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st: endogeneity test


From   Dan Bergov <danbergov@yahoo.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: endogeneity test
Date   Wed, 11 May 2011 02:45:46 -0700 (PDT)

Hello! I have the following question: I estimated with GMM a liniar equation and then performed AR test, robust to weak instruments. However when I run the condivreg option I have to mention the endogenous variable. So I run an endogeneity test which I noticed that is availabe for iv methods (ivregress syntax with estat endogenous postestimation option). My problem is: if I initially estimated my equation with GMM is it good if I perform also the ivregress gmm estimation which allows me to perform the endogeneity test? (gmm doesn't have this endogeneity test). The problem is that if i estimate with gmm option and on the other hand also estimate with ivregress gmm  I do not obtain the same results (I know that for instance 2sls is a particular case of GMM in the case of homoskedeastic errors) so I do not  know if it is correct to perform the endogeneity test after ivregress but admit that it is the same for GMM estimation.
I want to estimate with GMM and not ivregress gmm because I do not want to specify the endogenous varibale which is a requirement for ivregress.
I do not know if I made myself clear. Sorry. Hope for a reply.
Dan

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