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st: ivreg2 or xtabond2 endogeneity of regressors


From   "Dithmer, Jan" <jdithme@food-econ.uni-kiel.de>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: ivreg2 or xtabond2 endogeneity of regressors
Date   Wed, 19 Oct 2011 11:38:41 +0200

Dear all,

can the ivreg2 program of Baum et al. (2003, 2007) also be used for dynamic GMM estimation in STATA or just for static regressions?
I am especially interested to use the program to test subsets of regressors for endogeneity. According to the paper "Instrumental variables  and GMM: Estimation and testing"
I would use the orthog option in ivreg2. However, I am a bit confused, because in the Stata program (ivreg2) the endog option is available as well, which is not mentioned in the paper.
Thus, would the endog option be the right choice for test for endogeneity of regressors and orthog is used to test for exogeneity of instruments?
Or is there a possibility to do the same thing in xtabond2 of David Roodman? I am working with panel data.

Thank you very much for your help!

Best,
Jan

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