Re: st: Valid instrument test for exactly identified regression

["Justina Fischer" <JAVFischer@gmx.de>]

well, going back to your econometric textbook you could test whether the instrument is significant when added to the main regression (exclusion restriction)   - it should not be....

Justina Fischer
-------- Original-Nachricht --------
> Datum: Wed, 15 Jun 2011 10:10:32 +0000
> Von: etanebay@yahoo.com
> An: statalist@hsphsun2.harvard.edu
> Betreff: st: Valid instrument test for exactly identified regression

> Hi all,
> I have a model that is exactly identified, so the xtivreg2 command gives
> me a zero for the Hansen J statistic.
> Can you please advise: how do I test the validity of the IV, that it
> doesn't correlate with the errors in the structural equation?
> I know the IV is relevant from the first stage (1st stage F-test,
> weak-instrument robust inference tests -- all reject null at 99%).
> Thanks!
> E
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-- 
Justina AV Fischer, PhD
Senior Researcher
Faculty of Economics
University of Mannheim

homepage: http://www.justinaavfischer.de/
e-mail: javfischer@gmx.de
papers: http://ideas.repec.org/e/pfi55.html


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