Hi - I have a couple of questions about ivreg2 and associated
endogeneity/exogeneity tests.
1. I want to assess whether a particular variable, xstar, is endogenous, so
I run:
ivreg2 y xstar (=instrument1 instrument2) other variables, orthog(xstar).
the C-statistic allows me to assess endogeity of xstar. Is that correct?
This should give me the equivalent results as doing
ivreg y (xstar=instrument1 instrument2) other variables, followed by
ivendog star.
is that correct?
2. If so, then I am not sure why I am having the following problem.
I run
ivreg2 y xstar (=instrument1 instrument2) other variables, orthog(xstar)
cluster(id).
In other words, I have simply added the cluster option. When I do so, stata
tells me:
Collinearity/identification problems in restricted equation: C statistic
not calculated for orthog option.
I only have this problem when I include the cluster option on ivreg2. what
am I doing wrong? thanks. Daniel
