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Re: st: Valid instrument test for exactly identified regression
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Re: st: Valid instrument test for exactly identified regression
Date
Wed, 15 Jun 2011 12:45:23 +0000
Hi thanks, I've already tried that informally and the IV wasn't significant at 95%. But is there a Hansen J-like test I can do that is more formal?
Thanks.
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-----Original Message-----
From: "Justina Fischer" <[email protected]>
Sender: [email protected]
Date: Wed, 15 Jun 2011 13:34:03
To: <[email protected]>
Reply-To: [email protected]: Re: st: Valid instrument test for exactly identified regression
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: [email protected]
> An: [email protected]
> 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
> Sent from my BlackBerry Wireless Handheld
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--
Justina AV Fischer, PhD
Senior Researcher
Faculty of Economics
University of Mannheim
homepage: http://www.justinaavfischer.de/
e-mail: [email protected]
papers: http://ideas.repec.org/e/pfi55.html
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