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Re: st: RE: Hausman test for endogeneity for HT panel estimator


From   Simone Sasso <[email protected]>
To   [email protected]
Subject   Re: st: RE: Hausman test for endogeneity for HT panel estimator
Date   Mon, 13 Jan 2014 12:19:41 +0100

Dear Mark,
Thanks a lot for your help. Is there any other way to test the endogeneity of the variables before running the -xthtaylor- or do i necessarily have to pick the variables that I expect to be endogenous beforehand, run the -xthtaylor- with them as -endog- and then test their endogeneity with the -xtoverid-?
Many thanks and have a nice day,
Simone


Il 1/13/2014 11:26 AM, Schaffer, Mark E ha scritto:
Simone,

-xtoverid-, available from SSC in the usual way, provides a test of overidentifying restrictions after estimation by -xthtaylor-.  This may be what you're looking for.

HTH,
mark

*********

From: [email protected] [mailto:[email protected]] On Behalf Of simone sasso
Sent: 13 January 2014 10:00
To: [email protected]
Subject: st: Hausman test for endogeneity for HT panel estimator

Hello,
I am working on a large panel dataset. I've run the Hausman test to compare random vs. fixed effect finding that random effect are not consistent. I would like to try using the Hausman and Taylor model, beliving that in my analysis some of the estimators are endogenous and some are exogenous. In order to run the Hasman test between FE and HT estimators, do I first have to arbitrarly assume which are the variable that are endogeous or how can I see that?
Many thanks in advance for your help,
Simone


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