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st: The correct order for testing for different kinds of endogeneity


From   Stephen Armah <armah.stephen@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: The correct order for testing for different kinds of endogeneity
Date   Thu, 26 Mar 2009 09:46:12 -0500

Dear all,
How does one test for different kinds of endogeneity and what is
the correct order of testing in STATA?
The two possible kinds of endogeneity I
am dealing with are:
(i) simultaneity or omitted variable endogeneity (I know I should use
the C test)
(ii) country-specific endogeneity (I know I should use the Hausman test)

My dependent variable is growth. I have a cross-section with 31
countries and 6 four-year periods. With regards to (i) above, I have
10 exogenous included RHS variables and many exogenous excluded
instruments.

Also should I first test for auto-correlation and heteroskedasticity in
STATA before testing for endogeneity or is is better to do the reverse?
Thanks
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