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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 23:12:37 -0000 (GMT)

Andrea,

> Mark,
>
> Thanks for your suggestion. Just to clarify your point, do you mean that
> in my case I should run::
>
> xtivreg2 $text lrectextg dbrcatext lreptextg (= l.lrgdp95pcx l.lreptextg),
> fe first orthog(lreptextg)

Yes.  You don't need the -first- option, btw.

> And in a case of having more than one potentially endogenous regressor,
> would it be valid to run this test for each of those regressors (or pairs
> of
> them) like this?:
>
> xtivreg2 $paper lreppaperg lrecpaperg dbrcapaper (= l.lrgdp95pcx
> l2.lrgdp95pcx l.brcapaper l.lreppaperg l2.lreppaperg l.lrgdp95pcm
> l.lrecpaperg), fe first orthog(lreppaperg)
>
> xtivreg2 $paper lreppaperg lrecpaperg dbrcapaper (= l.lrgdp95pcx
> l2.lrgdp95pcx l.brcapaper l.lreppaperg l2.lreppaperg l.lrgdp95pcm
> l.lrecpaperg), fe first orthog(lrecpaperg)
>
> xtivreg2 $paper lreppaperg lrecpaperg dbrcapaper (= l.lrgdp95pcx
> l2.lrgdp95pcx l.brcapaper l.lreppaperg l2.lreppaperg l.lrgdp95pcm
> l.lrecpaperg), fe first orthog(lreppaperg lrecpaperg)
>
> ...and so on

You could, but probably don't want to try all the combinations, for the
same reason that you wouldn't try all the specifications with/without
various regressors.  Bad practice.

> I checked and results (e.g. on Sargan) seem similar, but I'm not too sure
> STATA is understanding which variables do I believe are endogenous in
> these statements?

Not sure what the problem is.  Whatever you put in -orthog()- is what
-xtivreg2- will treat as endogenous in the comparator regression.

If you want to be sure, run two regressions, one with the variable as
endogenous and one with it as exogenous, and do a difference-in-Sargan (or
difference-in-J) by hand.  The results should be very close to C-stat
generated by -orthog()-.  (See Hayashi 2000 or Baum-Schaffer-Stillman 2003
for why it isn't exactly the same.)

Cheers,
Mark

> Many thanks again!
> Andrea
>
> ----- Original Message -----
> From: "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
> To: <statalist@hsphsun2.harvard.edu>
> Sent: Wednesday, November 16, 2005 5:47 PM
> Subject: Re: st: xtivreg2
>
>
>> 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
>> >
>> >
>> > *
>> > *   For searches and help try:
>> > *   http://www.stata.com/support/faqs/res/findit.html
>> > *   http://www.stata.com/support/statalist/faq
>> > *   http://www.ats.ucla.edu/stat/stata/
>>
>> 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
>>
>> *
>> *   For searches and help try:
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>> *   http://www.stata.com/support/statalist/faq
>> *   http://www.ats.ucla.edu/stat/stata/
>>
>
> *
> *   For searches and help try:
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>


Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3294
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes



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