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RE: st: Valid instrument test for exactly identified regression


From   "Schaffer, Mark E" <[email protected]>
To   <[email protected]>
Subject   RE: st: Valid instrument test for exactly identified regression
Date   Wed, 15 Jun 2011 14:10:22 +0100

Justina,

I don't think the test you proposed makes sense, to be honest.  (Maybe
you had in mind a test of the exogeneity of the endogenous regressor?)
But your conclusion - find a second instrument - is sensible.

--Mark

> -----Original Message-----
> From: [email protected] 
> [mailto:[email protected]] On Behalf Of 
> Justina Fischer
> Sent: 15 June 2011 13:56
> To: [email protected]
> Subject: Re: st: Valid instrument test for exactly identified 
> regression
> 
> 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:
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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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> > 
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> > *   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
> 
> 
> *
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> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
> 


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