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Kit Baum <BAUM@BC.EDU>
Wed, 22 Oct 2008 10:08:12 -0400
I want to test whether a particular variable, bmi, is exegenous, so i
ivreg2 Y bmi (=VARiv), orthog(bmi) is that correct?
It might be easier to understand if you would use the endog() option
of -ivreg2-, as described in Baum-Schaffer-Stillman, Stata Journal 7:4
(preprint available from my home page below). Then you could say
ivreg2 Y (bmi = varIV), endog(bmi)
and the output will produce an endogeneity test which will have the
same null hypothesis as a (Durbin-Wu-)Hausman test of OLS vs IV.
Kit Baum, Boston College Economics and DIW Berlin
An Introduction to Modern Econometrics Using Stata:
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