Re:st: Re: test for exogeneity

[Christopher Baum <kit.baum@bc.edu>]

<>
On Jul 25, 2010, at 2:33 AM, Jing wrote:

> i am going to test the endogeneity of x1 x2 x3 (all of them are might-be endogenous variables). what if not all the variables are endogenous? does that matter if i put all the three variables in the ()? e.g.
> 
> to test the endogeneity of x1: xtivreg2 dep (x1 x2 x3 = excluded instruments), fe endog(x1).
> 
> from your perspective, by doing so, i am testing x1 while treating both x2 and x3 as endogenous. if x2 or x3 is however exogenous, does this command still work well?

You can rerun the command using different combinations in the endog() option. Put all the x's in there, and you test whether you need IV at all. Put one or two in, and you're questioning whether they must be instrumented, while letting the other(s) stay endogenous. In all cases you are contrasting with the model where they all are endogenous, which if the model is specified correctly is consistent.

Kit



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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