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Re: st: RE: testing for endogeneity with cluster()


From   "ritashree chakrabarti" <hirup01@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: RE: testing for endogeneity with cluster()
Date   Thu, 25 Sep 2008 09:07:35 -0400

Hi Mark,

Thanks for your help. So the latest version of "ivreg2" would take
into consideration that there is correlation between the groups right?
I was thinking of testing for endogeneity by bootstrapping the
differences between the OLS and IV coefficients, which is a more
complicated process. The endog() would make things so much more
simpler.

Ritashree

On Wed, Sep 24, 2008 at 6:48 PM, Schaffer, Mark E <M.E.Schaffer@hw.ac.uk> wrote:
> 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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>
>
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