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st: Fwd: re:ivreg2 (with orthog option)


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Fwd: re:ivreg2 (with orthog option)
Date   Wed, 22 Oct 2008 10:10:00 -0400


< >
Mohamed said

I want to test whether a particular variable, bmi, is exegenous, so i run
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
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html



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