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st: RE: xtivreg2 testing for regressor endogeneity


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: xtivreg2 testing for regressor endogeneity
Date   Tue, 23 Apr 2013 20:17:54 +0000

Costas,

See my comments interspersed below.

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of Costas Lambrinoudakis
> Sent: 23 April 2013 15:40
> To: Statalist
> Subject: st: xtivreg2 testing for regressor endogeneity
> 
> Dear all
> 
> I am using command xtivreg2. I have a couple of questions concerning
> regressor endogeneity testing and I would be grateful if anyone could help
> me with that.
> 
> I want to estimate the following equation:
> 
> y = b0 + b1x1 + b2x2 + b3x3 + u                         (1)
> 
> Say that x1 is endogenous, x2 and x3 exogenous and that z1 is a potential
> instrument for x1. The dataset is panel and the errors are heteroskedastic
> and clustered.
> 
> Given that my data is panel and the errors are not iid, I cannot use ivendog,
> hausman or dmexogxt. The only choice I am left with is the option
> endog(x1) in xtivreg2,
> i.e. xtivreg2 y x2 x3 (x1=z1), fe endog(x1) cluster(id year)
> 
> My questions are the following:
> 
> 1. Is it correct to use endog when I have only one endogenous variable and
> one instrument?

Yes.

> I may get a result from the option endog(x1) when running
> xtivreg2 command, but I am wondering how are the Sargan statistics
> calculated, given that my model is exactly identified?



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