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ivhettest: heteroskedastic IV in panel estimation


From   Vincenzo Lombardo <vl30@sussex.ac.uk>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   ivhettest: heteroskedastic IV in panel estimation
Date   Sun, 23 Jul 2006 10:21:52 +0100

dear all,
i am using this commands (ivreg2, gmm) for my panel estimation; my issue
is this one: i have to assess if using IV estimation, that is I have
basically to perform a test of endogeneity. Now, in my panel there is
presence of heteroskedasticity and serial correlation (within cluster and
over time);
then I tried two basic way to deal with this:
1) estimating the classical iv panel model re (xtivreg, re), estimating
the model not instrumented (xtreg, re) and then performing the
hausman-type test on the two models; results not need to instrument!!!
2)then, taking into account the fact the the above estimations do not
consider the presence of heteroskedasticity and correlation (xtivreg and
xtreg are not allowed for this), i am using ivreg2, gmm (because it has been
showed that in this cases GMM is more efficient than IV) with
robust-cluster option.
3) QUESTION: can I use after step 2, above, the command ivhettest to
demostrate the presence of heteroskedasticity in the second model, even if
my dataset is panel?
finally, do you think that the step 1 can give consistent result of the
endogeneity test, that i did?
thanks a lot for your attenction,
warm regards, vincenzo.


--
Vincenzo Lombardo
University of Sussex, Dept. of Economics
University of Napoli Parthenope, DSE
12 Canfield Road
BN2 4DN Brighton - UK
tel. (UK):++44(0)7765991711
tel. (ITALY):++393284164302
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