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st: testing for endogeneity with cluster()


From   "ritashree chakrabarti" <hirup01@gmail.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: testing for endogeneity with cluster()
Date   Wed, 24 Sep 2008 12:14:17 -0400

Hi,

I am doing IV regressions and using the "ivreg2" command. I want to
test for endogeneity and therefore using the "ivendog" to get the
Durbin-Wu-Hausman test statistic after conducting the IV regressions.
However, I want to report results with robust standard errors obtained
after clustering. Since this test is based on the assumption that all
the observations are independent; the assumption will no longer be
valid when I pecify "cluster()" and, therefore, the test produced by
-ivendog- is not valid in those cases, right.
My question is how to test for endogeneity when I am using the
"cluster()" with ivreg2?

Also to test for the validity of instruments after clustering I should
be comparing the Hansen J-statistic reported automatically when I run
"ivreg2" with the cluster option. I am concerned whether I am taking
the right steps and interpreting the results correctly.

I would really appreciate your help.

Thanks.

Ritashree.
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