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st: how to test endogeneity of regressors in panel for Hausman-Taylor


From   John Bunge <jota.be@web.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: how to test endogeneity of regressors in panel for Hausman-Taylor
Date   Mon, 11 Feb 2008 15:31:18 +0100

Dear all,

my concern is to estimate a panel with the Hausman Taylor methodology. This estimator assumes some of the time-invariant and time-variant covariates to be endogenous.

I would like to test the endogeneity of some regressors, i.e. correlation with individual random effect (remember that a two-component error process it is usually assumed, where I label the 'individual random effect' what is the time-invariant component). I heard from a test proposed by Baltagi, Bresson and Pirotte (2003): "Fixed Effects, Random Effects or Hausman-Taylor? A Pretest Estimator", published in Economics Letters 79, pp. 361-369. (this test is based on the well-known Hausman Specification test). Is this test implemented in Stata? 

Are there other ways to test the endogeneity of regressors and by this to analyze whether Hausman-Taylor might be more appropriate than Random Effects?

Best,

John.



-- 
John Bunge
Debt and Finance Analysis Unit
United Nations Conference on Trade and Development (UNCTAD)
Palais des Nations
1211 Genève 10
Switzerland
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