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From |
"Steve Stillman" <stillman@motu.org.nz> |

To |
<statalist@hsphsun2.harvard.edu> |

Subject |
st: RE: dmexogxt questions |

Date |
Tue, 14 Sep 2004 00:31:36 +1200 |

Hi Jean. The answers to your questions are below. Cheers, Steve -----Original Message----- From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu]On Behalf Of Salvati, Jean Sent: Saturday, September 11, 2004 8:49 AM To: statalist@hsphsun2.harvard.edu Subject: st: dmexogxt questions Hello, I have two questions about dmexogxt: 1) The joint test clearly rejects the null hypothesis that all regressors are exogenous, but the tests on individual regressors don't reject the null for any of the regressors (not even close). More precisely, let's say I estimate my model with the following command: xtivreg y x1 (x2 x3 = z2 z3), fe When I do "dmexogxt", the null hypothesis that all regressors are exogenous ism clearly rejected. However, when I do "dmexogxt x2" and "dmexogxt x3", I definitly can't reject the null for either x2 or x3 at the same level. How can I interpret these results? *** When you run the command dmexogxt x2, you are assuming that x3 is definitely endogenous and are only testing that x2 is exogenous given this assumption. For whatever reason, in your example, you cannot clearly distinguish between (x2 endog, x3 exog), (x2 exog, x3 endog), or (both endog). Since you do not seem to have a reason to assume either one is definitely endogenous (thus, leading to the reduced test), my instinct would be that you are best off treating both as being endogenous. 2) After "xtivreg y x1 (x2 = z2 ), fe", both "dmexogxt" and "dmexogxt x2" yield F-statistics. *** with only one possible endogenous variable, "dmexogxt" and "dmexogxt x2" are identical tests and thus give identical results After "xtivreg y x1 (x2 x3 = z2 z3), fe", both "dmexogxt" still gives an F-statistic, but "dmexogxt x2" yields a chi2(1). Why is that? Is a Wald test used in the second case, and if so why? *** more generally, if "dmexogxt" is only run on a subset of endogenous variables you will end up with a chi2(number tested variables) instead of an f-test. This occurs because the auxiliary regression being run for the test is now an IV regression (we still need to instrument for the variables left out of the test) as opposed to an OLS regression (the case when all possible endogenous variables are being tested). Thanks a lot. Jean Salvati * * For searches and help try: * http://www.stata.com/support/faqs/res/findit.html * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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**Follow-Ups**:**Re: st: RE: dmexogxt questions***From:*"Mark Schaffer" <M.E.Schaffer@hw.ac.uk>

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