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RE: st: Endogeneity Test for Panel Data


From   Cameron McIntosh <cnm100@hotmail.com>
To   STATA LIST <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Endogeneity Test for Panel Data
Date   Wed, 7 Dec 2011 00:20:44 -0500

Andrew,

I would recommend that you take a look at:

Mutl, J., & Pfaffermayr, M. (2011). The Hausman test in a Cliff and Ord panel model. The Econometrics Journal, 14(1), 48–76.

Spencer, N.H., & Fielding, A. (2000). An Instrumental variable consistent estimation procedure to overcome the problem of endogenous variables in multilevel models. Multilevel Modeling Newsletter, 12(1), 4-7.https://uhra.herts.ac.uk/dspace/bitstream/2299/752/1/900763.pdf

Murtazashvili, I., & Wooldridge, J.M. (2008). Fixed effects instrumental variables estimation in correlated random coefficient panel data models. Journal of Econometrics, 142(1), 539-552.

Wooldridge, J.M. (2005). Fixed-Effects and Related Estimators for Correlated Random-Coefficient and Treatment-Effect Panel Data Models. The Review of Economics and Statistics, 87(2), 385-390.

Ebbes, P., Bockenholt, U., & Wedel, M. (2004). Regressor and random-effects dependencies in multilevel models. Statistica Neerlandica, 58(2), 161–178.http://www.personal.psu.edu/pxe12/pdfs/Ebbes_Bockenholt_Wedel_04_Regressors%20and%20random%20effects%20dependencies.pdf ;
Halaby, C. (2004). Panel models in sociological research: theory into practice. Annual Review of Sociology, 30, 507-544. Kim, J-S., & Frees, E.W. (2007). Multilevel modeling with correlated effects. Psychometrika, 72(4), 505-533.
http://www.springerlink.com/content/m4830102532546h7/fulltext.pdf

Goldstein, H. (2011). Multilevel Models with Correlated Random Effects. In W.A. Shewhart & S.S. Wilks (Eds.), Multilevel Statistical Models (4th ed., pp. 315-328). Chichester, UK: Wiley. 

Kim, J.-S., & Frees, E.W. (2006). Omitted variables in multilevel models. Psychometrika, 71(4), 659-690.http://itp.wceruw.org/vam/Kim%20&%20Frees%202006%20PSYCHOMETRIKA%20Omitted%20variables%20in%20multilevel%20models.pdf

Kim, J-S., & Frees, E.W. (2007). Multilevel modeling with correlated effects. Psychometrika, 72(4), 505-533.http://www.springerlink.com/content/m4830102532546h7/fulltext.pdf
Cam

> Date: Tue, 6 Dec 2011 20:48:44 -0500
> Subject: st: Endogeneity Test for Panel Data
> From: wongylo@gmail.com
> To: statalist@hsphsun2.harvard.edu
> 
> Dear Statalisters,
> 
> I'm working with an unbalanced panel data set that includes
> observations for 30 stations over the span of 15 to 25 years. Having
> run a Hausman test, I've determined that I should employ a random
> effects model. I would like to test for the endogeneity of one of my
> regressors. I know that the -dmexogxt- command exists to do an
> endogeneity test for panel data but it only applies for fixed effects
> models. Is there a command that allows me to test for exogeneity after
> I use -xtivreg, re-? If not, how would you recommend I go about
> testing for exogeneity?
> 
> Thanks in advance,
> Andrew
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