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From |
Mark Schaffer <[email protected]> |

To |
[email protected], Tae Hun Kim <[email protected]> |

Subject |
Re: st: Heteroskedastic robust version of endogeneity test |

Date |
Tue, 01 Mar 2005 17:15:53 +0000 (GMT) |

Tae Hun, Quoting Tae Hun Kim <[email protected]>: > Thank you very much for the help. > > As you suggested, I updated -ivreg2- and got two J > statistics(constrained and unconstrained) > The result is > Hansen J statistic (constrained) : 27.609-> Chi-sq(2) P-val=0.0000 > Hansen J statistic (unconstrained) : 6.618-> Chi-sq(1) > P-val=0.01009 > C statistic : 20.990-> Chi-sq(1) P-val=0.0000 > ==> so, I concluded instruments aren't orthgonal > > But I changed the set of excluded instruments and estimated it > again > The result is > Hansen J statistic (constrained) : 30.141-> Chi-sq(2) P-val=0.0000 > Hansen J statistic (unconstrained) : 1.279-> Chi-sq(1) > P-val=0.25816 > C statistic : 28.862-> Chi-sq(1) P-val=0.0000 > ==> so, it indicates that instruments are orthgonal to the error term > and 'smom' variable is endogenous. > > Could you confirm whether my interpretation is right or not? I think your interpretation is correct. --Mark > Thanks, > T.H Kim > > > > > On Mon, 28 Feb 2005 23:44:21 +0000 (GMT), Mark Schaffer > <[email protected]> wrote: > > Tae Hun, > > > > Quoting Tae Hun Kim <[email protected]>: > > > > > Hello Statalist. > > > I would appreciate some help on the following problem. > > > I want to conduct heteroskedastic robust endogeneity test. > Most > > > previous postings related to endogeneity test assume > conditional > > > homoskedasticity. As long as I know, if error term is > > > heteroskedastic, > > > p-value is wrong. so, we might obtain wrong conclusion. > > > > > > To test endogeneity (heteroskedastic robust version) > > > --------- equation---- > > > . ivreg2 fmom y87 y88 y89 y90 y91 y92 y93 y94 y95 y96 y97 y98 > y99 y00 > > > y01 y02 s87 s88 s89 s90 s91 s92 s93 s94 s95 s96 s97 s98 s99 s00 > s01 > > > s02 smom ( = dgovern dratio ), gmm orthog(smom); > > > **Smom : suspected engogenous variable > > > ----test result--------- > > > Hansen J statistic (Lagrange mulitplier test of excluded > > > instruments): > > > 27.609 > > > Chi-sq(2) P-val = 0.00000 > > > C statistic (exogeneity/orthogonality of specified > instruments): > > > > > > 20.990 > > > Chi-sq(1) P-val = 0.00000 > > > Instruments tested: smom > > > > ------------------------------------------------------------------------------ > > > Instruments: y87 y88 y89 y90 y91 y92 y93 y94 y95 y96 y97 y98 > y99 y00 > > > y01 y02 s87 s88 s89 s90 s91 s92 s93 s94 s95 s96 s97 s98 s99 s00 > s01 > > > s02 smom dgovern dratio > > > > ------------------------------------------------------------------------------ > > > > > > I think the result says 'smom' is endogenous(C-ststistic:20.990) > and > > > two excluded instruments are not orthogonal to the error > term(Hansen J > > > statistic :27.609) > > > Q1. My code and My interpretation are right? > > > > Mostly yes. I think you should update your version of -ivreg2-, > because the > > latest version will display the J statistics for both the > constrained (smom > > exogenous) and unconstrained (smom endogenous) specifications. > You'll > > probably find that both have J statistics that suggest that the > > orthogonality conditions aren't met (one will be 27.609 and the > other will > > be about 7). This implies that the C-statistic doesn't mean much, > because > > you are comparing two misspecified equations. But see below. > > > > > But I just tried to test overidentification as the following > > > equation > > > ivreg2 fmom y87 y88 y89 y90 y91 y92 y93 y94 y95 y96 y97 y98 y99 > y00 > > > y01 y02 s87 s88 s89 s90 s91 s92 s93 s94 s95 s96 s97 s98 s99 > s00 s01 > > > s02 (smom=dgovern dratio), gmm; > > > ----------test result------------ > > > Hansen J statistic (overidentification test of all > instruments): > > > > > > 3.633 > > > Chi-sq(1) P-val = 0.05665 > > > > ------------------------------------------------------------------------------ > > > Instrumented: smom > > > Instruments: y87 y88 y89 y90 y91 y92 y93 y94 y95 y96 y97 y98 > y99 y00 > > > y01 y02 s87 s88 s89 s90 s91 s92 s93 s94 s95 s96 s97 s98 s99 s00 > s01 > > > s02 dgovern dratio > > > > ------------------------------------------------------------------------------ > > > > > > the result indicates that instruments are orthogonal under 5% > > > significance level > > > > > > Q2 : why two results are different? Did i miss something? > > > > This one is equivalent to the unconstrained version mentioned > above (smom > > endogenous). The difference is, I think, because the first > version uses an > > estimate of the covariance matrix of orthogonality conditions > that > > guarantees a positive C statistic, which is different from the one > used > > here. In my experience, the difference is usually small, but > yours is a bit > > larger than usual. > > > > That said, the conclusions don't differ that much - a p-value of > 6% is > > basically just as much a concern as a p-value of 5%! > > > > Hope this helps. > > > > Mark > > > > > Thanks in advance, > > > > > > T.H Kim > > > * > > > * For searches and help try: > > > * http://www.stata.com/support/faqs/res/findit.html > > > * http://www.stata.com/support/statalist/faq > > > * http://www.ats.ucla.edu/stat/stata/ > > > > > > > Prof. Mark Schaffer > > Director, CERT > > Department of Economics > > School of Management & Languages > > Heriot-Watt University, Edinburgh EH14 4AS > > tel +44-131-451-3494 / fax +44-131-451-3294 > > email: [email protected] > > web: http://www.sml.hw.ac.uk/ecomes > > > > > ------------------------------------------------------------------- > > DISCLAIMER > > > > This message is subject to http://www.hw.ac.uk/disclaim.htm > > > > > ------------------------------------------------------------------- > > > > * > > * For searches and help try: > > * http://www.stata.com/support/faqs/res/findit.html > > * http://www.stata.com/support/statalist/faq > > * http://www.ats.ucla.edu/stat/stata/ > > > * > * For searches and help try: > * http://www.stata.com/support/faqs/res/findit.html > * http://www.stata.com/support/statalist/faq > * http://www.ats.ucla.edu/stat/stata/ > Prof. Mark Schaffer Director, CERT Department of Economics School of Management & Languages Heriot-Watt University, Edinburgh EH14 4AS tel +44-131-451-3494 / fax +44-131-451-3294 email: [email protected] web: http://www.sml.hw.ac.uk/ecomes ------------------------------------------------------------------- DISCLAIMER This message is subject to http://www.hw.ac.uk/disclaim.htm ------------------------------------------------------------------- * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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**References**:**Re: st: Heteroskedastic robust version of endogeneity test***From:*Tae Hun Kim <[email protected]>

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