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st: RE: ivreg2 & endogenity


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: ivreg2 & endogenity
Date   Tue, 31 Jul 2012 19:07:04 +0100

Ozgur,

You can do either - it's up to you.  In the first case, your null is that both x4 and x5 are exogenous.  In the second case, you are doing two separate tests; in one, the null is that x4 is exogenous; in the other, the null is that x5 is exogenous.

It's analogous to testing the coeffs on, say, x1 and x2.  You can test that they are jointly 0, or you can do separate tests of whether one or the other is 0.

HTH,
Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of Ozgur Ozdemir
> Sent: 29 July 2012 17:40
> To: Stata
> Subject: st: ivreg2 & endogenity
> 
> 
> 
> 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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