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From |
Cameron McIntosh <cnm100@hotmail.com> |

To |
STATA LIST <statalist@hsphsun2.harvard.edu> |

Subject |
RE: st: how to perform an endogeneity test involving "streg" |

Date |
Wed, 19 Oct 2011 16:34:52 -0400 |

Yanling, I think you mean xtreg. I think that this request requires some thought. From a purely statistical point of view, there are the Hausman and related tests: Hausman, J.A. (1983). Specification and estimation of simultaneous equation models. In Z. Griliches & Intriligator, M.D. (Ed.), Handbook of Econometrics (vol I, pp. 391-448). North-Holland Publishing Company.http://pria.uran.ru/ebooks/Unsorted/07%20Hausman%20-%20Specification%20and%20Estimation%20of%20Simultaneous%20Equation%20Models.pdf 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. Chmelarova, V. (2007). The Hausman test, and some alternatives, with heteroskedastic data (Ph.D. Dissertation). Lousiana State University and Agricultural and Mechanical College.http://etd.lsu.edu/docs/available/etd-01242007-165928/unrestricted/Chmelarova_dis.pdf 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 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 Schaffer, M.E. (2005). IXTIVREG2: Stata module to perform extended IV/2SLS, GMM and AC/HAC, LIML and k-class regression for panel data models. Statistical Software Components S456501, Boston College Department of Economics (revised 28 Aug 2010).http://ideas.repec.org/c/boc/bocode/s456501.html But contrary to popular belief, that still doesn't directly certify whether a given variable really is an instrument for a purported causal relation. One must also use graphical criteria: Brito, C., & Pearl, J. (2002). Generalized instrumental variables. In A. Darwiche and N Friedman (Eds.), Uncertainty in Artiﬁcial Intelligence: Proceedings of the Eighteenth Conference (pp. 85-93). San Francisco, CA: Morgan Kaufmann.http://ftp.cs.ucla.edu/pub/stat_ser/r370.pdf Pearl, J. (August 3, 2011). The Causal Foundations of Structural Equation Modeling. Technical Report R-370, UCLA Computer Science Department. Chapter for R. H. Hoyle (Ed.), Handbook of Structural Equation Modeling. New York: Guilford Press.http://ftp.cs.ucla.edu/pub/stat_ser/r370.pdf Kyono, T.M. (2010). Commentator: A Front-End User-Interface Module for Graphical and Structural Equation Modeling. Technical Report R-364. Los Angeles, CA: Department of Computer Science, UCLA. Los Angeles, CA. http://ftp.cs.ucla.edu/pub/stat_ser/r364.pdf Chan, H., & Kuroki, M. (2010). Using Descendants as Instrumental Variables for the Identification of Direct Causal Effects in Linear SEMs. In Proceedings of the 13th International Conference on Artificial Intelligence and Statistics (AISTATS) 2010, Chia Laguna Resort, Sardinia, Italy. Journal of Machine Learning Research, Workshop &Conference Proceedings, 9, 73-80. http://jmlr.csail.mit.edu/proceedings/papers/v9/chan10a/chan10a.pdf Stanghellini, E. (2004). Instrumental variables in Gaussian directed acyclic graph models with an unobserved confounder. Environmetrics, 15(5), 463–469. He/she couldn't argue with you after you verify your IVs through these channels. Hope this helps, Cam Date: Wed, 19 Oct 2011 14:23:38 -0400 From: yanling_wang@carleton.ca To: statalist@hsphsun2.harvard.edu Subject: st: how to perform an endogeneity test involving "streg" Hello listers:I was requested by one of the referees for my article to perform an endogeneity test after "streg" to show whether the IVs are valid. Is there a package in State to get it done?Thank you.Yanling ------------------------------- Yanling Wang Associate Professor School of International Affairs Carleton University http://www.carleton.ca/~ywang1 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/ * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

**References**:**st: how to perform an endogeneity test involving "streg"***From:*Yanling Wang <yanling_wang@carleton.ca>

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