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st: Re: test for exogeneity


From   "Jing Zhou" <jing.zhou@rmit.edu.au>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Re: test for exogeneity
Date   Sun, 25 Jul 2010 11:56:53 +1000

thank you kit. 

i am going to test the endogeneity of x1 x2 x3 (all of them are might-be endogenous variables). what if not all the variables are endogenous? does that matter if i put all the three variables in the ()? e.g.

to test the endogeneity of x1: xtivreg2 dep (x1 x2 x3 = excluded instruments), fe endog(x1). 

from your perspective, by doing so, i am testing x1 while treating both x2 and x3 as endogenous. if x2 or x3 is however exogenous, does this command still work well?  

many thanks!

Jing


>>> Christopher Baum <kit.baum@bc.edu> 23/07/2010 11:01 pm >>>
<>
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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