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

Re: st: xtabond + endogeneity


From   "Cordula Stolberg" <[email protected]>
To   [email protected]
Subject   Re: st: xtabond + endogeneity
Date   Tue, 21 Dec 2004 09:32:24 +0100 (MET)

Mark,

Thanks for your help. I will have a look at the link you suggested.

Cordula


> Cordula,
> 
> Probably the easiest way to test for endogeneity with xtabond or xtabond2
> is
> a difference-in-Sargan test. You might find the following posting from
> earlier this year useful:
> 
> http://www.stata.com/statalist/archive/2004-07/msg00101.html
> 
> Hope this helps.
> 
> Cheers,
> Mark
> 
> Quoting Cordula Stolberg <[email protected]>:
> 
> > Hello,
> > 
> > I am estimating a dynamic panel with xtabond. I suspect that one
> > regressor
> > might be endogenous. In earlier postings, I have read that it is
> > possible to
> > use a Hausman test to test for the endogeneity of regressors.
> > However, I am
> > not quite sure about the syntax.
> > 
> > Assuming I have the semi-log model
> > 
> > logY = logY(t-1) X1 X2 TimeDummies
> > 
> > and I suspect X1 to be endogenous. I know that I can estimate the
> > model
> > treating X1 first as endogenous (always consistent) and then a
> > second model 
> > treating X1 as exogenous (consistent only if X1 is exogenous) and do
> > a
> > -hausman model1 model2-. 
> > 
> > However, I am not sure about the syntax. With -xtabond-, would that
> > look
> > like:
> > 
> > Model 1 (always consistent):
> > 
> > xi: xtabond logY X2 i.TimeDummies, lags(1) pre(X1, lags(1,.) end)
> > 
> > Model 2 (consistent only if X1 is exogenous):
> > 
> > xi: xtabond logY X1 l.X1 X2 i.TimeDummies, lags(1)
> > 
> > 
> > Is this the correct syntax? And with -xtabond2- would this be
> > expressed as:
> > 
> > Model 1:
> > 
> > xtabond2 logY l.logY l(0/1).X1 X2 TimeDummies, gmm(l.logY, X1)
> > ivstyle(X2
> > TimeDummies)
> > 
> > 
> > Model 2:
> > 
> > xtabond2 logY l.logY X1 l.X1 X2 TimeDummies, gmm(l.logY) ivstyle(X1
> > l.X1 X2
> > TimeDummies)
> > 
> > 
> > Thanks for your help,
> > Cordula
> > *
> > *   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 +44-131-451-3294
> email: [email protected]
> 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/
> 
*
*   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