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st: ivreg2 & endogenity


From   Ozgur Ozdemir <ozdemirozgur@hotmail.com>
To   Stata <statalist@hsphsun2.harvard.edu>
Subject   st: ivreg2 & endogenity
Date   Sun, 29 Jul 2012 16:40:22 +0000


Hi,

I would like to test the endogenity of 2 variables using their 1-year lags as instruments. The model is 

ivreg2 y x1 x2 (x4 x5 = L.x4 L.x5), r 

the variables x4 and x5 might be endogenous.


and would like to test whether x4 and/or x5 is endogenous. However not sure if I need to do test together 
ivreg2 y x1 x2 (x4 x5 = L.x4 L.x5), r endogtest(x4 x5)


or separately one by one like the following
ivreg2 y x1 x2 (x4 x5 = L.x4 L.x5), r endogtest(x4)
ivreg2 y x1 x2 (x4 x5 = L.x4 L.x5), r endogtest(x5)
 


 
kind regards
Ozgur 
 		 	   		  
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