Hi,
I am doing IV regressions and using the "ivreg2" command. I want to
test for endogeneity and therefore using the "ivendog" to get the
Durbin-Wu-Hausman test statistic after conducting the IV regressions.
However, I want to report results with robust standard errors obtained
after clustering. Since this test is based on the assumption that all
the observations are independent; the assumption will no longer be
valid when I pecify "cluster()" and, therefore, the test produced by
-ivendog- is not valid in those cases, right.
My question is how to test for endogeneity when I am using the
"cluster()" with ivreg2?
Also to test for the validity of instruments after clustering I should
be comparing the Hansen J-statistic reported automatically when I run
"ivreg2" with the cluster option. I am concerned whether I am taking
the right steps and interpreting the results correctly.
I would really appreciate your help.
Thanks.
Ritashree.
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
