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st: exogeneity and endogeneity tests after reg3

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


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

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 Targa

   Ph.D. Candidate
   Dept of Civil & Environmental Engineering
   1173 Glenn Martin Hall
   University of Maryland, College Park MD 20742
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