ippab <[email protected]> :
Short answer--yes, include two residuals. Or
ssc install ivpois, replace
help ivpois
On Wed, Nov 12, 2008 at 2:17 PM, ippab ippab <[email protected]> wrote:
> Hi All,
>
> I have a negative binomial model with 2 endogenous variables. I also
> have two instruments. However, I am not totally sure how we can test
> for endogeneity in this situation.
>
> I know that Wooldridge (2002) in Section 19.5.1 outlines a two-step
> approach for testing endogeneity with one endogenous variable.
> According to that approach, we need to calculate the residual from OLS
> in the first stage and include it in the original model. Can we
> extend it to two endogenous variables -- calculate two residuals
> (include all exogenous variables and two instruments in each OLS) and
> estimate the original Poisson/negative binomial model with the
> residuals.
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