Dovev,
Quoting "Lavie, Dovev" <[email protected]>:
> Does anyone know how to test for endogeneity in the case where the
> dependent
> variable (y) is a count variable and the endogenous regressor is a
> binary
> variable (z)? (see below). As far as I know, the Durbin-Wu-Hausman
> test
> works only with OLS. Any suggestions on how to determine whether
> variable z
> can be assumed exogenous are most welcome.
I think it's not hard to do in principle, but there's a big "if"
involved. *If* you can estimate the model in two forms, one treating the
regressor z as endogenous, and one treating it as exogenous, then you can
do a Hausman test using the -hausman- command. When estimating the
former, you'll need a procedure that will deliver a valid var-cov matrix
for the estimated coefficients as well as consistent estimates of the
coefficients themselves.
A quick
findit binomial endogenous
didn't turn up anything, so there may not be any such package around for
estimating a negative binomial with an endogenous regressor. But maybe
you've taken care of this requirement.
Hope this helps.
Cheers,
Mark
> z = a0 + a1*x1 + a2*x2 + epsilon1 (probit model)
>
>
>
> y = b0 + b1*z + b2*x3 + epsilon2 (negative binomial model)
>
>
>
> Thanks,
>
> Dovev
>
>
>
>
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
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