st: xtivreg2 Random Effects and Durbin Wu Hausman

[Steven Archambault <archstevej@gmail.com>]

Hi all,

I have been playing around with testing for endogeneity in panel
regression models. Some of the methods discussed by Baum  (Intro. to
Econometrics Using Stata) to calculate DWH do not work with panel
data, and more so with Random Effects models. So, would it make sense
to use the following to calculate a DW F-statistic? What other methods
could be used?


xtreg policy instrument1 instrument2 gdp trade year, re robust;
predict policy_res, e;
xtreg invest policy trade gdp  year policy_res, re robust;
test policy_res;


Thanks,
Steve
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