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st: exogeneity and endogeneity tests after reg3


From   Felipe <[email protected]>
To   [email protected]
Subject   st: exogeneity and endogeneity tests after reg3
Date   Thu, 4 Aug 2005 10:55:07 -0400

Hello,

I am estimating a system of equations simultaneously
determined (3 equations) with panel data using reg3 (3SLS
fixed effects). I am interested in performing a test for; (i)
overidentifying restrictions and exogeneity; and (ii)
endogeneity. If my equations weren't simultaneously
determined I wouldn't have any problem using xtivreg, fe and
performing these tests with overidxt and dmexogxt (equivalent
to ivendog for xt data).

>From Stata's website it reads that "Hausman test in Stata
9.0 can be used to test for exogeneity or overidentifying
restrictions for two-stage least squares (2SLS) and three-
stage least squares (3SLS)". I would like to know if I can
perform a test (and how) for; (i) overidentifying
restrictions and exogeneity of the instruments in each of
the equations; and (ii) endogeneity of each of my endogenous
variables if, for example, I'm estimating the following
model:

reg3 (Y1 Y2 Y3 X1...Xn) (Y2 Y1 Y3 X1...Xn) (Y3 Y1 Y2 X1...Xn)

If it is not with a Hausman test, are there other ways to
perform these tests after reg3?

It would be valid to perform these tests equation-by-
equation using xtivreg and then, if they don=E2=80=99t provide
enough evidence to reject the validity of the specification
and instruments, estimating the full system of equations
with reg3?

Thanks in anticipation,

Felipe
   _______________________________________
   Felipe Targa

   Ph.D. Candidate
   Dept of Civil & Environmental Engineering
   1173 Glenn Martin Hall
   University of Maryland, College Park MD 20742
   www.wam.umd.edu/~ftarga
   _______________________________________
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