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Re: st: Re: IVPOIS: Endogeneity Test

From   Austin Nichols <[email protected]>
To   [email protected]
Subject   Re: st: Re: IVPOIS: Endogeneity Test
Date   Tue, 3 Jul 2012 09:01:24 -0400

Joseph Monte <[email protected]>:
I am no longer developing -ivpois- since the generalized -gmm- command
I suggested in slide 31 of (July 24, 2008)
became part of official Stata not long after (Stata 11, in 2009).

On Tue, Jul 3, 2012 at 3:28 AM, Joseph Monte <[email protected]> wrote:
> Hi Statalisters,
> Austin,is it possible for you to build the exogeneity test into
> -ivpois- as you promised to do below?
> Is there a negative binomial equivalent of -ivpois- since I believe
> -ivpois- pertains to a poisson regression while I am interested in
> running a negative binomial regression in the instrumental variable
> framework? Hence, I am referring to something on the lines of
> -ivnbreg- (which does not exist at the moment). I have a case of
> over-dispersion (mean of count variable = 79, variance of same count
> variable = 2003), hence I believe that -ivpois- is not appropriate.
> Thanks,
> Joe
> On Mon, Jan 14, 2008 at 3:24 PM, Austin Nichols <[email protected]> wrote:
>> 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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