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Re: st: endogeneity test


From   Austin Nichols <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: endogeneity test
Date   Wed, 11 May 2011 12:14:47 -0400

Dan Bergov <danbergov@yahoo.com>
Read the -ivreg2- (SSC) help file carefully.
http://fmwww.bc.edu/repec/bocode/i/ivreg2.html

On Wed, May 11, 2011 at 5:45 AM, Dan Bergov <danbergov@yahoo.com> wrote:
> 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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