> 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/