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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 12:35:12 -0400

Hi Mark,

The example with the "ivreg2" help file shows that I have to use the
"ivendog" command after I run the IV regression. This was what I was
doing before and it gives the Durbin-Wu statistic. Is it the same as
the endog() option that you are talking about which gives consistent
even after clustering  the standard errors? I could not find the
endog() option in my version of the ivreg2 help file.

Thank you.

Rita.

On Thu, Sep 25, 2008 at 9:07 AM, ritashree chakrabarti
<hirup01@gmail.com> wrote:
> 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,
>>
>>> ----d -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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