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st: xtivreg & heteroskedasticity

From   Cordula Stolberg <>
Subject   st: xtivreg & heteroskedasticity
Date   Wed, 04 Aug 2004 18:45:01 +0100

Dear Statalisters,

Is there a way to test for endogeneity & heteroskedasticity with -xtivreg-? I have an unbalanced, random effects panel (68 observations, 8 years). I strongly suspect one variable to be endogenous, but I don't know how to test for it. I have tried to use the Hausman test as for -ivreg-, but got the error message:

model fitted on these data fails to meet the asymptotic assumptions of the
Hausman test; see suest for a generalized test

but I am not sure what to do about that given that I have a panel dataset. Moreover, I don't know how to test for heteroskedasticity with -xtivreg-.
Any suggestions would be much appreciated.


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