justina,

Sorry, but I don't think that's so.  All the textbooks say you can't do
it, with proofs.  I am not sure what your proposed check "by hand" is
doing, but it isn't grounded in any statistical/econometric procedure
that I'm aware of.  I don't think you can put any confidence in it
without this, to be honest.

--Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Justina Fischer
> Sent: 15 June 2011 17:55
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: RE: RE: st: Valid instrument test for exactly 
> identified regression
> 
> Hi Mark,
> 
> with one IV only I proposed a way of checking 'by hand' as 
> practioneer - not necessarily methodologically fancy enough 
> to be reported in a paper, but giving some confidence, though.  
> 
> best
> Justina
> 
> 
> 
> 
> -------- Original-Nachricht --------
> > Datum: Wed, 15 Jun 2011 14:32:52 +0100
> > Von: "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
> > An: statalist@hsphsun2.harvard.edu
> > Betreff: 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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> > > > > > 
> > > > > > *
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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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> > > *   http://www.ats.ucla.edu/stat/stata/
> > > 
> > 
> > 
> > --
> > 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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> *   http://www.ats.ucla.edu/stat/stata/
> 


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


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