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st: RE: Test for choice between IV and OLS estimates in panel regression


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Test for choice between IV and OLS estimates in panel regression
Date   Fri, 4 Aug 2006 09:33:23 +0100

Suryadipta,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> suryadipta.roy@lawrence.edu
> Sent: Friday, August 04, 2006 7:27 AM
> To: statalist@hsphsun2.harvard.edu
> Subject: st: Test for choice between IV and OLS estimates in 
> panel regression
> 
> Dear Statalist,
> 
> I need to choose between IV and OLS estimates in panel 
> regression and was thinking of doing a Hausman test between 
> IV and OLS (using xtivreg and xtreg respectively) and reject 
> the null hypothesis (and choose the IV
> estimate) if the p-value of the test comes out to be less 
> than 0.05. I was just wondering if it can be done using 
> xtivreg2. I read the xtivreg2.hlp file but it did not seem to 
> discuss this situation. Your suggestions are highly appreciated.

This is the -endog- option, which appeared in version 1.0.03.  If you
have an earlier version, you can do it using the -orthog- option, but
updating is probably easier.

Cheers,
Mark

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
http://www.sml.hw.ac.uk/cert


> 
> Thanks!
> Suryadipta.
> 
> 
> Suryadipta Roy, Ph.D.
> Visiting Assistant Professor,
> Department of Economics,
> Lawrence University,
> 115 South Drew Street,
> Appleton, WI-54911.
> Phone: 920-832-7343.
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