Cordula,
Probably the easiest way to test for endogeneity with xtabond or xtabond2 is
a difference-in-Sargan test. You might find the following posting from
earlier this year useful:
http://www.stata.com/statalist/archive/2004-07/msg00101.html
Hope this helps.
Cheers,
Mark
Quoting Cordula Stolberg <[email protected]>:
> Hello,
>
> I am estimating a dynamic panel with xtabond. I suspect that one
> regressor
> might be endogenous. In earlier postings, I have read that it is
> possible to
> use a Hausman test to test for the endogeneity of regressors.
> However, I am
> not quite sure about the syntax.
>
> Assuming I have the semi-log model
>
> logY = logY(t-1) X1 X2 TimeDummies
>
> and I suspect X1 to be endogenous. I know that I can estimate the
> model
> treating X1 first as endogenous (always consistent) and then a
> second model
> treating X1 as exogenous (consistent only if X1 is exogenous) and do
> a
> -hausman model1 model2-.
>
> However, I am not sure about the syntax. With -xtabond-, would that
> look
> like:
>
> Model 1 (always consistent):
>
> xi: xtabond logY X2 i.TimeDummies, lags(1) pre(X1, lags(1,.) end)
>
> Model 2 (consistent only if X1 is exogenous):
>
> xi: xtabond logY X1 l.X1 X2 i.TimeDummies, lags(1)
>
>
> Is this the correct syntax? And with -xtabond2- would this be
> expressed as:
>
> Model 1:
>
> xtabond2 logY l.logY l(0/1).X1 X2 TimeDummies, gmm(l.logY, X1)
> ivstyle(X2
> TimeDummies)
>
>
> Model 2:
>
> xtabond2 logY l.logY X1 l.X1 X2 TimeDummies, gmm(l.logY) ivstyle(X1
> l.X1 X2
> TimeDummies)
>
>
> Thanks for your help,
> Cordula
> *
> * For searches and help try:
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> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3294
email: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
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