Re: [Gretl-users] Question regarding the HIP function

Thanks, Prof. Cottrell. Professors, I have one additional question. Although the coefficient estimates of HIP match those of Stata IV Probit exactly, I have found that the endogeneity test (Wald) result is a little bit different. For example, the HIP give me Wald (t = 4.06864, p = 0.0437), but the Stata gives me Wald (t = 3.68, p = 0.0551). My sample size N = 2204. Cragg-Donald shows 107.096 and both AR and Wald tests reject the null of weak instruments. As shown, this is a delicate situation. My question is that should I reject or not to reject the null of exogeneity in this case? and What might attribute to the difference in the test? Thanks. Best regards, Juehui Shi (Richard) ---------------------------------------------------------------------------- RA, TA, and Lecturer PhD Management Candidate University at Buffalo, SUNY School of Management Department of Operations Management and Strategy Jacobs Management Center Buffalo, NY 14260-4000 Contact information Tel.: (716) 334-9757 [preferred] Email1: juehuish(a)buffalo.edu Email2: rchrdshi(a)gmail.com ----------------------------------------------------------------------------- https://www.linkedin.com/in/richardrjs http://ssrn.com/author=2339807 On Wed, Oct 19, 2016 at 2:28 PM, Allin Cottrell <cottrell(a)wfu.edu&gt; wrote: