Bookmark and Share

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: RE: st: Spurious inference from endogeneity tests


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/


© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index