Re: [Gretl-users] tsls tests
On Tue, 20 Apr 2010, Allin Cottrell wrote:
On Tue, 20 Apr 2010, Summers, Peter wrote:
> First, in a model with k (potentially) endogenous regressors,
> gretl seems to use k-1 degrees of freedom for the Hausman test
> rather than k. My impression is that gretl uses the "variable
> addition" form (eg, Greene p. 323), is that right? If so,
> shouldn't the the df be k?
I'm going to defer on that one for now, but address the next
point.
Ready to answer this one: It depends. The degrees of freedom
equals the difference between the number of regressors in the
unrestricted and restricted regressions, which may or may not
equal the 'k' you're talking about. In the model you describe one
"hat variable" is dropped from the the unrestricted regression due
to exact collinearity.
As for the presence/absence of the weak instruments test depending
on the ordering of the variables, clearly that shouldn't happen.
I've committed a change to CVS which I think ensures that you'll
never see broken "weak instruments" output if the matrix of
instruments is too close to rank deficiency. We should probably
print a warning in such a case but I haven't put that into CVS
yet.
Allin Cottrell