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

st: Specification tests and EC2SLS


From   Damon Cann <[email protected]>
To   [email protected]
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
[email protected]

*
* 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/




© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index