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st: Test for Strict Exogeneity after FD

From   Lukas Borkowski <>
Subject   st: Test for Strict Exogeneity after FD
Date   Sat, 19 May 2012 11:37:19 +0200

Dear all,

I am using Stata 11.2.

I am working on panel data with just two time periods and applied first-differencing to compute a FD-estimator. In Wooldridge (2002): Econometric Analysis of cross-section and panel data, page 285 I came across a very appealing way to somehow run the hausman test after FD to test for strict exogeneity. However, after trying for ages, I do still not know how to do that in Stata.

My question is: How do I test for strict exogeneity (via Hausman or elsewise) after running FD? What is the command?

Thank you so much for your help!

Lukas Borkowski

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