Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
Re: st: Valid instrument test for exactly identified regression
From
"Justina Fischer" <[email protected]>
To
[email protected]
Subject
Re: st: Valid instrument test for exactly identified regression
Date
Wed, 15 Jun 2011 14:56:26 +0200
so it was significant at the 10% level ? That's no good.
Try to find a second instrument for decent testing (e.g.a quadratic term of your first instrument) .
JF
-------- Original-Nachricht --------
> Datum: Wed, 15 Jun 2011 12:45:23 +0000
> Von: [email protected]
> An: [email protected]
> Betreff: Re: st: Valid instrument test for exactly identified regression
> 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.
>
>
> Sent from my BlackBerry Wireless Handheld
> Powered by Gee! from StarHub
>
> -----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
> > Powered by Gee! from StarHub
> >
> > *
> > * 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/
>
> --
> 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
>
>
> *
> * 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/
>
> *
> * 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/
--
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
*
* 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/