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Re: st: endogeneity test


From   Bobasu Alina <ally_bib@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: endogeneity test
Date   Thu, 12 May 2011 00:27:23 -0700 (PDT)

Try to use ivregress gmm syntax and then run the endogeneity test for each 
variable and subsets of variables. 

not realyy sure if this is what you were asking.


----- Original Message ----
From: Dan Bergov <danbergov@yahoo.com>
To: "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Sent: Wed, May 11, 2011 12:45:46 PM
Subject: st: endogeneity test

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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