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st: Endogeneity test with ivreg2


From   Cordula Stolberg <cs32@sussex.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: Endogeneity test with ivreg2
Date   Thu, 12 Aug 2004 17:45:59 +0100

Dear Statalisters,

Thank you for your suggestions with regard to my previous posting.

I now have a question on the endogeneity test with -ivreg2-. I know that one can use the Hausman test. i.e. running the regression first with the instruments, then running the regression treating all variables as exogenous and then doing the Hausman test.

I now read in an earlier posting that it is also possible to use the -orthog- option to test for endogeneity, i.e. if I suspect y2 to be endogenous:

ivreg2 y1 y2 ( = x4 x5) x1 x2 x2, orthog(y2)

Is this procedure of testing for endogeneity of y2 equivalent to using the Hausman test?

Thanks,
Cordula


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