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Re: st: endogeneity and IV

From   "Katarina Lynch" <[email protected]>
To   [email protected], [email protected]
Subject   Re: st: endogeneity and IV
Date   Fri, 29 Oct 2004 14:22:31 +0000

Thank you, Mark!

>The Sargan(-Hansen) stat at the bottom of the xtabond output is a test of
>your orthogonality conditions, i.e., that your exogenous independent
>variables and instruments are indeed exogenous.

Before using xtabond command how can I determine which variables should be
lagged as instruments? Should I run xthausman command for each regressor? Or
is it totally up to my intuition?

One more question, does xtabond command take first differences
automatically, or should I do it by myself?

Thanks in advance!


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