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Re: RE: st: Valid instrument test for exactly identified regression
From
"Justina Fischer" <[email protected]>
To
[email protected], [email protected]
Subject
Re: RE: st: Valid instrument test for exactly identified regression
Date
Wed, 15 Jun 2011 15:19:29 +0200
well, validity implies that the exclusion restriction is satisfied.
At least I learned this in grad school...
Nevertheless, he needs more and better instruments.
JF
-------- Original-Nachricht --------
> Datum: Wed, 15 Jun 2011 14:10:22 +0100
> Von: "Schaffer, Mark E" <[email protected]>
> An: [email protected]
> Betreff: RE: st: Valid instrument test for exactly identified regression
> 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
> > >
> > >
> > > *
> > > * 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
> >
> >
> > *
> > * For searches and help try:
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> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
> >
>
>
> --
> Heriot-Watt University is a Scottish charity
> registered under charity number SC000278.
>
>
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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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* http://www.ats.ucla.edu/stat/stata/