st: instruments in ivreg2

[Bidisha Mandal <mandal.7@osu.edu>]

Hi,

I am working with panel data, and using ivreg2 for estimation purposes.
My dependent variable is a measure of individual's mental health status. 
One of the independent variables is individual's labor market status, 
which could be endogenous. Using the 'endog' option I tested that it is 
in fact endogenous. I used state unemployment rate as a proxy, due to 
high correlation between this and individual's labor market status. But 
the J-statistic turns out to be significant. Seems unrealistic, how can 
my mental health affect state unemployment rate? Is this result because 
the test JOINTLY tests instruments are uncorrelated with the error AND 
correctly excluded from the estimated equation? Is there anyway to JUST 
test whether the instrument is appropriate?

Thanks,

--
Bidisha Mandal

Dept. of AED Economics
The Ohio State University  
*
*   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/