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From |
DE SOUZA Eric <eric.de_souza@coleurope.eu> |

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 20:33:33 +0200 |

Now that you mention it, it could very well be the case. Which really makes it confusing, meaning that two Erics are taking part in the discussion. In any case I have supplied Etanbay with a reference to Stock and Watson's textbook (3rd edition) which contains an updated chapter on instrumental variables with much more place devoted to weak instruments given his contribution to the field. I was looking for an up-to-date presentation of the literature on weak instruments a couple of weeks ago and came acrosss Stock's 2009 Granger Lecture. But that is not for beginners. Eric de Souza College of Europe Brugge (Bruges), Belgium http://www.coleurope.eu -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Schaffer, Mark E Sent: 15 June 2011 20:22 To: statalist@hsphsun2.harvard.edu Subject: RE: RE: st: Valid instrument test for exactly identified regression 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 > > > > > > > > > > > > > > * > > > > > > > * 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/ > > > > > -- > 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/ > -- 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/

**References**:**st: Valid instrument test for exactly identified regression***From:*etanebay@yahoo.com

**Re: st: Valid instrument test for exactly identified regression***From:*"Justina Fischer" <JAVFischer@gmx.de>

**Re: st: Valid instrument test for exactly identified regression***From:*etanebay@yahoo.com

**Re: st: Valid instrument test for exactly identified regression***From:*"Justina Fischer" <JAVFischer@gmx.de>

**RE: st: Valid instrument test for exactly identified regression***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**Re: RE: st: Valid instrument test for exactly identified regression***From:*"Justina Fischer" <JAVFischer@gmx.de>

**RE: RE: st: Valid instrument test for exactly identified regression***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**Re: RE: st: Valid instrument test for exactly identified regression***From:*etanebay@yahoo.com

**RE: RE: st: Valid instrument test for exactly identified regression***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**RE: RE: st: Valid instrument test for exactly identified regression***From:*DE SOUZA Eric <eric.de_souza@coleurope.eu>

**RE: RE: st: Valid instrument test for exactly identified regression***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

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