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]

RE: 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   RE: st: RE: Testing for instrument relevance and overidentification when the endogeneous variable is used in interaction terms
Date   Mon, 10 Jun 2013 18:59:44 +0000

Jason,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of Jason Wichert
> Sent: 10 June 2013 19:29
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: RE: Testing for instrument relevance and overidentification
> when the endogeneous variable is used in interaction terms
> 
> Mark,
> 
> Again, thanks much. Admittedly, I feel like I’m losing track of what is what
> myself, especially after finding two papers of prolific authors in my field
> dealing with a similar problem of endogenous interaction terms. Both papers
> seem to choose close relatives of the approaches we discussed, but with minor
> tweaks I’m still trying to make sense of. However, which is rather comforting to
> me, while one doesn’t report weak- or underidentification F-stats for the
> extended case with multiple endogenous interaction as well, the other paper
> also shows a sharp decline in F-stats from a “base case” that includes only one
> endogenous variable, to an extended case in which the endogenous variable is
> also included in interaction terms.
> 
> I’m currently working on summarizing everything discussed so far with what I
> believe to be potential pitfalls or issues of concern, so I’ll be back with a longer
> post maybe tomorrow or so.
> 
> On a different note, in an empirically unrelated paper I found a comment
> mentioning the OLS bias to be reduced when the endogenous variable is
> included in an interaction term with a continuous exogenous variable (as in my
> case). Unfortunately, the author cited an unpublished working paper on 2SLS as
> source for this comment, and I haven’t been able to get a hold of the working
> paper or its author, yet. Would you – or anybody else following this discussion
> and willing to chime in – by any chance know of any proof/literature regarding
> this statement or provide some intuition or anecdotal evidence?

Doesn't ring any bells for me (and seems implausible but that's just a first impression).

--Mark

> 
> Kind regards,
> 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