Erasmo,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> Erasmo Giambona
> Sent: Wednesday, April 25, 2007 10:47 AM
> To: [email protected]
> Subject: Re: st: Re: hausman's test with xtivreg2
>
> Hi Kit and Mark,
> I have spent quite some time to double check the conditional
> moment test and I believe I am doint it right. Here is what I
> get. The endog option within xtivreg2 gives me a p-val of
> 0.3. Then I perform the conditional moment test as follows:
>
> Model: Lit = b0 + b1mi1 + b2mi2 + b3zit + eit, with m1 and m2
> both possibly endogenous and zit exogenous. Which I estimate
> with xtreg, fe. Then, predict fe_resid, ue. Then,
>
> gen var1= m1_it*w_hat_it
> gen var2= m2_it*w_hat_it
> gen var3= zit*w_hat_it
>
> sureg (var1 var2 = w_hat_it var3 zit).
>
> Finally,
> test [var1]_cons [var2]_cons
I wonder whether this is because -xtivreg2- does everything (as it
should) after applying the mean-deviation transform to all variables,
whereas your -sureg- command seems to use variables constructed from the
data before demeaning.
Perhaps try demeaning your mi1, mi2 and zit variables by hand using Ben
Jann's -center- command, then construct the var1-var3 using these, and
finally use -sureg-. You'll need to make sure that the centering is
done using the same estimation sample that -xtreg- uses. Something like
xtreg l1t mi1 zi1, fe i(id)
<generate residuals - use doubles>
sort id
by id: center mi1 zi1 if e(sample)
gen double var1 = c_mi1*w_hat_it
<etc.>
--Mark
> The tes gives me a p-val=0.000, which I interpret as evidence
> that m1 and m2 are endogenous (while again the p-val from the
> endog is 0.3).
> Can it be that this difference is due to the power of the two
> tests and the cond. mom. test performs bettwer especially if
> ivs are weak?
> In performing the cond. moment test I follow Greene, 2003,
> pp: 505-508 (especially last paragraph of sect. 17.6.4).
>
> Any thoughts would be truly appreciated, Erasmo
>
>
>
> On 4/21/07, Kit Baum <[email protected]> wrote:
> > I would have to wonder whether the execution of the 'conditional
> > moment' test in the xtreg,fe setting was done correctly. If
> xtivreg2
> > cannot detect any evidence of endogeneity, then any asymptotically
> > equivalent test should yield qualitatively similar results, even if
> > one test is more powerful than the other in finite samples.
> >
> >
> > Kit Baum, Boston College Economics
> > http://ideas.repec.org/e/pba1.html
> > An Introduction to Modern Econometrics Using Stata:
> > http://www.stata-press.com/books/imeus.html
> >
> >
> > On Apr 21, 2007, at 2:33 AM, statalist-digest wrote:
> >
> > > in a previous email you mentioned the possibility that the
> > > endogeneity test can be done within the FE context or the
> IV framework:
> > > Kit said:
> > > "I think what is being confused here is that one could do two
> > > Hausman tests in a FE context: one for FE vs RE (which
> does question
> > > the correlation between regressor and fixed effect) and
> another, in
> > > the pure FE context, for endogeneity of regressors. That is, the
> > > test of OLS vs IV for the LSDV model. The former Hausman
> test would
> > > look at the correlation between regressor (mangerial
> ownership) and
> > > the firm- specific effect, but if done purely in a OLS/LSDV
> > > framework, could be weakened if OLS is inappropriate in the first
> > > place. But I don't see how that critique would apply if
> the test was
> > > done in a IV framework, allowing for endogeneity of regressors."
> > >
> > > I obtained the conditional moment test within the FE suggested in
> > > the paper and found strong rejection for exogeneity
> (unlike what I
> > > find with the endog option in xtivreg2).
> > >
> > > If you have any thoughts on this, it would be truly appreciated.
> >
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> >
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