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Re: st: ivreg2 endogeneity test


From   Cordula Stolberg <cs32@sussex.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: ivreg2 endogeneity test
Date   Fri, 13 Aug 2004 09:38:05 +0100

Kit,

Thanks for that reference.

Cordula

--On 12 August 2004 17:36 -0400 Kit Baum <baum@bc.edu> wrote:

Cordula wrote:

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?


Please see our Stata Journal paper, which discusses the relation between
these tests and Durbin-Wu-Hausman tests. A preprint is also available
from IDEAS (http://ideas.repec.org) via
http://ideas.repec.org/p/boc/bocoec/545.html

Thanks
Kit

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