Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: Question regarding test for endogeneity in the context of a count variable with a binary regressor.

From   Mark Schaffer <>
To, "Lavie, Dovev" <>
Subject   Re: st: Question regarding test for endogeneity in the context of a count variable with a binary regressor.
Date   Wed, 12 May 2004 20:01:33 +0100 (BST)


Quoting "Lavie, Dovev" <>:

> Does anyone know how to test for endogeneity in the case where the
> dependent
> variable (y) is a count variable and the endogenous regressor is a
> binary
> variable (z)? (see below). As far as I know, the Durbin-Wu-Hausman
> test
> 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 
coefficients themselves.

A quick

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)
> Thanks, 
> Dovev

Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008


This e-mail and any files transmitted with it are confidential
and intended solely for the use of the individual or entity to
whom it is addressed.  If you are not the intended recipient
you are prohibited from using any of the information contained
in this e-mail.  In such a case, please destroy all copies in
your possession and notify the sender by reply e-mail.  Heriot
Watt University does not accept liability or responsibility
for changes made to this e-mail after it was sent, or for
viruses transmitted through this e-mail.  Opinions, comments,
conclusions and other information in this e-mail that do not
relate to the official business of Heriot Watt University are
not endorsed by it.
*   For searches and help try:

© Copyright 1996–2017 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index