Just a suggestion? Have you looked at _dmexogxt_?
On Thu, 17 Jun 2004 17:38:21 +0100, "M Quagliariello" <[email protected]>
said:
> 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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