Rodrigo,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Rodrigo A. Alfaro
> Sent: 28 August 2006 16:07
> To: [email protected]
> Subject: st: Re: diagnostics for the treatreg procedure
>
> Hi Mark,
>
> Interesting conversation. I have a question about the procedure.
> It seems to me that Yang wants to do ML instead of two-step IV.
> Why he wants that? The two-step IV does not require that
> probit should be corretly specified in compare with ML. In
> other words, he could solve the problem via-ML with a logit!!
>
> Rodrigo.
In fact, Yang wanted to do 2-step treatreg because he was following the
method used by an earlier paper. But the ML overid test is easier to
do.
When you say "two-step IV", do you mean the same thing as two-step
treatreg? Two-step treatreg uses the assumption of normality in the
probit eqn (just like heckman).
I couldn't see an easy way to do the overid test for two-step treatreg
that doesn't change the nature of the treatreg model. Simple (two-step)
IV would generate an overid statistic, but that drops the normality
assumption in the treatment equation, which is an identifying
restriction.
Cheers,
Mark
>
> ----- Original Message -----
> From: "Schaffer, Mark E" <[email protected]>
> To: <[email protected]>
> Sent: Sunday, August 27, 2006 8:40 PM
> Subject: st: diagnostics for the treatreg procedure
>
>
> Dear Statalisters:
>
> I had the following off-list conversation about how to generate an
> overid stat for a treatreg estimation. It occurred to me
> that it might
> be of general interest, so I'm posting it here.
>
> Both I and my correspondent would be very interested in any comments
> other Statalisters might have.
>
> Cheers,
> Mark
>
> >>>>-----Original Message-----
> >>>>From: Yang Lu [mailto:[email protected]]
> >>>>Sent: 26 August 2006 02:52
> >>>>To: Schaffer, Mark E
> >>>>Subject: diagnostics for the treatreg procedure
> >>>>
> >>>>Hi, Mark,
> >>>>
> >>>>I saw your post on STATA list about the
> overidentification test for
> >>>>treatreg regression. You mentioned you had programmed one. I am
> >>>>wondering whether you could kindly share it with me, when
> you fell
> >>>>comfortable. Thanks a lot.
> >>>>
> >>>>cheers,
> >>>>yang
>
> >>Schaffer, Mark E wrote:
> >>
> >>>Yang,
> >>>
> >>>If I'm not mistaken, the overid test for treatreg is
> actually pretty
> >>>easy to do by hand for the ML version. The trick is to do
> an LR test
> >>>of the overidentifed treatreg system of interest vs. a
> just-identified
> >>>version.
> >>>
> >>>Using the example from the manual, say you estimate
> >>>
> >>>treatreg ww wa cit, treat(wc=wmed wfed)
> >>>
> >>>There's one endogenous variable in the outcome equation, and 4
> exclusion
> >>>restrictions: wa and cit don't appear in the treatment
> eqn, and wmed
> >>>and wfed don't appear in the outcome equation. There's
> also one more
> >>>identifying restriction, namely normality in the treatment (probit)
> eqn.
> >>>To get a test of your 4 overidentifying/exclusion
> restrictions, just
> do
> >>>an LR test of the above vs. a just-identified system with no
> exclusion
> >>>restrictions. The single identifying restriction is
> normality. Thus
> >>>
> >>>use http://www.stata-press.com/data/r9/labor.dta, replace
> >>>gen wc=(we>12)
> >>>
> >>>treatreg ww wa cit, treat(wc=wmed wfed) est store troverid
> >>>
> >>>treatreg ww wa cit wmed wfed, treat(wc=wmed wfed wa cit) est store
> >>>trjustid
> >>>
> >>>lrtest troverid trjustid, df(4)
> >>>
> >>>will give you an overid test for this example.
> >>>
> >>>Cheers,
> >>>Mark
>
> >>Hi, Mark,
> >>
> >>Thanks a lot for your reply. I really appreciate it. My question is
> >>slightly different from the one you just mentioned. In the
> treatment
> >>model, I have one endogenous variable and 3 instrument
> variables. I am
>
> >>trying to do the Sargan type overidentification test to show the
> >>validity of the instruments. My model is as follows:
> >>
> >>treatreg y x1 x2 x3, treat(dummy=iv1 iv2 iv3 x1 x2 x3)
> >>
> >>Notice that I have already included x1 x2 x3 in my
> selection model. So
>
> >>in this case, I do test as follows:
> >>
> >>treatreg y x1 x2 x3, treat(dummy=iv1 iv2 iv3 x1 x2 x3) est store
> >>troverid
> >>
> >>treatreg y iv1 iv2 iv3 x1 x2 x3, treat(dummy=iv1 iv2 iv3 x1
> x2 x3) est
>
> >>store trjustid
> >>
> >>lrtest troverid trjustid, df(2)
> >>
> >>Is this the correct test to show the validity of
> instruments, like the
>
> >>Sargan test? Thanks a lot.
> >>
> >>cheers,
> >>yang
>
> Schaffer, Mark E wrote:
>
> >Hi Yang. You are doing ML estimation of a system, so the
> term "Sargan
> >test" is probably inappropriate - Sargan developed his
> statistic in the
>
> >context of IV/2SLS estimation. The corresponding ML test for single
> >eqn estimation is the Anderson-Rubin statistic for LIML. I
> don't think
>
> >the ML statistic for a system has a name per se. But all
> these tests
> >are basically the same thing.
> >
> >In the example I sent you, there were 5 identifying
> restrictions - two
> >exclusions from each eqn, plus the normality assumption. The test I
> >sent was a test of the 4 overidentifying restrictions in the system,
> >the normality assumption being maintained. The test has 4 dofs since
> 5-1=4.
> >
> >Your example is a special case, since you have exclusions
> from only the
>
> >outcome equation. You have 4 identifying restrictions: the 3
> >exclusions plus the 1 normality assumption. The test in
> your example
> >is done correctly, except that there should be 4-1=3 dofs.
> >
> >Can I share this with Statalist? I should have replied to the list
> >with your first email. It's the kind of thing that is of general
> >interest, plus if I've made a mistake, someone may spot it.
> >
> >Cheers,
> >Mark
> >
> >Prof. Mark Schaffer
> >Director, CERT
> >Department of Economics
> >School of Management & Languages
> >Heriot-Watt University, Edinburgh EH14 4AS tel
> +44-131-451-3494 / fax
> >+44-131-451-3296
> >email: [email protected]
> >web: http://www.sml.hw.ac.uk/ecomes
>
>
>
> *
> * 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/
>
>
*
* 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/
