But doesn't -orthog- regard the exogeneity of the instruments
themselves, where as I am interested in the exogeneity/endogeneity of
the instrumentED variable?
Do I have this all wrong in my head?
Tinna
On 1/3/06, Mark Schaffer <[email protected]> wrote:
> 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: [email protected]
> web: http://www.sml.hw.ac.uk/ecomes
>
>
>
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