re: st: AW: RE: ivreg2 or xtabond2 endogeneity of regressors

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

<>
Jan said

Yes, sorry, I was indeed talking about dynamic panel data estimation...
In the meantime I looked it up in the textbook you recommended and also in the xtabond2 documentation.
Thus, I can just test whether some variables might be endogenous if I assume the others are not, right?
I am not sure if you are familiar with the xtabond2 syntax, but maybe someone of the statalisters is.
In order to test if certain regressors can be treated as exogenous with the Difference-in-Hansen test, I think I just have to put each regressor in its own ivstyle option,
which will return the p-value of the test statistic distributed as chi2.
Assuming that the other regressors are specified correctly, if the test returns a p-value bigger than, say 0.2, exogeneity cannot be rejected. Is this the way to proceed?


Correct. Place each regressor or set of regressors in a separate gmmstyle() or ivstyle() block. That triggers the diff-Hansen tests, which work just like the endog() option in Baum-Schaffer-Stillman ivreg2 (in fact the xtabond2 code for those tests was adapted from that of ivreg2). 

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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