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Re: st: re: how to explain the results of ivendog after -ivreg2-?


From   gjhxmu@sina.com
To   statalist<statalist@hsphsun2.harvard.edu>
Subject   Re: st: re: how to explain the results of ivendog after -ivreg2-?
Date   Wed, 05 Aug 2009 01:12:16 +0800

Dear Kit, thank you for your help and gave me a visual example!

I know your meanings.
However, I still need to decide which one or both are endogeous,
which is a previous step of regression later.

Only deciding the endogeneity first can I decide the equation ultimately.

Could you please give me any suggestion ?

Thank you very much!

Best regards,

Rose.




----- Original Message -----
From: Kit Baum <baum@bc.edu>
To: statalist@hsphsun2.harvard.edu
Subject: st: re: how to explain the results of ivendog after -ivreg2-?
Date: 2009-8-4 22:33:36

<>

Rose said

Tests of endogeneity of: x1 x2
H0: Regressors are exogenous
Wu-Hausman F test: 5.32266 F(2,1224) P-value 
= 0.00499
Durbin-Wu-Hausman chi-sq test: 10.70872 Chi-sq(2) P-value 
= 0.00473

Tests of endogeneity of: x1

H0: Regressor is exogenous
Wu-Hausman F test: 1.86877 F(1,1225) P-value 
= 0.17187
Durbin-Wu-Hausman chi-sq test: 1.89181 Chi-sq(1) P-value 
= 0.16900

Tests of endogeneity of: x2
H0: Regressor is exogenous
Wu-Hausman F test: 0.59057 F(1,1225) P-value 
= 0.44235
Durbin-Wu-Hausman chi-sq test: 0.59848 Chi-sq(1) P-value 
= 0.43916



and wants to know how these results could be obtained after estimating 
the model

ivreg2 y z1--z8 (x1 x2= z9--z12)

Apparently if you ask "is x1 correlated with error" (equivalent to 
using endog(x1) option on ivreg2) the evidence against the null that 
it is orthogonal is weak. Likewise for x2. If you ask "can we run the 
whole thing as OLS" there is sufficient evidence to reject. The result 
of a joint test cannot be predicted from those of its components; you 
can
reg y x1 x2 x3
with insignificant t's on x2 and x3 (particularly if their correlation 
is high) but
test x2 x3
will strongly reject. Likewise here.
Kit
Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming 
| http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html



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