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  • How to test instrument orthogonality in Stata?

    Hi all,

    Is there a specific command where I can use to test instrument orthogonality? From my understanding, it's easy to establish relevance, but how about orthogonality?

  • #2
    Dear Cooper Felix,

    Orthogonality is an identifying assumption and cannot be tested. You have to use your judgment to decide whether the instruments are orthogonal or not, but be prepared to face challenges from others who may not be convinced by your arguments...

    Best wishes,

    Joao

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    • #3
      Originally posted by Joao Santos Silva View Post
      Dear Cooper Felix,

      Orthogonality is an identifying assumption and cannot be tested. You have to use your judgment to decide whether the instruments are orthogonal or not, but be prepared to face challenges from others who may not be convinced by your arguments...

      Best wishes,

      Joao
      Joao, I have the same impression that orthogonality cannot be tested empirically. Do you have any supporting literature that I can cite? Many thanks!

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      • #4
        You might be interested in this article, although it extrapolates a bit from your topic: https://www.sciencedirect.com/scienc...0440762030138X

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        • #5
          Besides the nice paper Maxence suggested, you can check a good textbook such as Wooldridge's.

          Best wishes,

          Joao

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          • #6
            Originally posted by Maxence Morlet View Post
            You might be interested in this article, although it extrapolates a bit from your topic: https://www.sciencedirect.com/scienc...0440762030138X
            And if you like the article suggested by Maxence, the alternative approach proposed therein is implemented in Jan Kiviet's and my kinkyreg package:
            KINKYREG: new Stata command for instrument-free inference in linear regression models with endogenous regressors
            https://www.kripfganz.de/stata/

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            • #7
              Originally posted by Sebastian Kripfganz View Post
              And if you like the article suggested by Maxence, the alternative approach proposed therein is implemented in Jan Kiviet's and my kinkyreg package:
              KINKYREG: new Stata command for instrument-free inference in linear regression models with endogenous regressors
              Thanks so much Maxence, Joan and Sebastian.

              Sebastian, your forthcoming Stata Journal is very useful, in which I can directly quote what you wrote since I have a just-identified model - thus testing the orthogonality assumption is impossible!

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