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st: Help needed in interpreting the C-statistics in -ivreg2, orthog-
I'd really appreciate if you would help me on a really simple
question about the -orthog- option in the -ivreg2- command.
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:
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,
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