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st: STATA command for Testing for endogeneity when the sample size is small. Is there a small sample correction?


From   Stephen Armah <armah.stephen@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: STATA command for Testing for endogeneity when the sample size is small. Is there a small sample correction?
Date   Fri, 27 Mar 2009 18:26:18 -0500

Dear all,
I am trying to test for endogeneity but I think I  the command that I
am using to test for endogeneity in STATA is not very powerful when
the sample size is small.
I have a panel of 31 countries and 6 four-year periods.


I am usinging: ivreg2 y x1 x2 (x3 = z1...zn), endog(x3)
where y is the dependent variable, the xi are the independent
variables so that x3 is endogenous, x1 and x2 are exogenous and the zi
are instruments.

Does anyone know of a test of endogeneity in STATA witha small sample
correction?
In order words is there a command in STATA that can test for
endogeneity when the sample size is small?

Thanks and be well
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