Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: Specification tests and EC2SLS

From   Damon Cann <>
Subject   st: Specification tests and EC2SLS
Date   Mon, 27 Sep 2004 14:54:34 -0400

I have a set of panel data with endogenous variables. Executing an error components two-stage least squares model poses no problem, but I want to show that I've met the assumptions of the method. I'm not certain that the standard specification tests for 2SLS are valid after ec2SLS.

Particularly, I want to know if I can proceed with the following two tests as though my EC2SLS results were 2SLS results.

*Hausman test for exogeneity (should I compare the EC2SLS to a random effects model instead of to OLS?)
*Test of Overidentifying restrictions (a la Davidson and MacKinnon)

Many thanks for any comments,

Damon Cann

* For searches and help try:

© Copyright 1996–2015 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index