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Re: st: RE: Hansen's overidentification test interpretation in xtivreg2


From   Ari Dothan <ari.dothan@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: Hansen's overidentification test interpretation in xtivreg2
Date   Wed, 23 Feb 2011 13:19:12 +0200

Thanks Eric, I had some issues, your answer is clear

On 2/23/11, DE SOUZA Eric <eric.de_souza@coleurope.eu> wrote:
> The statistic is 3.569 and its p-value is of 0.3119 !
> Therefore, the null is not rejected
> The null is that J =0, that the overidentification restrictions are valid.
>
>
> Eric de Souza
> College of Europe
> Brugge (Bruges), Belgium
> http://www.coleurope.eu
>
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Ari Dothan
> Sent: 23 February 2011 08:52
> To: statalist
> Subject: st: Hansen's overidentification test interpretation in xtivreg2
>
> Hi all, Professor Baum,
>
> I am trying to understand whether the J-stat should be large or small.
> There is some information which appears to be contradictory:
>
> 1. From the help screen: " The joint null hypothesis is that the instruments
> are valid instruments, i.e., uncorrelated with the error term, and that the
> excluded instruments are correctly excluded from the estimated equation".
> Therefore, a SMALL  J-stat will indicate that instruments are valid.
>
> However, in the 2007 guidebook by Baum, Scahffer & Stillman, a Hansen
> statistic of 0.3119 is presented on page 11. The explanatory text is:
> "the statistic is now far from the rejection of its null, giving us the
> confidence that our instrument set is appropriate"
>
> I would much appreciate an explanation of why are the instruments
> "appropriate" when they are not valid.
>
> Thanking you
>
> --
> Ari Dothan
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-- 
Ari Dothan
*
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