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st: Testing for endogeneity with xtabond


From   M Quagliariello <mq102@york.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Testing for endogeneity with xtabond
Date   Thu, 17 Jun 2004 17:38:21 +0100

Hallo!

I hope someone can help me.
Suppose I want to estimate a dynamic panel with xtabond having three
sets of variables:
A) surely endogenous
B) surely exogenous
C) maybe endogenous

I was thinking to test for the endogenity of variables C) in this way:
1) estimate a model in which variables C are considered as exogenous.
The estimated coefficients should be consistent and efficient if the
variables are actually exogenous, but inconsistent if the variables C)
are endogenous (model1).
2) re-estimate the model considering the variables C) as endogenous and
instrumenting them with their lagged levels (as for the lagged dependent
variable and the other enedogenous regressors). The estimated
coefficients should be always consistent (model2).
3) test for endogeneity using -hausman model2 model1- 

Is it reasonable?

Thanks a lot,

Mario

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