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st: how to test with two suspect endogenous variables?


From   gjhxmu@sina.com
To   statalist<statalist@hsphsun2.harvard.edu>
Subject   st: how to test with two suspect endogenous variables?
Date   Sun, 24 May 2009 01:42:26 +0800

Dear all,
I encountered a problem with endogeniety.Concretely, I have a equation below:
y=al+a2x1+a3x2+a4z+e
where z is exogenous definitely.However, I suspect whether x1 and x2 are endogenous.
and there are two instrument variables, z1 for x1 and z2 for x2.

In wooldridge book, there is an introduction about how to test whether one variable is endogenous.i.e,hausman test. First get the residual and then add the residual to the equation.If the p value of residual is significant, the suspect variable is endogenous.

However, how to test with two suspect endogenous variables? 

Hope replies sincerely. Thank you in advance.

Rose  

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