thank you very much for your reply!
Best,
Max
--- Urspr�ngliche Nachricht ---
> Von: "Schaffer, Mark E" <[email protected]>
> An: <[email protected]>
> Betreff: st: RE: ivreg2 test of exogeneity
> Datum: Fri, 21 Apr 2006 12:53:26 +0100
>
> Max,
>
> > -----Original Message-----
> > From: [email protected]
> > [mailto:[email protected]] On Behalf Of
> > [email protected]
> > Sent: 21 April 2006 10:51
> > To: [email protected]
> > Subject: st: ivreg2 test of exogeneity
> >
> > Dear Statalist members,
> > i have a question concerning the command ivreg2.
> > I am estimating a rudimental fixed effect model,
> > where the
> > dependent variable is wage, and the independent v. of
> > interest unemployment rate.the observation units are groups
> > of individuals differentiated by skills. i want to control
> > for unobserved heterogeneity of the groups.some of my
> > covariates are constant, and so they get treated as part of
> > the error term.i want to test the strict exogeneity
> > assumption on the explanatory variables that underlies the
> > fe/re model by using ivreg2.in particualr i guess that
> > education, which is constant over time and hence part of the
> > individual component of the error term,correlates with the
> > unemployment rate.
> >
> > i used the lag value of unemployment rate as an instrument,
> > and pooled the data.
> > is the following command correct?
> >
> > ivreg2 wage d_educ2-d_educ4 exp /*
> > */ unemploym ( = unemploym-1) [aweight=weight],orthog(unemploym)
>
> That's right, but the latest version of ivreg2 (2.1.15) has a new
> option, "endog", which lets you do the same test but in a slightly more
> intuitively understandable way:
>
> ivreg2 wage d_educ2-d_educ4 exp /*
> */ (unemploym = unemploym-1) [aweight=weight], endog(unemploym)
>
> You will get the same test statistic as your proposed command, but this
> is a little clearer: you are asking whether unemploym needs to be
> specified as endogenous.
>
> --Mark
>
> > Thanks for your suggestions,
> > Max
> >
> >
> >
> >
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> >
>
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