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st: Specification tests and EC2SLS


From   Damon Cann <dcann@uga.edu>
To   statalist@hsphsun2.harvard.edu
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
dcann@uga.edu

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