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

[no subject]



> Katarina,
> 
> Quoting Katarina Lynch <ferkel999@hotmail.com>:
> 
> > Dear Statalist,
> > 
> > I am trying to inroduce instrumental variables to fix the
> > endogeneity
> > problem caused by fixed and random effects regressions. How can I
> > determine
> > which independent variables are endogenous, i.e. correlated with the
> > error
> > 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
> > reason
> > I am asking this, perhaps, strange question is, in STATA7, the
> > xtabond
> > command requires predetermined variables in the sense that E(x,
> > error) is
> > nonzero.
> 
> 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.
> 
> --Mark
> 
> > 
> > Thank you,
> > 
> > Katarina
> > 
> > _________________________________________________________________
> > Immer für Sie da. MSN Hotmail. http://www.msn.de/email/webbased/
> > Jetzt
> > 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
> Director, CERT
> Department of Economics
> School of Management & Languages
> Heriot-Watt University, Edinburgh EH14 4AS
> tel +44-131-451-3494 / fax +44-131-451-3008
> email: m.e.schaffer@hw.ac.uk
> web: http://www.sml.hw.ac.uk/ecomes
> ________________________________________________________________
> 
> DISCLAIMER:
> 
> 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:
> *   http://www.stata.com/support/faqs/res/findit.html
> *   http://www.stata.com/support/statalist/faq
> *   http://www.ats.ucla.edu/stat/stata/
> 



____________________________________________________________
Libero ADSL: navighi gratis a 1.2 Mega, senza canone e costi di attivazione. 
Abbonati subito su http://www.libero.it 



*
*   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 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index