Search found 56 matches

by oksanakim
Mon Jul 29, 2019 10:43 am
Forum: Program Repository
Topic: How to compute propensity scores from logit output
Replies: 0
Views: 1440

How to compute propensity scores from logit output

Dear All

I have estimated a logit model and named it eq.01. Is there a command or built-in options to compute Propensity scores based on the output from the estimated logit equation? Thank you in advance.
by oksanakim
Wed Jul 03, 2019 11:45 am
Forum: Estimation
Topic: Entropy balancing
Replies: 5
Views: 459

Re: Entropy balancing

I see. Thank you, but I am afraid this is not what is needed. Is propensity score matching somehow used in Eviews? Thanks again.
by oksanakim
Wed Jul 03, 2019 11:32 am
Forum: Estimation
Topic: Entropy balancing
Replies: 5
Views: 459

Re: Entropy balancing

Here is the link to entropy balancing paper: https://web.stanford.edu/~jhain/Paper/PA2012.pdf. Additionally, for example in Stata here is what they offer for entropy balancing: https://www.jstatsoft.org/article/view/v054i07. From there: "entropy balancing, is a multivariate reweighting method d...
by oksanakim
Wed Jul 03, 2019 11:07 am
Forum: Estimation
Topic: Entropy balancing
Replies: 5
Views: 459

Entropy balancing

Good day! I wonder whether Eviews 10.5 or later versions would have any options for estimating equations using entropy balancing (weighting) technique? I hear in other packages codes are available for this but cannot find any information regarding Eviews' possibilities. Thank you.
by oksanakim
Tue May 01, 2018 7:38 am
Forum: Econometric Discussions
Topic: GMM estimation and Durbin-Wu-Hausman test
Replies: 12
Views: 2556

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: 1229

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: 2556

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: 2556

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: 1229

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: 2556

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: 2556

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: 2556

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: 2556

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: 910

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!

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