Ritashree,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> ritashree chakrabarti
> Sent: 24 September 2008 17:14
> To: [email protected]
> Subject: st: testing for endogeneity with cluster()
>
> Hi,
>
> I am doing IV regressions and using the "ivreg2" command. I want to
> test for endogeneity and therefore using the "ivendog" to get the
> Durbin-Wu-Hausman test statistic after conducting the IV regressions.
> However, I want to report results with robust standard errors obtained
> after clustering. Since this test is based on the assumption that all
> the observations are independent; the assumption will no longer be
> valid when I pecify "cluster()" and, therefore, the test produced by
> -ivendog- is not valid in those cases, right.
> My question is how to test for endogeneity when I am using the
> "cluster()" with ivreg2?
If you are using the latest version of -ivreg2-, just use the -endog()-
option. There is a clickable example at the bottom of the -ivreg2- help
file.
> Also to test for the validity of instruments after clustering I should
> be comparing the Hansen J-statistic reported automatically when I run
> "ivreg2" with the cluster option.
I think the short answer is "yes".
Best wishes,
Mark
> I am concerned whether I am taking
> the right steps and interpreting the results correctly.
>
> I would really appreciate your help.
>
> Thanks.
>
> Ritashree.
> *
> * For searches and help try:
> * http://www.stata.com/help.cgi?search
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
--
Heriot-Watt University is a Scottish charity
registered under charity number SC000278.
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
