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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 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**RE: st: re: how to explain the results of ivendog after -ivreg2-?***From:*"Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>

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