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st: RE: _rivtest_ for waek intruments
Filipa,
To answer your question - no, that's not how the methods implemented by -rivtest- work. This approach eschews point estimation entirely in favour of reporting confidence intervals. You'll see that in your example below, you have 95% confidence intervals for the coefficient on your variable of interest (hasmigr_US).
--Mark
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Filipa de Castro
> Sent: Friday, October 30, 2009 1:59 PM
> To: [email protected]
> Subject: st: _rivtest_ for waek intruments
>
> Dear all,
>
> Following Mark Schaeffer´s suggestion I am estimating an instrument
> regression with weak instruments using
> ivreg2, and using the post-estimation programme (rivtest). My output
> after running rivtest is like this:
>
> ************
> xi: ivreg2 goschool edad indchild oldest child45 child6 lowsixfam
> edumam1 edumam2 edumam35 edumam68 edumam912 mommarried madrejefefam
> ownhome survfam madremigfam smalltown divorcesep agricolaheadspouse
> ctapropheadspouse oladummy i.iden (hasmigr_US= instrpi* instrac2*) if
> sex==1 & edad_10_13==1
>
> rivtest, ci
>
> Weak instrument robust tests and confidence sets for linear IV
> H0: beta[goschool:hasmigr_US] = 0
>
>
> Test Statistic p-value
> 95%
> Confidence Set
>
> CLR stat(.) = 64.31 Prob > stat = 0.0000
> [-1.75073,-.539857]
> AR chi2(32) = 139.39 Prob > chi2 = 0.0000
> [-2.548374,-.2742049]
> LM chi2(1) = 39.41 Prob > chi2 =0.0000
> [-1.761058,-.5351977] U [ 1.438614, 2.739162]
> J chi2(31) = 99.98 Prob > chi2 = 0.0000
>
> LM-J H0 rejected at 5% level
>
> Wald chi2(1) = 32.29 Prob > chi2 = 0.0000
> [-.863005,-.420344]
>
> Note: Wald test not robust to weak instruments. LM-J
> confidence set
> not available with closed-form estimation (use usegrid option).
> ************
>
> I wonder if you could help with the following question:
> I see that _rivtest_ does an hypothesis test in which Ho means that
> the endogenous variable coefficient is zero. In this particular case
> the coefficient of the endogenous variable is statistically different
> from zero. Considering that estimation with weak instruments could
> lead to biased estimates, is there a way to find the real level of the
> coefficient of the endogenous variable?
>
> Many thanks
> Filipa de Castro
>
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>
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