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st: Hansen J with multiple endogenous variables


From   Erasmo Giambona <e.giambona@gmail.com>
To   statalist <statalist@hsphsun2.harvard.edu>
Subject   st: Hansen J with multiple endogenous variables
Date   Mon, 21 Sep 2009 14:40:38 +0200

Dear Statlist,

I am estimating a model with multiple endogenous variables (i.e., 3)
using xtivreg2. The output includes the Hansen J. Why is that we only
have 1 Hansen J (instead of 3) when there are 3 endogenous variables?
My intuition tells me that that is because we are simply testing
whether the instrument set is correctly excluded from the second stage
model (which is only 1). Can anyone suggest any references where I
could get more intuition on the issue?

Thanks,

Erasmo
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