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st: RE: estat endogenous after gmm
From
"Schaffer, Mark E" <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: RE: estat endogenous after gmm
Date
Mon, 17 Mar 2014 10:58:57 +0000
Anat,
> -----Original Message-----
> From: [email protected] [mailto:owner-
> [email protected]] On Behalf Of Anat (Manes) Tchetchik
> Sent: 17 March 2014 10:16
> To: [email protected]
> Subject: st: estat endogenous after gmm
>
> Dear all,
> I'm using Stats 13.0. I have ran gmm estimation of two simultaneous
> eqns. with Poisson specification and several endogenous vars., the
> estat overid works, but the estat endogenous followed by the list of
> endogenous vars. is not recognized.
> Any ideas how can I test for the endogeneity of the variables in question?
You should be able to do a GMM distance test by hand. In your original spec, the variables are treated as endogenous. In the 2nd spec, the variables are treated as exogenous (and nothing else changes, so keep all your exogenous vars and instruments). The difference between the two J statistics is your endogeneity test.
--Mark
> Best,
> Anat
>
> Anat Tchetchik, PhD
> Department of Business Administration
> Guilford Glazer Faculty of Business and Management
> Ben-Gurion University of the Negev
> P.O.Box: 653
> Beer-Sheva, Israel, 84105
> http://in.bgu.ac.il/fom/BusinessDep/Pages/staff/ANAT-TCHETCHIK.aspx
> http://www.spreeproject.com/researchers/
> E-mail: [email protected]
> Phone 972-(0)8-6479735
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