I have touched the common denominator of your paper and with respect to
your last statement on the possibility of "wrong results", I need three
clarifications: (1) while your paper is premised on the hypothesis of many
instruments(significant overidentification), the instruments in my paper are very few(just
about six) in tandem with my research question which is based on 'assessing the
validity of certain channels to the endogenous variable, contingent on the instrumental
variables'; (2) the Hausman(prior to the 2SLS adoption) and Sargan-OIR(after the 2SLS)
tests have null hypotheses that are rejected and unrejected respectively(testament to good
model specification); (3)the example you ask me to follow( rho=0.3 and K=5) has fewer
instruments than the number employed in my paper, and this confuses me a bit. Did I get
From: Rodrigo Alfaro Arancibia <ralfaro(a)fen.uchile.cl>
To: Gretl list <gretl-users(a)lists.wfu.edu>
Sent: Friday, June 1, 2012 4:00 PM
Subject: Re: [Gretl-users] 2SLS without HAC standard errors
In the standard OLS framework moving from normal SE to robust ones usually implies higher
SE's and therefore reducing t-stats, which also 'reduces promising-results'.
However, in 2SLS framework one of the main problem is the bias of the estimator, which of
course affects the estimate of the robust SE's, leading to a dirty t-stat. So,
let's move to the bias issue.
I did explore it years
). If you check the
Monte Carlo section in the paper, you will see in Tables 2 to 5 that 2SLS-bias increases
with both endogeneity (rho) and the number of instruments (K), this is of course a
standard results. But moving to Tables 6 to 9, I did robust inference which is the main
point of your question. So, let's assume that your empirical problem implies a low
2SLS-bias as in the case rho=0.3 and K=5, you could see that for all designs considered
there is not a significance distorsion in the rejection frequency meaning that for
'almost-unbiased' estimators robust SE's shouldn't affect your inference.
It could be the case that your 2SLS estimator is biased, meaning the
'promising-results' could be 'wrong-results'.
Maybe you could add to the discussion bootstrapping SE and reporting coeff (non-robust SE)
[robust SE or bootstrap SE], adding in text the standard 'on the one hand... on the
other hand ".
2012/6/1 Allin Cottrell <cottrell(a)wfu.edu>
On Fri, 1 Jun 2012, Anutechia Asongu wrote:
My 2SLS results without HAC standard errors are promising whereas those with HAC standard
errors are not. Hitherto, I have been used to robust HAC standard errors in my
estimations. I'll like to enquire if a sound case could be made for presenting
results without HAC standard errors.
If in tests for heteroskedasticity and autocorrelation the null is not rejected, one could
argue that HAC estimation is just introducing noise. On the other hand, if the HAC
standard errors differ substantially from the "classical" ones, that suggests
that the errors are not i.i.d.
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