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st: Endogeneity test (orthog), 2SLS autocorrelation (ivgmmN)


From   D Jimenez Rubio <djr109@york.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Endogeneity test (orthog), 2SLS autocorrelation (ivgmmN)
Date   Thu, 18 Sep 2003 12:38:42 +0100

Dear Statalist users,

I am running a 2SLS where I suspect 2 of my variables could be
endogenous. However, I only have adequate instruments for 1 of the
suspected endogenous variables. Is it possible to use the instrumental
variable regression (ivreg2) to test whether the variable for which I
have instruments is endogenous or not and the option "orthog" afterwards
to check whether the second suspected variable (the one for which I
don't have instruments) is endogenous? In that way, I can test for
endogeneity for the second variable without using instruments.
I would like to ask you something else. I would like to know when is it
going to be released the command ivgmmN which corrects for serial
correlation in 2SLS. I suspect that my 2SLS regression suffer from
autocorrelation and I don't know how to correct for it. 

Thanks a lot very much

Maria D.

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