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RE: Re: st: panel data hausman negative


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   RE: Re: st: panel data hausman negative
Date   Tue, 30 Sep 2003 18:27:54 +0100

Adisorn,

From:           	"Rotjanapan, Adisorn" <kongp@ku.edu>
To:             	statalist@hsphsun2.harvard.edu
Subject:        	RE: Re: st: panel data hausman negative
Date sent:      	Tue, 30 Sep 2003 12:07:05 -0500
Send reply to:  	statalist@hsphsun2.harvard.edu

> This question may be simple for everyone.
> I'm a new stata user and trying to test the endogeneity in my model.
> 
> Say I run 
> xtreg FDI openness gdp political_risk, re --> (Hausman test rejects
> the fixed effect estimation)

Actually, it's more correct to say that the Hausman test fails to 
reject the random effects estimation.  Both fe and re are OK, but the 
latter is more efficient.

> How do I test the endogeneity in the model?

This is possible only if you are able to do an estimation of the 
model in which you instrument your potentially endogneous variables.  

> Would it be a big problem if I ignore this?

That depends on lots of things, not the least of which is the tastes 
of the referees you are blessed with.

--Mark
 
> Adisorn
> 


Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert
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