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Re: st: re: xtivreg


From   W Zang <W.L.Zang@Bradford.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: re: xtivreg
Date   Wed, 05 May 2010 14:37:27 +0100

Dear Kit

Thank you very much for your previous reply. I have another question and wonder if you could help me please. Before estimating the two simultaneous equations, I did the endogeneity test of y2.
xtivreg2 y1 (y2 = x4 x5) x1 x2 x3, fe endog (y2)

I also performed Durbin-Wu-Hausman test.
ivreg2 y1 (y2 = x4 x5) x1 x2 x3
ivendog (y2)

I got two different results. y2 is proved to be exogeneous in the first case and y2 is endogenous in the second case. Did I do something wrong? Which test should I follow?

Best Wishes,

Linda


Quoting Kit Baum <baum@bc.edu>:

<>
Linda said

I am trying to use xtivreg to estimate two-stage least squares
simultaneous equations. I have two endogenous variables Y1 and Y2. Y1
and Y2 are affected by different exogenous variables. Y1 is affected
by X1, X2, X3 and Y2 is affected by X1, X4, X5.

Y1 = a0 + a1*Y2 + a2*X1 + a3*X2 + a4*X3
Y2 = b0 + b1*Y1 + b2*X1 + b3*X4 + b4*X5


xtivreg y1 (y2 = x4 x5) x1 x2 x3, fe
xtivreg y2 (y1 = x2 x3) x1 x4 x5, fe

The syntax is the same as it would be for a non-panel IV estimator. Just list the variables excluded from each equation within the parenthesized expression.

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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