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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: st: Valid instrument test for exactly identified regression
Date   Wed, 15 Jun 2011 19:22:10 +0100

Whoops.  Sorry, Eric.  I thought the "e" in Etanbay was for "Eric".  My
apologies!!

--Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of DE 
> SOUZA Eric
> Sent: 15 June 2011 18:29
> To: statalist@hsphsun2.harvard.edu
> Subject: RE: RE: st: Valid instrument test for exactly 
> identified regression
> 
> Mark,
> 
> You're getting mixed up concerning who said what. It was 
> Etanbay who wrote that.  At the end of Etanbay's message was 
> Thanks - Eric, which is what got you confused.
> 
> 
> Eric
> 
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Schaffer, Mark E
> Sent: 15 June 2011 19:20
> To: statalist@hsphsun2.harvard.edu
> Subject: RE: RE: st: Valid instrument test for exactly 
> identified regression
> 
> Eric,
> 
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu
> > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> > etanebay@yahoo.com
> > Sent: 15 June 2011 16:42
> > To: statalist@hsphsun2.harvard.edu
> > Subject: 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).
> 
> It's not that no one bothers.
> 
> It's because it's IMPOSSIBLE.
> 
> I briefly explained why in my earlier email, but if you want 
> a formal proof, you can find such in many respectable textbooks.
> 
> I'm on the road and my textbooks aren't within reach ... 
> maybe someone else on the list can provide some references and quotes?
> 
> --Mark
> 
> > 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
> > > > > > > 
> > > > > > > *
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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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> > > > > > 
> > > > > > *
> > > > > > *   For searches and help try:
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> > > > > > *   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
> > > > > 
> > > > > 
> > > > > *
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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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> > 
> 
> 
> --
> Heriot-Watt University is a Scottish charity registered under 
> charity number SC000278.
> 
> 
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> 


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


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