Hello,
I have two questions about dmexogxt:
1) The joint test clearly rejects the null hypothesis that all
regressors are exogenous, but the tests on individual regressors don't
reject the null for any of the regressors (not even close).
More precisely, let's say I estimate my model with the following
command:
xtivreg y x1 (x2 x3 = z2 z3), fe
When I do "dmexogxt", the null hypothesis that all regressors are
exogenous ism clearly rejected. However, when I do "dmexogxt x2" and
"dmexogxt x3", I definitly can't reject the null for either x2 or x3 at
the same level.
How can I interpret these results?
2) After "xtivreg y x1 (x2 = z2 ), fe", both "dmexogxt" and "dmexogxt
x2" yield F-statistics.
After "xtivreg y x1 (x2 x3 = z2 z3), fe", both "dmexogxt" still gives an
F-statistic, but "dmexogxt x2" yields a chi2(1). Why is that? Is a Wald
test used in the second case, and if so why?
Thanks a lot.
Jean Salvati
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