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st: RE: testing for endogeneity with cluster()


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: testing for endogeneity with cluster()
Date   Wed, 24 Sep 2008 23:48:42 +0100

Ritashree,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> ritashree chakrabarti
> Sent: 24 September 2008 17:14
> To: statalist@hsphsun2.harvard.edu
> Subject: st: testing for endogeneity with cluster()
> 
> 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?

If you are using the latest version of -ivreg2-, just use the -endog()-
option.  There is a clickable example at the bottom of the -ivreg2- help
file.

> 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 think the short answer is "yes".

Best wishes,
Mark

> 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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