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| From | Christopher Baum <kit.baum@bc.edu> |
| To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
| Subject | re:RE: st: how to perform an endogeneity test involving "streg" |
| Date | Wed, 19 Oct 2011 16:45:40 -0400 |
<>
Cam said
Yanling,
I think you mean xtreg.
That doesn't really make sense either, as xtreg does not support IVs. Perhaps xtivreg?
If you need to do a diagnostic test on a panel data model with IVs, use Schaffer's -xtivreg12- from SSC, which requires Baum-Schaffer-Stillman -iveg2- and Schaffer's -ranktest-. The B-S-S Stata Journal papers 2003,2007 cover the issues regarding testing for validity of instruments, endogeneity of particular regressors, etc.
KIt
Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html
An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html
An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html
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