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st: Help needed in interpreting the C-statistics in -ivreg2, orthog-


From   Bo MacInnis <bo@macinnis.org>
To   statalist@hsphsun2.harvard.edu
Subject   st: Help needed in interpreting the C-statistics in -ivreg2, orthog-
Date   Tue, 27 Jun 2006 17:39:06 -0700

Dear StataListers,

I'd really appreciate if you would help me on a really simple
question about the -orthog- option in the -ivreg2- command.

Suppose:

ivreg y (x1 x2 = z1 z2) X

Now I want to test whether x2 is endogenous. So I use:

ivreg2 y x2 (x1 = z1 z2) X, orthog(x2)

I get the following statitics:

-orthog- option:
Hansen J statistic (eqn. excluding suspect orthog. conditions):          4.559
                                                    Chi-sq(4) P-val =    0.3356
C statistic (exogeneity/orthogonality of suspect instruments):           1.865
                                                    Chi-sq(1) P-val =    0.1720

Question: Does it mean I fail to reject the null where the null is
that x2 is endogenous?

Thank you so much,
Bo MacInnis

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