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st: The explanation of Sargan statistic and Endogeneity test


From   "George_Huang" <cjhuang168@gmail.com>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: The explanation of Sargan statistic and Endogeneity test
Date   Tue, 3 Jul 2012 15:08:06 +0800

Dear all:

I ran the comment ivreg2, and got the following results:


Sargan statistic (overidentification test of all instruments): 8.553 Chi-sq(3) P-val = 0.0359
-endog- option:
Endogeneity test of endogenous regressors: 1.992 Chi-sq(2) P-val = 0.3693
Regressors tested:    lagfam lagins

I have two questions:

1. How can I explain the above results?


2. Does it mean that there is no endogeneity problem and I can use the comments of xtreg or reg instead, or I have to make sure the p-value of Sargan statistic is not significant first to make further conclusion? If you have any suggestions, please let me know.



Thanks,



George



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