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st: re: 2SLS and Hausman test


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: 2SLS and Hausman test
Date   Wed, 28 Nov 2007 09:09:58 -0500

An equivalent test can be performed by -ivreg2-. But in the example you give below the equation is not identified. You must have at least one exogenous regressor in the parenthesized list that is not already in the equation.

ivreg2 ad pse bonus leverage pricebook beta lnsize blockown (roa = pse
bonus leverage pricebook beta lnsize )

What you have written is equivalent to

ivreg ad pse bonus leverage roa pricebook beta lnsize blockown (roa = )

as all of your instruments are already included exogenous regressors.

Let's say you had two additional instruments available, Z1 and Z2. Then you could say

ivreg2 ad pse bonus leverage roa pricebook beta lnsize blockown (roa = Z1 Z2), endog(roa)

and the -endog()- option would do the test of endogeneity, equivalent to -hausman-.

Please see help for -ivreg2- (findit ivreg2).

Kit

Kit Baum, Boston College Economics and DIW Berlin
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


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