Search found 52 matches

by oksanakim
Tue May 01, 2018 7:38 am
Forum: Econometric Discussions
Topic: GMM estimation and Durbin-Wu-Hausman test
Replies: 12
Views: 746

Re: GMM estimation and Durbin-Wu-Hausman test

Great, that's what I though, that adding a bad instrument essentially makes an OLS without this instrument preferred. Or at least this is how I interpret it. Thanks a lot again.
by oksanakim
Tue May 01, 2018 7:37 am
Forum: Estimation
Topic: Incorrect J-statistic in GMM output??
Replies: 2
Views: 299

Re: Incorrect J-statistic in GMM output??

I see. I am using an unstructured panel and GMM estimation. So the J-stat with a related probability is basically ready to test for the Null: instruments are valid, correct? I am attaching the file with an example of my estimation, marking the J(Prob of J) that I am inquiring about. Thanks a lot.
by oksanakim
Tue May 01, 2018 7:08 am
Forum: Econometric Discussions
Topic: GMM estimation and Durbin-Wu-Hausman test
Replies: 12
Views: 746

Re: GMM estimation and Durbin-Wu-Hausman test

I don't understand. When the null is rejected upon using two instruments (endogeneity is present), but then is accepted when another instrument is added (not present anymore). What does this mean? That endogeneity has been effectively resolved upon introduction of the third instrument or something v...
by oksanakim
Tue May 01, 2018 6:33 am
Forum: Econometric Discussions
Topic: GMM estimation and Durbin-Wu-Hausman test
Replies: 12
Views: 746

Re: GMM estimation and Durbin-Wu-Hausman test

All right, so it is only used to assess whether or not the endogeneity is of concern in the model? But then why is the outcome of this test changing (accept versus reject the null) as we change the set of instruments? Doesn't the outcome then tell us something about the validity of the instruments u...
by oksanakim
Tue May 01, 2018 6:06 am
Forum: Estimation
Topic: Incorrect J-statistic in GMM output??
Replies: 2
Views: 299

Incorrect J-statistic in GMM output??

Dear Moderators and users. I am estimating the model using GMM and several instrumental variables in Eviews 10. The output shows the J-statistic and also the probability of J-statistic. My understanding was that this J-statistic is a Sargan statistics and that output is ready to test the Null hypoth...
by oksanakim
Tue May 01, 2018 5:49 am
Forum: Econometric Discussions
Topic: GMM estimation and Durbin-Wu-Hausman test
Replies: 12
Views: 746

Re: GMM estimation and Durbin-Wu-Hausman test

Thanks Gareth! But does this suggest all the instruments are valid? Also, can J-stat with a related p-value which is available in the GMM output be used instead to make a validity conclusion about the instruments (rejection means instruments are invalid)? Isn't that a more direct way to assess the v...
by oksanakim
Mon Apr 30, 2018 3:45 pm
Forum: Econometric Discussions
Topic: GMM estimation and Durbin-Wu-Hausman test
Replies: 12
Views: 746

Re: GMM estimation and Durbin-Wu-Hausman test

Can someone please answer this simple question as to What is the null hypothesis under the Regressor endogenetiy test means? That all the instruments are valid, or the opposite? I have checked all possible manuals and do not see any interpretations examples. Thank you.
by oksanakim
Mon Apr 30, 2018 10:05 am
Forum: Econometric Discussions
Topic: GMM estimation and Durbin-Wu-Hausman test
Replies: 12
Views: 746

Re: GMM estimation and Durbin-Wu-Hausman test

Sorry, I meant the null is accepted (not rejected), since the difference in J-stats is insignificant: Endogenous variables to treat as exogenous: DEXPATS Value df Probability Difference in J-stats 0.005821 1 0.9392 J-statistic summary: Value Restricted J-statistic 42.76359 Unrestricted J-statistic 4...
by oksanakim
Mon Apr 30, 2018 10:03 am
Forum: Econometric Discussions
Topic: GMM estimation and Durbin-Wu-Hausman test
Replies: 12
Views: 746

GMM estimation and Durbin-Wu-Hausman test

Good day, dear Moderators. i am estimating the model with instrumental variables using the GMM. I then run the regressor endogeneity test to test for the validity of instruments. The difference in J-stats I received is insignificant and hence, the null is rejected. Do I correctly understand that the...
by oksanakim
Fri Jan 19, 2018 10:36 am
Forum: Estimation
Topic: Comparing coefficients accross regressions
Replies: 3
Views: 402

Re: Comparing coefficients accross regressions

Thanks! Would you suggest setting up an equation via a code or there is some built in algorithm that can estimate a system? How would I test for the equality of coefficients once the system is estimated? Thanks again!
by oksanakim
Fri Jan 19, 2018 10:18 am
Forum: Estimation
Topic: Comparing coefficients accross regressions
Replies: 3
Views: 402

Comparing coefficients accross regressions

Hello Eviews users and moderators Please assist with the following. Eviews 10: I am estimating two linear equations that have the same explanatory variables, except for one variable that is defined differently for one equation versus another one. I need to test for statistical significance of the co...
by oksanakim
Tue Dec 12, 2017 7:49 pm
Forum: Econometric Discussions
Topic: Wald test for sum of coefficients when using linear probability model
Replies: 0
Views: 235

Wald test for sum of coefficients when using linear probability model

Hello Eviews users I am estimating a linear probability model (OLS), instead of probit, for a regression where a dependent variable is binary. I then need to test the significant of the sum of the two coefficients. Is Wald (F) test still valid for such estimation, given that the dependent variable i...
by oksanakim
Fri Nov 17, 2017 11:22 am
Forum: Econometric Discussions
Topic: IV estimation and interpretation of the set of results
Replies: 0
Views: 338

IV estimation and interpretation of the set of results

Dear Moderators May I ask for assistance on the set of results related to an IV estimation. I am running a regression whereby a firm value LNMB is regressed on a number of variables, of which foreigners, dexpats, is believed to be an endogenous variables because of a two-directional causality betwee...
by oksanakim
Wed Nov 15, 2017 11:39 am
Forum: Estimation
Topic: Eviews 9 clustered standard errors
Replies: 2
Views: 543

Re: Eviews 9 clustered standard errors

Thank you Glenn.

Go to advanced search