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st: Re: test for exogeneity


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Re: test for exogeneity
Date   Fri, 23 Jul 2010 09:01:32 -0400

<>
On Jul 23, 2010, at 2:33 AM, Jing wrote:

> I am going to use command "xtivreg2 dep var1 (var2=var_iv), endog (endogenous var)" to test for the suspicious endogenous variables in my model. suppose I have more than one endogenous variables. to detect all of them, can i put one suspicious variable into endog (endogenous var) option, and at the same time put other suspicious variables as the exogenous variables? that is, for example, x1 x2 x3 are considered as suspicious endogenous variables.if i want to test the endogeneity of x1, can i write the command like:
> 
> xtivreg2 dep x2 x3 (x1=iv for x1), endog (x1)?
> 
> for x2: xtivreg2 dep x1 x3 (x2=iv for x2), endog (x2)? ......

No. If your model contains several endogenous regressors, they should all go in the ( ). E.g.

xtivreg2 dep (x1 x2 x3 = excluded instruments), fe endog(whatever)

If whatever is x1 x2 x3, then you are testing whether you need IV or can use standard OLS fixed-effects (a Hausman test). If you put just one (or just two) of the might-be-endogenous regressors in the endog(), you are testing them while treating the others as endogenous. The endog() option effectively reruns the model, making what you have in endog() exogenous, and compares the J-statistics from those two models.

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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