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


From   Christopher Baum <kit.baum@bc.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   re:RE: st: how to perform an endogeneity test involving "streg"
Date   Wed, 19 Oct 2011 16:45:40 -0400

<>
Cam said

Yanling,
I think you mean xtreg.

That doesn't really make sense either, as xtreg does not support IVs. Perhaps xtivreg?

If you need to do a diagnostic test on a panel data model with IVs, use Schaffer's -xtivreg12- from SSC, which requires Baum-Schaffer-Stillman -iveg2- and Schaffer's -ranktest-. The B-S-S Stata Journal papers 2003,2007 cover the issues regarding testing for validity of instruments, endogeneity of particular regressors, etc.

KIt

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                             An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
  An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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