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RE: st: option endog in "xtivreg2,... fe"


From   Cameron McIntosh <cnm100@hotmail.com>
To   STATA LIST <statalist@hsphsun2.harvard.edu>
Subject   RE: st: option endog in "xtivreg2,... fe"
Date   Wed, 14 Sep 2011 13:01:49 -0400

Hi Bruno,

I think it's your first guess... take a look at these archived responses, they might be useful:

http://www.stata.com/statalist/archive/2006-05/msg01071.htmlhttp://www.stata.com/statalist/archive/2009-08/msg01349.html

I think it's essentially the same as the DWH test:
Davidson, R., & MacKinnon, J.G. (1993). Estimation and Inference in Econometrics. New York, NY: Oxford University Press.
Baum, C.F., Schaffer, M.E., & Stillman, S. (2002). IVENDOG: Stata module to calculate Durbin-Wu-Hausman endogeneity test after ivreg.Statistical Software Components S494401, Boston College Department of Economics (revised 29 May 2007).http://ideas.repec.org/c/boc/bocode/s429401.html
Cam

> Date: Wed, 14 Sep 2011 17:22:29 +0100
> Subject: st: option endog in "xtivreg2,... fe"
> From: bruno.j.rocha@gmail.com
> To: statalist@hsphsun2.harvard.edu
> 
> Dear statalisters,
> 
> I have a question on the endog option in "xtivreg2 ..., fe". Is it
> testing strict exogeneity (as needed for consistency in a FE model),
> or only discarding contemporary endogeneity?
> 
> Thanks for your help,
> Bruno Rocha
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