I posted this incorrect response to a question last week. The suspect
endogenous variable needs to be included in the exogenous variable list as
well as in the orthog option.
ivreg2 y1 y2 ( = x4 x5) x1 x2 x3 , gmm robust cluster(subjid)
orthog(y2)
Steve
> -----Original Message-----
> From: Steven Stillman (LMPG)
> Sent: Friday, July 25, 2003 12:33 PM
> To: '[email protected]'
> Subject: RE: Testing for endogeneity with ivreg2
>
> Jim,
> You are 90% of the way to getting your endogeneity test. As you state,
> HOLS is the appropriate alternative for GMM IV. To test for endogeneity
> in this context, run the HOLS model with your suspect endogenous variable
> in the orthog option. So in your example the syntax would be:
>
> ivreg2 y1 ( = x4 x5) x1 x2 x3 , gmm robust cluster(subjid) orthog(y2)
>
> Steve
>
>
>
>
>
>
> -----Original Message-----
> From: Shaw, Jim (NIH/NCI) [SMTP:[email protected]]
> Sent: Thursday, July 24, 2003 11:10 PM
> To: Statalist (E-mail)
> Subject: st: Testing for endogeneity with ivreg2
>
> Dear Statalist:
>
> Does anyone know how the orthog option is used to test for
> endogeneity with
> ivreg2? Suppose I have 2 models (with clustering) where
>
> y1 = y2 + x1 + x2 + x3
>
> and
>
> y2 = x1 + x4 + x5
>
> Using ivreg2 to estimate the first model via GMM, the command would
> look
> something like this:
>
> ivreg2 y1 (y2 = x4 x5) x1 x2 x3 , gmm robust cluster(subjid)
>
> I would like to test whether y2 is orthogonal to the errors. My
> understanding is that, if that were the case, OLS would be
> consistent and
> more efficient than the IV estimator. Actually, I suspect that the
> OLS
> alternative to the GMM IV estimator would be heteroscedastic OLS
> (HOLS). Is
> this correct?
>
> --
> James Shaw
> Research Associate
> College of Pharmacy
> The University of Arizona
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