Mark,
Thanks for your suggestion. Just to clarify your point, do you mean that in
my case I should run::
xtivreg2 $text lrectextg dbrcatext lreptextg (= l.lrgdp95pcx l.lreptextg),
fe first orthog(lreptextg)
And in a case of having more than one potentially endogenous regressor,
would it be valid to run this test for each of those regressors (or pairs of
them) like this?:
xtivreg2 $paper lreppaperg lrecpaperg dbrcapaper (= l.lrgdp95pcx
l2.lrgdp95pcx l.brcapaper l.lreppaperg l2.lreppaperg l.lrgdp95pcm
l.lrecpaperg), fe first orthog(lreppaperg)
xtivreg2 $paper lreppaperg lrecpaperg dbrcapaper (= l.lrgdp95pcx
l2.lrgdp95pcx l.brcapaper l.lreppaperg l2.lreppaperg l.lrgdp95pcm
l.lrecpaperg), fe first orthog(lrecpaperg)
xtivreg2 $paper lreppaperg lrecpaperg dbrcapaper (= l.lrgdp95pcx
l2.lrgdp95pcx l.brcapaper l.lreppaperg l2.lreppaperg l.lrgdp95pcm
l.lrecpaperg), fe first orthog(lreppaperg lrecpaperg)
...and so on
I checked and results (e.g. on Sargan) seem similar, but I'm not too sure
STATA is understanding which variables do I believe are endogenous in these
statements?
Many thanks again!
Andrea
----- Original Message -----
From: "Mark Schaffer" <[email protected]>
To: <[email protected]>
Sent: Wednesday, November 16, 2005 5:47 PM
Subject: Re: st: xtivreg2
> Andrea,
>
> -ivendog- isn't equipped (yet?) to handle -xtivreg2-.
>
> However, you have an easy alternative, which is to use the -orthog()-
> option of -xtivreg2- to conduct your endogeneity tests. Check out
> the help file examples of -ivreg2-, and you'll see an example in the
> list of how to mimic a Durbin-Wu-Hausman endogeneity test using this
> option.
>
> Cheers,
> Mark
>
> From: "Andrea Molinari" <[email protected]>
> To: <[email protected]>
> Subject: st: xtivreg2
> Date sent: Wed, 16 Nov 2005 16:07:08 -0000
> Send reply to: [email protected]
>
> > Dear Statalisters,
> >
> > I'm using the new -xtivreg2- command for FE IV, with the following
equation:
> >
> > xtivreg2 $text lrectextg dbrcatext (lreptextg = l.lrgdp95pcx
l.lreptextg),
> > fe first
> >
> > This works fine, but when I try to run the -ivendog- command to check
for
> > the regressor's endogeneity, I get the following error message:
> >
> > ivendog lrectextg
> >
> > ivendog works only after ivreg, ivreg2; use dmexogxt after xtivreg
> > last estimates not found
> > r(301);
> >
> > I then installed -dmexogxt- and tried:
> >
> > dmexogxt lreptextg
> >
> > but got the following error:
> >
> > dmexogxt only works after xtivreg, fe
> > last estimates not found
> > r(301);
> >
> > Something similar seems to occur when I try to use the -overid, all-
> > command, although for me this is not essential, I only use it as a
check.
> >
> > Does anyone have any suggestions as of what test (and command) to use
for
> > endogeneity?
> >
> > Many thanks!
> >
> > Andrea
> >
> >
> > *
> > * 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 E. Schaffer
> Director
> Centre for Economic Reform and Transformation
> Department of Economics
> School of Management & Languages
> Heriot-Watt University, Edinburgh EH14 4AS UK
> 44-131-451-3494 direct
> 44-131-451-3296 fax
> 44-131-451-4202 CERT administrator
> http://www.sml.hw.ac.uk/cert
>
> *
> * 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/
>
*
* 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/
