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Re: st: Testing for endogeneity with ivreg2

From   "Shaw, Jim (NIH/NCI)" <>
To   "Statalist (E-mail)" <>
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)
* do file end here ---------------------------

I hope this helps.

-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
When I don't know what I'm doing I'm doing Research!
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