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Re: st: RE: ivreg2 test of exogeneity


From   kosak@gmx.de
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: ivreg2 test of exogeneity
Date   Fri, 21 Apr 2006 18:49:56 +0200 (MEST)

thank you very much for your reply!
Best,
Max




 --- Ursprüngliche Nachricht ---
> Von: "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
> An: <statalist@hsphsun2.harvard.edu>
> Betreff: st: RE: ivreg2 test of exogeneity
> Datum: Fri, 21 Apr 2006 12:53:26 +0100
> 
> Max, 
> 
> > -----Original Message-----
> > From: owner-statalist@hsphsun2.harvard.edu 
> > [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> > kosak@gmx.de
> > Sent: 21 April 2006 10:51
> > To: statalist@hsphsun2.harvard.edu
> > Subject: st: ivreg2 test of exogeneity
> > 
> > Dear Statalist members,
> > i have a question concerning the command ivreg2.
> > I am estimating a rudimental fixed effect model,
> > where the 
> > dependent variable is wage, and the independent v. of 
> > interest unemployment rate.the observation units are groups 
> > of individuals differentiated by skills. i want to control 
> > for unobserved heterogeneity of the groups.some of my 
> > covariates are constant, and so they get treated as part of 
> > the error term.i want to test the strict exogeneity 
> > assumption on the explanatory variables that underlies the 
> > fe/re model by using ivreg2.in particualr i guess that 
> > education, which is constant over time and hence part of the 
> > individual component of the error term,correlates with the 
> > unemployment rate.
> > 
> > i used the lag value of unemployment rate as an instrument, 
> > and pooled the data.
> > is the following command correct?
> > 
> > ivreg2  wage  d_educ2-d_educ4  exp /*
> > */  unemploym ( = unemploym-1) [aweight=weight],orthog(unemploym)
> 
> That's right, but the latest version of ivreg2 (2.1.15) has a new
> option, "endog", which lets you do the same test but in a slightly more
> intuitively understandable way:
> 
> ivreg2  wage  d_educ2-d_educ4 exp /*
> */  (unemploym = unemploym-1) [aweight=weight], endog(unemploym)
> 
> You will get the same test statistic as your proposed command, but this
> is a little clearer: you are asking whether unemploym needs to be
> specified as endogenous.
> 
> --Mark
> 
> > Thanks for your suggestions,
> > Max
> > 
> > 
> > 
> > 
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