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From |
"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: RE: ivreg2 questions |

Date |
Mon, 19 Mar 2012 23:29:57 -0000 |

Rob, > -----Original Message----- > From: owner-statalist@hsphsun2.harvard.edu > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of > Robert Davidson > Sent: 19 March 2012 23:25 > To: statalist@hsphsun2.harvard.edu > Subject: Re: st: RE: ivreg2 questions > > Thank you for the response. > > I was looking at the Cragg Wald F-statistic, testing if the > equation is weakly identified, and I did check the > correlation with of the endogenous regressor and the > instrument. I had always read that the correlation generally > needs to be high between the endogenous regressor and the > instrument in order for it to be a good instrument. > Is it just that the partial correlation between the two > should be high? Yes, exactly. --Mark > > Thank you, > Rob > > On Mon, Mar 19, 2012 at 6:53 PM, Schaffer, Mark E > <M.E.Schaffer@hw.ac.uk> wrote: > > Rob, > > > >> -----Original Message----- > >> From: owner-statalist@hsphsun2.harvard.edu > >> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Robert > >> Davidson > >> Sent: 19 March 2012 21:38 > >> To: statalist@hsphsun2.harvard.edu > >> Subject: st: ivreg2 questions > >> > >> Dear Statalist, > >> > >> I am using ivreg2 (3.1.03) authors cfb & mes and have a > few questions. > >> > >> My model is X = A + B + C (1) > >> The endogenous regressor, C, is binary, and I am using 1 > continuous > >> instrument (D) for C. > >> > >> Q1) does this version of ivreg2 not produce the Stock-Yogo > relative > >> bias values? My output only include the size values. > > > > It does. However, the maximal IV relative bias test > requires that the estimation be sufficiently overidentified > (the reason is that the IV estimator has moments only up to > the degree of overidentification). You've got an > exactly-identified model, so the relative bias test isn't > well defined. > > > >> Q2) I have had a difficult time finding valid instruments > for C. I > >> have tried several that had reasonably high and significant > >> correlations with C and no significant correlation with the error > >> term from equation (1), but my f-stats were often around 7 or 8 > >> (reasonably weak instruments). Then, I tried another > variable that > >> was not highly correlated with C and the f-stat was about > 25 and the > >> results were similar to the main estimation. Is it common that a > >> variable that does not seem strongly associated with the > endogenous > >> regressor can serve as such a strong instrument or am I doing > >> something wrong? > > > > This might just be a misunderstanding. The F stat is a > kind of measure of partial correlation, i.e., with the > exogenous covariates partialled out. Perhaps when you were > checking the correlations of the IVs with C, you were looking > at correlations instead of partial correlations? > > > > HTH, > > Mark > > > >> I know I cannot > >> test for exogeneity, but this new variable does not seem > correlated > >>with the error term from equation (1). > >> > >> I apologize that this may have been sent twice. > >> > >> Thank you, > >> Rob > >> > >> * > >> * 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 the Sunday Times Scottish > University of the > > Year 2011-2012 > > > > We invite research leaders and ambitious early career > researchers to > > join us in leading and driving research in key inter-disciplinary > > themes. Please see > > > > http://www.hw.ac.uk/researchleaders > > > > for further information and how to apply. > > > > 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 the Sunday Times Scottish University of the Year 2011-2012 We invite research leaders and ambitious early career researchers to join us in leading and driving research in key inter-disciplinary themes. Please see http://www.hw.ac.uk/researchleaders for further information and how to apply. 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/

**Follow-Ups**:**Re: st: RE: ivreg2 questions***From:*Robert Davidson <rhd773@gmail.com>

**References**:**st: ivreg2 questions***From:*Robert Davidson <rhd773@gmail.com>

**st: RE: ivreg2 questions***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

**Re: st: RE: ivreg2 questions***From:*Robert Davidson <rhd773@gmail.com>

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