[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]
Re: st: endogeneity and IV
Quoting Katarina Lynch <email@example.com>:
> Dear Statalist,
> I am trying to inroduce instrumental variables to fix the
> problem caused by fixed and random effects regressions. How can I
> which independent variables are endogenous, i.e. correlated with the
> term? I simply gave the command "pw resid var1 var2 var3 var4" and
> it gave a
> matrix where one of the variables showed a correlation with resid.
That's not how you test for endogeneity. You want use either a Sargan-
Hansen statistic or the Hausman approach (these are sometimes equivalent,
depending on the application).
> Does it
> mean that this variable is endogenous or is there any other way? The
> I am asking this, perhaps, strange question is, in STATA7, the
> command requires predetermined variables in the sense that E(x,
> error) is
The Sargan(-Hansen) stat at the bottom of the xtabond output is a test of
your orthogonality conditions, i.e., that your exogenous independent
variables and instruments are indeed exogenous.
Hope this helps.
> Thank you,
> Immer für Sie da. MSN Hotmail. http://www.msn.de/email/webbased/
> kostenlos anmelden und überall erreichbar sein!
> * 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/
Prof. Mark Schaffer
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
This e-mail and any files transmitted with it are confidential
and intended solely for the use of the individual or entity to
whom it is addressed. If you are not the intended recipient
you are prohibited from using any of the information contained
in this e-mail. In such a case, please destroy all copies in
your possession and notify the sender by reply e-mail. Heriot
Watt University does not accept liability or responsibility
for changes made to this e-mail after it was sent, or for
viruses transmitted through this e-mail. Opinions, comments,
conclusions and other information in this e-mail that do not
relate to the official business of Heriot Watt University are
not endorsed by it.
* For searches and help try: