Re: [Gretl-users] Testing the endogeneity of one or more regressors in a pooled OLS model?
Okay, running -tsls- 'works' on my data and produces the post-estimation
tests which allows me . Thanks for your assistance on this.
I do have a conceptual question about assessing and selecting suitable
instruments, however. When assessing them in running OLS models, I'm often
finding that at least one of them shows up as significant, but if my
reading of IV is right, a 'suitable' instrument cannot have its own
independent effect on the response, only via its correlation with the
endogenous variable. Correct? Otherwise, I'm left with just one variable
which passes, but which doesn't quite make F > 10 on the weak IV test and
no Sargan calculation (tough, you may say).
On 13 November 2013 08:01, Riccardo (Jack) Lucchetti
<r.lucchetti(a)univpm.it>wrote:
On Tue, 12 Nov 2013, Clive Nicholas wrote:
What version of gretl is this? (That p-value means "NA", as it obviously
>> has to be if the F-statistic is numerically negative, but I thought we'd
>> purged all cases of printing NA as if it were a number.)
>>
>
>
> v1.9.12. I'm not able to build the latest version of -gretl- on my Linux
> machine (you may remember the fun and games that ensued last time I tried
> this earlier this year), so I use the latest version that's made available
> from the repository.
>
That is strange. IIRC, you're unning Kubntum and the build process is now
(relatively) streamlined on deb-based distros. Could you please post the
details so we can sort your issue out?
What details do you need? I'm rather scratchy on the technical details now.
--
Clive Nicholas
"My colleagues in the social sciences talk a great deal about methodology.
I prefer to call it style." -- Freeman J. Dyson
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