Thanks a lot Austin!
On Wed, Nov 12, 2008 at 12:54 PM, Austin Nichols
<[email protected]> wrote:
> 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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