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Re: st: Question regarding test for endogeneity in the contextof a count variable with a binary re

From   "Alfonso Miranda Caso Luengo" <>
To   <>
Subject   Re: st: Question regarding test for endogeneity in the contextof a count variable with a binary re
Date   Thu, 13 May 2004 14:16:14 +0100


You can use the espoisson code that performs a FIML estimation of a endogenous switching Poisson model (have a look to Miranda (2004) Stata Journal 4(1):40-49). You could estimate the model with exogenous switching using the exs option. Then estimate the model with endog. switching. Finally, perform a boundary-likelihood ratio test for the sig. of rho. If rho is not significant, then you can treat your dummy as exogenous.




Alfonso Miranda
PhD Student

Economics Department
University of Warwick
Coventry CV4 7AL
>>> 05/13/04 13:56 PM >>>

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


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