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


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:
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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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> > > > > > 
> > > > > > *
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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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> > 
> 
> 
> --
> 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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