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From |
Maarten buis <maartenbuis@yahoo.co.uk> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: AKAIKE formula |

Date |
Tue, 13 Apr 2010 10:29:51 +0000 (GMT) |

--- On Tue, 13/4/10, Paulo Regis wrote: > Lets say it is an F-test, where one of the "q" > restrictions is the coefficient of the lag of the dependent > variable. In my example, I showed the case where q=1. > H0: c = 0 . > > More general for an F-statistic, since you have the lag of > the dependent variable, there is endogeneity (you can use > lags of the indep variables as instruments). Therefore, you > can think of a Wald test where: > a) you use OLS for the restricted model. > b) you should use IV for the unrestricted model. > > Alternatively, I could check which of the two models > minimize akaike. > How inappropriate is that? I am guessing you mean the following: - you have model where you believe that you need to use an IV estimator because you added a laged dependent variable as a predictor. - You have a second model that did not include the laged dependent variable, so you concluded that you did not have to use an IV estimator Both models contain a variable x You are interested in the hypothesis that the effect of x is equal in both models. Sounds a bit similar to a setup for a Hausman test, so maybe you can look into that literature to see if that can give you some inspiration on how to takle your problem. Maybe somebody else on the list has a bright idea? -- Maarten -------------------------- Maarten L. Buis Institut fuer Soziologie Universitaet Tuebingen Wilhelmstrasse 36 72074 Tuebingen Germany http://www.maartenbuis.nl -------------------------- * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**Re: st: AKAIKE formula***From:*Paulo Regis <pauloregis.ar@googlemail.com>

**References**:**Re: st: AKAIKE formula***From:*Paulo Regis <pauloregis.ar@googlemail.com>

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