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Re: st: xtivreg2


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: xtivreg2
Date   Wed, 16 Nov 2005 17:47:59 -0000

Andrea,

-ivendog- isn't equipped (yet?) to handle -xtivreg2-.

However, you have an easy alternative, which is to use the -orthog()- 
option of -xtivreg2- to conduct your endogeneity tests.  Check out 
the help file examples of -ivreg2-, and you'll see an example in the 
list of how to mimic a Durbin-Wu-Hausman endogeneity test using this 
option.

Cheers,
Mark

From:           	"Andrea Molinari" <A.Molinari@sussex.ac.uk>
To:             	<statalist@hsphsun2.harvard.edu>
Subject:        	st: xtivreg2
Date sent:      	Wed, 16 Nov 2005 16:07:08 -0000
Send reply to:  	statalist@hsphsun2.harvard.edu

> Dear Statalisters,
> 
> I'm using the new -xtivreg2- command for FE IV, with the following equation:
> 
> xtivreg2 $text lrectextg dbrcatext (lreptextg = l.lrgdp95pcx l.lreptextg), 
> fe first
> 
> This works fine, but when I try to run the -ivendog- command to check for 
> the regressor's endogeneity, I get the following error message:
> 
> ivendog lrectextg
> 
> ivendog works only after ivreg, ivreg2; use dmexogxt after xtivreg
> last estimates not found
> r(301);
> 
> I then installed -dmexogxt- and tried:
> 
> dmexogxt lreptextg
> 
> but got the following error:
> 
> dmexogxt only works after xtivreg, fe
> last estimates not found
> r(301);
> 
> Something similar seems to occur when I try to use the -overid, all- 
> command, although for me this is not essential, I only use it as a check.
> 
> Does anyone have any suggestions as of what test (and command) to use for 
> endogeneity?
> 
> Many thanks!
> 
> Andrea
> 
> 
> *
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Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3296 fax
44-131-451-4202 CERT administrator
http://www.sml.hw.ac.uk/cert

*
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*   http://www.ats.ucla.edu/stat/stata/



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