This question, here repeated, has already been answered by Mark Schaffer.
Nick
[email protected]
Bo MacInnis
>
> I would really appreciate if you would help me on the
> following problem. I
> have the following equation:
>
> ivreg y (x1 x2 = z1 z2) X
>
> that is, I use z1 to instrument x1 and z2 to instrument x2.
>
> Now I want to test the endogeneity of x2. I am not worried
> about x1 at this
> point.
>
> One option is to use the argmented regression (Davidson and MacKinnon,
> reference A-J page 541).
> My question is: how to obtain the residuals from the first
> stage for x1 and
> x2 after running the above -ivreg- ?
>
> Another option, which I am not so sure is correct, is to do
> the following:
> ivreg y (x1 x2 = z1 z2) X
> est store myest1
>
> ivreg y (x1 = z1) x2 X
> est store myest2
>
> test whether the coefficient of x1 in estimates myest1 and
> myest2 differ by
> a basically t-stat.
>
> My question: is the above test testing for whether I should
> model x2 as
> endogenous? should I test for the entire set of coefficients?
>
> Your generous help is very very much appeciated. I am grateful to your
> attention and help!
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