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From |
"Justina Fischer" <JAVFischer@gmx.de> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: RE: st: Spurious inference from endogeneity tests |

Date |
Wed, 18 Jan 2012 00:44:33 +0100 |

wow. I am deeply impressed :-) Let us hope the authors provide user-written Stata commands soon.... justina -------- Original-Nachricht -------- > Datum: Tue, 17 Jan 2012 18:41:27 -0500 > Von: Cameron McIntosh <cnm100@hotmail.com> > An: STATA LIST <statalist@hsphsun2.harvard.edu> > Betreff: RE: st: Spurious inference from endogeneity tests > The following papers will also be helpful: > Murray, M.P. (2006). Avoiding Invalid Instruments and Coping with Weak > Instruments. Journal of Economic Perspectives, 20(4), > 111-132.http://www.eui.eu/Personal/Guiso/Courses/Econometrics/Murray_IV_jep_06.pdf > > Chao, J.C., & Swanson, N.R. (2005). Consistent estimation with a large > number of weak instruments. Econometrica, 73(5), > 1673–1692.http://gemini.econ.umd.edu/jrust/econ623/files/chao_swanson_econometrica.pdf > > Nevo, A., & Rosen, A.M. (2010). Identification with Imperfect Instruments. > The Review of Economics and Statistics, Accepted for publication. > > Kolesár, M., Chetty, R., Friedman, J.N., Glaeser, E.L., & Imbens, G.W. > (October 2011). Identification and Inference with Many Invalid Instruments. > NBER Working Paper No. 17519. http://www.nber.org/papers/w17519 > > Cam > > Date: Wed, 18 Jan 2012 00:06:34 +0100 > > From: JAVFischer@gmx.de > > Subject: Re: st: Spurious inference from endogeneity tests > > To: statalist@hsphsun2.harvard.edu > > > > Hi Andreas > > > > for judging whether instruments are weak or not I would as first step > look into the first stage regression results, look at the Shea R2, the F-test > on the instruments, the single estimates....that tells you already a lot. > Maybe use ivreg2. > > > > Maybe you have only one weak instrument in a set of instruments you > should exclude (so the set is then strong, even though one single weak > instrument may bias your results) > > > > Best > > > > Justina > > > > > > -------- Original-Nachricht -------- > > > Datum: Tue, 17 Jan 2012 22:12:36 +0100 > > > Von: andreas.zweifel@uzh.ch > > > An: statalist@hsphsun2.harvard.edu > > > Betreff: st: Spurious inference from endogeneity tests > > > > > Dear Statausers, > > > > > > I am concerned with an endogeneity problem in my sample of 126 firms > when > > > investigating the relationship between managerial disclosure and cost > of > > > capital effects. After running the ivreg28 command, the Cragg-Donald > test > > > F-statistic is 2.27, which indicates that my instruments are rather > weak. > > > However, my model appears to be correctly identified, because the > Anderson test > > > statistic for the first stage equation yields a p-value lower than > 0.01 > > > and the Sargan test statistic is insignificant (p-value = 0.59). Since > my > > > instruments have passed the overidentification test, I run the ivendog > command > > > which is equivalent to a Hausman test. Again, the test statistic is > > > insignificant (p-value = 0.48). > > > > > > If I compare OLS and 2SLS, I find that only the former yields a > > > significant coefficient of managerial disclosure in the model > regressing cost of > > > capital on managerial disclosure. Considering the specification tests > above, it > > > seems unlikely that 2SLS is an improvement over OLS. Thus I assume > that I > > > can take the OLS estimates for causal inference. Is this correct? If > yes, > > > the point why I should not use 2SLS is likely due to the weakness of > the > > > instruments and the small-sample bias. So I have to conclude from my > > > specification tests that my coefficient estimates from both OLS and > 2SLS cannot be > > > interpreted because 2SLS does not succeed in resolving the endogeneity > > > problem? > > > > > > Your answers will be highly appreciated. > > > > > > Thanks, Andreas > > > * > > > * 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 > > COFIT Fellow > > World Trade Institute > > University of Bern > > > > homepage: http://www.justinaavfischer.de/ > > e-mail: javfischer@gmx.de. justina.fischer@wti.org > > 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 COFIT Fellow World Trade Institute University of Bern homepage: http://www.justinaavfischer.de/ e-mail: javfischer@gmx.de. justina.fischer@wti.org 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/

**Follow-Ups**:**Antwort: Re: RE: st: Spurious inference from endogeneity tests***From:*andreas.zweifel@uzh.ch

**Re: RE: st: Spurious inference from endogeneity tests***From:*Austin Nichols <austinnichols@gmail.com>

**References**:**st: Spurious inference from endogeneity tests***From:*andreas.zweifel@uzh.ch

**Re: st: Spurious inference from endogeneity tests***From:*"Justina Fischer" <JAVFischer@gmx.de>

**RE: st: Spurious inference from endogeneity tests***From:*Cameron McIntosh <cnm100@hotmail.com>

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