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> Quoting Katarina Lynch <email@example.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.
> > Thank you,
> > Katarina
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