Dear All,
I would appreciate your comments on the following
issue.
I have a model with two endogenous variables. I have
two candidate IVs for each endogenous variable. I am
using IVREG2 to estimate my model. My questions are:
(1). Should I use both candidate IVs in my estimateion
or should I check the validity of the two candidate
IVs and use one IV for my model?
(2). If I go for the latter case in (1), identifying
one IV. Then how could i conduct Durbin-wu-hausman
test in IVREG2? Since i have exact identification and
the Orthog() option of IVREG2 will not work in this
case. Could I use:
IVREG dependentvar indepedentvars (endogenous
vars=ivs), robust cluster(id)
hausman, save
reg dependentvar indepedentvars, robust cluster(id)
hausman
(3). When I am checking the validity of my IV. Could I
just regress the residual from the structure model on
the candidate IVs separately. If the coefficient on an
IV is insignificant, then the IV is exogenous and
valid assuming the IV already passed the relevance
test.
(4). a more general question is: which one is better?
the exact identification or using more-than-one IVs.
Thanks a lot,
Sabrina
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