st: Re: endogeneity test

[Kit Baum <baum@bc.edu>]

Under the alternative hypothesis (that the variable cannot be treated  
as exogenous) you must have a set of instruments (at least one!) that  
would be used to implement an instrumental variables estimator. Given  
that, you may use the 'orthog()' option of ivreg2 to perform a test  
for exogeneity/endogeneity. See Baum, Schaffer, Stillman, Stata  
Journal 2003, or the preprint version of "IV and GMM..." available at  
the URL in my signature.

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html


On Dec 7, 2005, at 2:33 AM, statalist-digest wrote:


> I want to test endogeneity for a binary variable in a
> simple OLS regression. I do not know whether I can use
> Durbin-Wu-Hausman test. Can any one suggest me what to
> do.
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