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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 18:12:41 +0100 |

Hi user-written command rivtest provides robust-to-weak-instruments test statistics - what you might need here (of course it is always better to search for stronger instruments in first place). See also the accompanying paper: http://econ.tulane.edu/RePEc/pdf/tul0901.pdf -------- Original-Nachricht -------- > Datum: Wed, 18 Jan 2012 10:36:55 -0500 > Von: Austin Nichols <austinnichols@gmail.com> > An: statalist@hsphsun2.harvard.edu > Betreff: Re: RE: st: Spurious inference from endogeneity tests > In re > the poster's central question: > "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?" > I would answer yes. Without better instruments, you have learned > nothing from 2SLS, including whether OLS is biased or not. The overID > test is no good if you don't have strong instruments, since its > failure to reject the overID restrictions could be due merely to the > weakness of your excluded instruments. > > On Tue, Jan 17, 2012 at 6:44 PM, Justina Fischer <JAVFischer@gmx.de> > wrote: > > 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? > > * > * 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/

**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>

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

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

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