Bookmark and Share

Notice: On March 31, it was announced that Statalist is moving from an email list to a forum. The old list will shut down at the end of May, and its replacement, statalist.org is already up and running.


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: RE: Testing for instrument relevance and overidentification when the endogeneous variable is used in interaction terms


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Testing for instrument relevance and overidentification when the endogeneous variable is used in interaction terms
Date   Fri, 31 May 2013 18:30:17 +0000

Jason,

I think the key point is that in your estimation

ivreg2 y ex (en en_ex = z ex_z)

just looking at the two standard first-stage F stats isn't enough.  You can easily get 2 large first-stage F stats, and yet the model is underidentified because there isn't enough information in your instruments to simultaneously identify the coeffs on both your endogenous regressors.

To see if both coeffs are identified, you should use either the weak- or the under-identification statistic reported by ivreg2.  You can also use the Angrist-Pischke (A-P) first-stage F stats to see whether one or the other coeffs is identified.  More details about these in the ivreg2 help file and the references therein.

HTH,
Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of Jason Wichert
> Sent: 29 May 2013 21:18
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Testing for instrument relevance and overidentification when the
> endogeneous variable is used in interaction terms
> 
> Dear Statalisters,
> 
> I have encountered some difficulties concerning 2SLS estimation when the
> endogeneous variable is also used to construct interaction terms.
> 
> After digging through the archives, I found a lot of helpful comments
> concerning the procedure:
> 
> http://www.stata.com/statalist/archive/2012-05/msg00970.html
> http://www.stata.com/statalist/archive/2011-08/msg01485.html
> http://www.stata.com/statalist/archive/2011-12/msg00705.html
> http://www.stata.com/statalist/archive/2010-04/msg00759.html
> http://www.stata.com/statalist/archive/2005-05/msg00150.html
> http://www.stata.com/statalist/archive/2008-10/msg01009.html
> http://www.stata.com/statalist/archive/2004-08/msg00779.html
> 
> Following this advice, I am running an equation of the basic form
> 
> ivreg2 y ex (en en_ex = z ex_z)
> 
> In my case, there are two exogeneous variables interacted with the
> endogeneous variable. Furthermore, I need interactions of those squared
> exogeneous variables and the endogeneous variables. Leaving additional
> control variables and further instruments aside, this already leads to the
> following simplified regression:
> 
> ivreg2 y ex1 ex2 (en ex1_en ex2_en (ex1)^2_en (ex2)^2_en = z ex1_z ex2_z
> (ex1)^2_z (ex2)^2_z)
> 
> So far, so good. However, I’m not sure as to how exactly examine instrument
> relevance and exogeneity, and which statistics/tests to report.
> 
> As regards instrument relevance, as to be assessed by the first stage F
> statistic, the F-statistics on “en” clearly differ depending on whether I
> instrument solely for “en”, or whether I also instrument for the linear and
> non-linear interaction terms built around “en”. Which F statistic is the correct
> one to refer to?
> 
> Considering I have multiple instruments Z, I am also not sure which
> overidentification tests and results I should rely on and report.  As holds for
> the F statistics, the tests of overidentifying restrictions (Sargan N*R-sq test as
> well as Basmann test) provided by both ivreg2 and overid differ between
> instrumenting solely “en” or also for the interaction terms build around “en”.
> 
> Any help is greatly appreciated!
> Jason
> 
> *
> *   For searches and help try:
> *   http://www.stata.com/help.cgi?search
> *   http://www.stata.com/support/faqs/resources/statalist-faq/
> *   http://www.ats.ucla.edu/stat/stata/


----- 
Sunday Times Scottish University of the Year 2011-2013
Top in the UK for student experience
Fourth university in the UK and top in Scotland (National Student Survey 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 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/faqs/resources/statalist-faq/
*   http://www.ats.ucla.edu/stat/stata/


© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   Site index