Re: st: re: xtivreg

[W Zang <W.L.Zang@Bradford.ac.uk>]

Dear Kit

Thank you very much for your previous reply. I have another question  
and wonder if you could help me please. Before estimating the two  
simultaneous equations, I did the endogeneity test of y2.
xtivreg2 y1 (y2 = x4 x5) x1 x2 x3, fe endog (y2)

I also performed Durbin-Wu-Hausman test.
ivreg2 y1 (y2 = x4 x5) x1 x2 x3
ivendog (y2)

I got two different results. y2 is proved to be exogeneous in the  
first case and y2 is endogenous in the second case. Did I do something  
wrong? Which test should I follow?

Best Wishes,

Linda

> Quoting Kit Baum <baum@bc.edu>:
>
> > <>
> > Linda said
> >
> > I am trying to use xtivreg to estimate two-stage least squares
> > simultaneous equations. I have two endogenous variables Y1 and Y2. Y1
> > and Y2 are affected by different exogenous variables. Y1 is affected
> > by X1, X2, X3 and Y2 is affected by X1, X4, X5.
> >
> > Y1 = a0 + a1*Y2 + a2*X1 + a3*X2 + a4*X3
> > Y2 = b0 + b1*Y1 + b2*X1 + b3*X4 + b4*X5
> >
> >
> > xtivreg y1 (y2 = x4 x5) x1 x2 x3, fe
> > xtivreg y2 (y1 = x2 x3) x1 x4 x5, fe
> >
> > The syntax is the same as it would be for a non-panel IV estimator.  
> > Just list the variables excluded from each equation within the  
> > parenthesized expression.
> >
> > Kit Baum   |   Boston College Economics & DIW Berlin   |    
> > http://ideas.repec.org/e/pba1.html
> >                              An Introduction to Stata Programming   
> > |   http://www.stata-press.com/books/isp.html
> >   An Introduction to Modern Econometrics Using Stata  |    
> > http://www.stata-press.com/books/imeus.html
> >
> >
> > *
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>
>
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