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Re: st: Testing for endogeneity with ivreg2


From   JAYESH KUMAR <jayesh@igidr.ac.in>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Testing for endogeneity with ivreg2
Date   Thu, 24 Jul 2003 17:15:45 +0530 (IST)

See "ivendog", this test for the endogeniety after ivreg and ivreg2.
running ivendog after ivreg2 you'll get Wu-Hausman F test and
Durbin-Wu-Hausman chi-sq test.

for example:
*
* do file starts here----------------------------
ivreg2 y1 (y2 = x4 x5) x1 x2 x3 , gmm robust cluster(subjid)
ivendog
* do file end here ---------------------------
*

I hope this helps.

-Jayesh Kumar
************************************************************************
JAYESH KUMAR,
Research Scholar,
Indira Gandhi Institute Of Development Research (IGIDR),
Gen. Arun Kumar Vaidya Marg,
Santosh Nagar, Goregaon (East), Mumbai-400065, INDIA.
Tel # + 91 (22) 2840 0919/0920/0921  Extn. 591(Office) 263(Residence)
Fax # + 91 (22) 2840 2752/2026
visit: www.igidr.ac.in/~jayesh
************************************************************************
When I don't know what I'm doing I'm doing Research!

#You wrote:

:Dear Statalist:
:
:Does anyone know how the orthog option is used to test for endogeneity with
:ivreg2?  Suppose I have 2 models (with clustering) where
:
:y1 = y2 + x1 + x2 + x3
:
:and
:
:y2 = x1 + x4 + x5
:
:Using ivreg2 to estimate the first model via GMM, the command would look
:something like this:
:
:ivreg2 y1 (y2 = x4 x5) x1 x2 x3 , gmm robust cluster(subjid)
:
:I would like to test whether y2 is orthogonal to the errors.  My
:understanding is that, if that were the case, OLS would be consistent and
:more efficient than the IV estimator.  Actually, I suspect that the OLS
:alternative to the GMM IV estimator would be heteroscedastic OLS (HOLS).  Is
:this correct?
:

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