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RE: st: Endogeneity


From   Cameron McIntosh <cnm100@hotmail.com>
To   STATA LIST <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Endogeneity
Date   Fri, 14 Oct 2011 12:13:26 -0400

Ozgur,

 

See the following:

 


Antonakis, J., Bendahan, S., Jacquart, P., & Lalive, R. (2010). On making causal claims: A review and recommendations. The Leadership Quarterly, 21(6), 1086-1120. 
http://www.hec.unil.ch/jantonakis/Causal_Claims.pdf
 
Antonakis, J., Bendahan, S., Jacquart, P., & Lalive, R. (submitted). Causality and endogeneity in leadership research: Problems and solutions. In D.V. Day (Ed.), The Oxford Handbook of Leadership and Organizations. 
http://www.hec.unil.ch/jantonakis/Causality_and_endogeneity_final.pdf
 
Baum, C. F., Schaffer, M. E., & Stillman, S. (2007). Enhanced routines for instrumental variables/generalized method of moments estimation and testing. The Stata Journal, 7(4), 465-506.

 

Jeong, J., & Yoon, B.H. (2010). The Effect of Pseudo-Exogenous Instrumental Variables on Hausman Test. Communications in Statistics - Simulation and Computation, 39(2), 315-321.

 

Dhrymes, P.J. (August 2003). Tests for Endogeneity and Instrument Suitability. Columbia University, Department of Economics Discussion Paper Series, Paper No. 0203-21. New York, NY: Department of Economics, Columbia University.

 

Lochner, L., & Moretti, E. (May 2011). Estimating and Testing Non-Linear Models Using Instrumental Variables
NBER Working Paper Series, Paper No. 17039. Cambridge, MA: National Bureau of Economic Research. JEL No. C01,J0.
http://emlab.berkeley.edu/~moretti/nonlinearities.pdf

 

 

Cam

----------------------------------------


 

> Subject: Re: st: Endogeneity
> From: william@williambuchanan.net
> Date: Fri, 14 Oct 2011 08:53:56 -0700
> To: statalist@hsphsun2.harvard.edu
>
> Hi Ozgur,
>
> I would suggest looking through the help files provided by the authors of - ivreg2 - regarding the different tests available. If you know that your instruments are probably endogenous it would probably be a good idea to look for other instruments. However, the different tests that are available with the - ivreg2 - command are a good place to start.
>
> Good luck,
> Billy
>
> Sent from my iPhone
>
> On Oct 14, 2011, at 8:43, Ozgur Ozdemir <ozdemirozgur@hotmail.com> wrote:
>
> >
> >
> >
> >
> > Hi,
> >
> >
> >
> > I am working on corporate governance and have the IVs such as managerial ownership, remuneration, board od directors etc with DP of performance. based on the literature most of the IVs are potetiall candidate to be endogeneous as companies change their remuneration when performance goes down, managers sell shares. So, I am not sure how I can test endogeneity and decide whether I need to have any instrumentatl variables later on. will be happy if you can briefly explain the steps then I can go and explore.
> >
> >
> >
> > kind regards
> > Ozgur Ozdemir
> > E: ozdemirozgur@hotmail.com
> > Skype : ozgurozdemir2005
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