Mark,
Thanks for your help. I will have a look at the link you suggested.
Cordula
> 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:
> > * http://www.stata.com/support/faqs/res/findit.html
> > * 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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>
*
* For searches and help try:
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