Dear Statalists,
I read from Roodman (2007) that one should report the difference-in-hansen test for the validity and exogeneity of subset of instruments (despite that many published studies do not report them). However, I am not sure which of the two sub tests under difference-in-hansen (Hansen Excluding and Difference) I should report. some papers report both of them, while some only report one.
"Hansen Excluding Group" examines the validity of the model without the specified set of instruments (the set of instruments specified in each sub-heading, such as iv(x2 x3)), and the "Difference" test examines the validity of the specified set of instruments by computing the difference between the two Hansen J statistics with and without this set of instruments. Is this understanding correct?
Fo instance,
Should I report both of the two sub tests or only the Difference test? and is it necessary to report all the four sets of difference-in-hansen tests (GMM instruments for levels, gmm (y), gmm(x1), and iv(x2 x3))?
Thank you!
I read from Roodman (2007) that one should report the difference-in-hansen test for the validity and exogeneity of subset of instruments (despite that many published studies do not report them). However, I am not sure which of the two sub tests under difference-in-hansen (Hansen Excluding and Difference) I should report. some papers report both of them, while some only report one.
"Hansen Excluding Group" examines the validity of the model without the specified set of instruments (the set of instruments specified in each sub-heading, such as iv(x2 x3)), and the "Difference" test examines the validity of the specified set of instruments by computing the difference between the two Hansen J statistics with and without this set of instruments. Is this understanding correct?
Fo instance,
Code:
Difference-in-Hansen tests of exogeneity of instrument subsets: GMM instruments for levels Hansen test excluding group: chi2(4) = 4.06 Prob > chi2 = 0.397 Difference (null H = exogenous): chi2(2) = 1.41 Prob > chi2 = 0.494 gmm(y, collapse lag(2 4)) Hansen test excluding group: chi2(2) = 4.33 Prob > chi2 = 0.115 Difference (null H = exogenous): chi2(4) = 1.14 Prob > chi2 = 0.887 gmm(x1, collapse lag(2 5)) Hansen test excluding group: chi2(1) = 0.02 Prob > chi2 = 0.884 Difference (null H = exogenous): chi2(5) = 5.45 Prob > chi2 = 0.363 iv(x2 x3, eq(level)) Hansen test excluding group: chi2(4) = 3.62 Prob > chi2 = 0.459 Difference (null H = exogenous): chi2(2) = 1.85 Prob > chi2 = 0.397
Should I report both of the two sub tests or only the Difference test? and is it necessary to report all the four sets of difference-in-hansen tests (GMM instruments for levels, gmm (y), gmm(x1), and iv(x2 x3))?
Thank you!
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