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st: Fwd: re:ivreg2 (with orthog option)

From   Kit Baum <[email protected]>
To   [email protected]
Subject   st: Fwd: re:ivreg2 (with orthog option)
Date   Wed, 22 Oct 2008 10:10:00 -0400

< >
Mohamed said

I want to test whether a particular variable, bmi, is exegenous, so i run
ivreg2 Y bmi (=VARiv), orthog(bmi) is that correct?

It might be easier to understand if you would use the endog() option of -ivreg2-, as described in Baum-Schaffer-Stillman, Stata Journal 7:4 (preprint available from my home page below). Then you could say

ivreg2  Y (bmi = varIV), endog(bmi)

and the output will produce an endogeneity test which will have the same null hypothesis as a (Durbin-Wu-)Hausman test of OLS vs IV.

Kit Baum, Boston College Economics and DIW Berlin
An Introduction to Modern Econometrics Using Stata:

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