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Re: st: Testing for endogeneity with ivreg2


From   "Shaw, Jim (NIH/NCI)" <shawjim@mail.nih.gov>
To   "Statalist (E-mail)" <statalist@hsphsun2.harvard.edu>
Subject   Re: st: Testing for endogeneity with ivreg2
Date   Thu, 24 Jul 2003 07:56:23 -0400

I believe that ivendog assumes conditional homoscedasticity and cannot be
used with either the cluster or robust options.

--

James Shaw
Research Associate 
College of Pharmacy
The University of Arizona


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
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JAYESH KUMAR,
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Indira Gandhi Institute Of Development Research (IGIDR),
Gen. Arun Kumar Vaidya Marg,
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visit: www.igidr.ac.in/~jayesh
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