st: testing for endogenity of a regressor (was mime-version 1.0)

[Kit Baum <baum@bc.edu>]

Olle wrote

"Testing for endogenity of a regressor

We have the following outcome equation:

(1) lnY=aX+bC+e

were X is assumed to be exogenous variables and C is an indicator  
variable
for a multinomial treatment (each individual is exposed to one out of  
five
possible treatments).

Treatment selection is governed by the following linear index function:

(2) C=dZ+u

were Z represents another set of set of exogenous variables.

The idea is to control for possible selection bias (i.e. E(e|C,X) #  
0) in
the estimation of the treatment effect using a "selection on  
observables"
approach, where Z is added to equation (1) and this equation is  
estimated
as a linear control function model.

Before proceeding with this, we would like to test whether C in equation
(1) is actually endogenous.

Anyone who knows how to perform a endogeneity test in Stata in this  
case?
Perhaps something analogous to the Durbin- Whu- Hausman test?"


findit ivreg2

also see SJ 3(1), Baum, Schaffer, Stillman, available in preprint  
form from my homepage below


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


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