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st: Multiple Endogenous Variables in Count Data Model (Poisson or Negative Binomial).


From   "ippab ippab" <ippab.statalist@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: Multiple Endogenous Variables in Count Data Model (Poisson or Negative Binomial).
Date   Wed, 12 Nov 2008 12:17:21 -0700

Hi All,

I have a negative binomial model with 2 endogenous variables.  I also
have two instruments.  However, I am not totally sure how we can test
for endogeneity in this situation.

I know that Wooldridge (2002) in Section 19.5.1 outlines a two-step
approach for testing endogeneity with one endogenous variable.
According to that approach, we need to calculate the residual from OLS
in the first stage and include it in the original model.  Can we
extend it to two endogenous variables -- calculate two residuals
(include all exogenous variables and two instruments in each OLS) and
estimate the original Poisson/negative binomial model with the
residuals.

I would really appreciate any help with this.  Thanks a lot in advance!

Best regards,

ippab
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