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st: Re: IVPOIS: Endogeneity Test

From   "Austin Nichols" <[email protected]>
To   [email protected]
Subject   st: Re: IVPOIS: Endogeneity Test
Date   Mon, 14 Jan 2008 10:24:07 -0500

There is no such test built into -ivpois- (on SSC) though it would be
trivial to add; I'll put it on my list.  An easy way to test by hand
is to predict a residual in the first stage and test its significance
in the second stage (see e.g. Wooldridge pp.664-665).

use, clear
loc x "exper* smsa* south mar black reg662-reg669"
* ivpois wage `x', endog(educ) exog(nearc4)
* test of exogeneity; under the null, test is correct
reg educ `x' nearc4
predict vhat, resid
poisson wage `x' educ vhat
test vhat

BTW, I don't think you posted this successfully to Statalist, though
the email is copied to [email protected]; are you
subscribed?  Relying on any one specific Statalister to answer a
question is a risky strategy at best....

On Jan 12, 2008 11:30 AM, ippab <[email protected]> wrote:
> Hi Austin,
> Is there anyway to test for endogeneity in IVPOIS?  How do we know whether
> we should use the estimates from the original model (Poisson model) or from
> IVPOIS?  I guess I am thinking of something like Hausman test or Wald test
> of exogeneity.
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