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Re: st: RE: testing exogeneity after xtivreg2 with weights


From   "alessia matano" <alexis.rtd@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: testing exogeneity after xtivreg2 with weights
Date   Thu, 31 May 2007 11:49:52 +0200

Ok, I try endog then...
which is the null?? That the variables are exogeneous? Is it based
upon the instruments you use? So that you should perform it when your
instruments pass the sargan test?
thank you
alessia

2007/5/31, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk>:
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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