Re: st: Re: IVPOIS: Endogeneity Test

[Joseph Monte <hmjc66@gmail.com>]

Hi Statalisters,

Austin,is it possible for you to build the exogeneity test into
-ivpois- as you promised to do below?

Is there a negative binomial equivalent of -ivpois- since I believe
-ivpois- pertains to a poisson regression while I am interested in
running a negative binomial regression in the instrumental variable
framework? Hence, I am referring to something on the lines of
-ivnbreg- (which does not exist at the moment). I have a case of
over-dispersion (mean of count variable = 79, variance of same count
variable = 2003), hence I believe that -ivpois- is not appropriate.

Thanks,

Joe



On Mon, Jan 14, 2008 at 3:24 PM, Austin Nichols <austinnichols@gmail.com> wrote:
> There is no such test built into -ivpois- (on SSC) though it would be
> trivial to add; I'll put it on my list.  An easy way to test by hand
> is to predict a residual in the first stage and test its significance
> in the second stage (see e.g. Wooldridge
> http://stata.com/bookstore/cspd.html pp.664-665).
>
> use http://fmwww.bc.edu/ec-p/data/wooldridge/card, clear
> loc x "exper* smsa* south mar black reg662-reg669"
> * ivpois wage `x', endog(educ) exog(nearc4)
> * test of exogeneity; under the null, test is correct
> reg educ `x' nearc4
> predict vhat, resid
> poisson wage `x' educ vhat
> test vhat
>
> BTW, I don't think you posted this successfully to Statalist, though
> the email is copied to statalist@hsphsun2.harvard.edu; are you
> subscribed?  Relying on any one specific Statalister to answer a
> question is a risky strategy at best....
>
> On Jan 12, 2008 11:30 AM, ippab <ippab.research@gmail.com> wrote:
>> Hi Austin,
>>
>> Is there anyway to test for endogeneity in IVPOIS?  How do we know whether
>> we should use the estimates from the original model (Poisson model) or from
>> IVPOIS?  I guess I am thinking of something like Hausman test or Wald test
>> of exogeneity.
>>
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