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st: Heteroskedastic robust version of endogeneity test


From   Tae Hun Kim <thkim91@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Heteroskedastic robust version of endogeneity test
Date   Mon, 28 Feb 2005 17:24:10 -0600

Hello Statalist.
I would appreciate some help on the following problem.
I want to conduct heteroskedastic robust endogeneity test. Most
previous postings related to endogeneity test assume conditional
homoskedasticity. As long as I know, if error term is heteroskedastic,
p-value is wrong. so, we might obtain wrong conclusion.

To test endogeneity (heteroskedastic robust version)
--------- equation----
. ivreg2 fmom y87 y88 y89 y90 y91 y92 y93 y94 y95 y96 y97 y98 y99 y00
y01 y02  s87 s88 s89 s90 s91 s92 s93 s94 s95 s96 s97 s98 s99 s00 s01
s02 smom ( = dgovern dratio ), gmm orthog(smom);
**Smom : suspected engogenous variable 
----test result---------
Hansen J statistic (Lagrange mulitplier test of excluded instruments):
27.609
                                  Chi-sq(2) P-val =   0.00000
C statistic (exogeneity/orthogonality of specified instruments):      
 20.990
                                 Chi-sq(1) P-val =   0.00000
Instruments tested: smom
------------------------------------------------------------------------------
Instruments:   y87 y88 y89 y90 y91 y92 y93 y94 y95 y96 y97 y98 y99 y00
y01 y02  s87 s88 s89 s90 s91 s92 s93 s94 s95 s96 s97 s98 s99 s00 s01
s02  smom dgovern dratio
------------------------------------------------------------------------------

I think the result says 'smom' is endogenous(C-ststistic:20.990) and
two excluded instruments are not orthogonal to the error term(Hansen J
statistic :27.609)
Q1. My code and My interpretation are right?

But I just tried to test overidentification as the following equation
ivreg2 fmom y87 y88 y89 y90 y91 y92 y93 y94 y95 y96 y97 y98 y99 y00
y01 y02   s87 s88 s89 s90 s91 s92 s93 s94 s95 s96 s97 s98 s99 s00 s01
s02 (smom=dgovern dratio), gmm;
----------test result------------
Hansen J statistic (overidentification test of all instruments):      
  3.633
                         Chi-sq(1) P-val =   0.05665
------------------------------------------------------------------------------
Instrumented: s mom
Instruments:   y87 y88 y89 y90 y91 y92 y93 y94 y95 y96 y97 y98 y99 y00
y01 y02 s87 s88 s89 s90 s91 s92 s93 s94 s95 s96 s97 s98 s99 s00 s01
s02   dgovern dratio
------------------------------------------------------------------------------  
the result indicates that instruments are orthogonal under 5% significance level

Q2 : why two results are different? Did i miss something?

Thanks in advance,

T.H Kim
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