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st: RE: testing exogeneity after xtivreg2 with weights


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: testing exogeneity after xtivreg2 with weights
Date   Thu, 31 May 2007 08:32:40 +0100

Alessia,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> alessia matano
> Sent: 30 May 2007 20:53
> To: statalist@hsphsun2.harvard.edu
> Subject: st: testing exogeneity after xtivreg2 with weights
> 
> Hi to all,.
> 
> I would like to apply an exogeneity test after xtivreg 2 with 
> weights, that I have to compare with areg , absorb( ), 
> because a standard xtreg, fe does not allow to put weights.
> I can not use hausman, neither the other test that work only 
> after ivreg or xtivreg
> 
> thank you
> alessia

You can compare the regression with endogenous regressors to one with
exogenous regressors using -xtivreg2- for both; -xtivreg2- allows you to
specify that all regressors are exogenous.

But why not just use the -endog- option of -xtivreg2-?  This should
generate the exogeneneity test that you want.

Cheers,
Mark

Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3296
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes


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