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st: RE: Instrumental variables
Philio,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of
> [email protected]
> Sent: Friday, September 11, 2009 11:13 AM
> To: [email protected]
> Subject: st: Instrumental variables
>
> Dear all,
> i habe a panel data set. One variable was suspected to be
> endogenous and this was proven by Davidson and macKinnon test
> and a hausman test of endogeneity. Therefore I used
> instrumental variables. Random effects specification was
> preferred by hausman test.
>
> Now my questions:
> 1. I used dmexogxt for the Davidson and macKinnon test and
> xtivreg2 for Anderson and Sargan test of validity of the
> instruments, but both work only for fixed effects. Are there
> commands for random effects too? Or can infer from them also
> for the random effects model?
You should get rid of -dmexogxt- and switch to -xtoverid-. It supports overidentification tests after random effects estimation with -xtivreg- and -xtreg-.
--Mark
> 2. I tested for serial correlation using xtserial for the
> regression without instruments. Is there a way to test for
> autocorrelation when instrumental variables are present? Is
> there a way to combine the xtregar command with instrumental
> variables?
> 3. One variable enters as INCOME/PRICE. How can I tell Stata
> to use Instrumental variables for PRICE and then to divide
> Income by Price?
>
> Thank you for any comments!
> Philio
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