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Re: st: ivendog and robust errors


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: ivendog and robust errors
Date   Wed, 4 Jan 2006 02:11:38 -0000 (GMT)

Tinna,

> Dear Statalisters,
>
> Why doesn't -ivendog- (Hausman tests) work after two stage estimations
> with robust errors?

Because the test statistic isn't robust.  If you want a robust test
statistic for endogeneity, you can use the -orthog- option of -ivreg2-.

Hope this helps.

Cheers,
Mark

> Thanks
> Tinna
>
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>


Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3294
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes



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