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Re: st: Question regarding test for endogeneity in the context of a count variable with a binary regressor.
Quoting "Lavie, Dovev" <email@example.com>:
> Does anyone know how to test for endogeneity in the case where the
> variable (y) is a count variable and the endogenous regressor is a
> variable (z)? (see below). As far as I know, the Durbin-Wu-Hausman
> works only with OLS. Any suggestions on how to determine whether
> variable z
> can be assumed exogenous are most welcome.
I think it's not hard to do in principle, but there's a big "if"
involved. *If* you can estimate the model in two forms, one treating the
regressor z as endogenous, and one treating it as exogenous, then you can
do a Hausman test using the -hausman- command. When estimating the
former, you'll need a procedure that will deliver a valid var-cov matrix
for the estimated coefficients as well as consistent estimates of the
findit binomial endogenous
didn't turn up anything, so there may not be any such package around for
estimating a negative binomial with an endogenous regressor. But maybe
you've taken care of this requirement.
Hope this helps.
> z = a0 + a1*x1 + a2*x2 + epsilon1 (probit model)
> y = b0 + b1*z + b2*x3 + epsilon2 (negative binomial model)
Prof. Mark Schaffer
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
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