[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]
> Quoting Katarina Lynch <firstname.lastname@example.org>:
> > Dear Statalist,
> > I am trying to inroduce instrumental variables to fix the
> > endogeneity
> > problem caused by fixed and random effects regressions. How can I
> > determine
> > which independent variables are endogenous, i.e. correlated with the
> > error
> > term? I simply gave the command "pw resid var1 var2 var3 var4" and
> > it gave a
> > matrix where one of the variables showed a correlation with resid.
> That's not how you test for endogeneity. You want use either a Sargan-
> Hansen statistic or the Hausman approach (these are sometimes equivalent,
> depending on the application).
> > Does it
> > mean that this variable is endogenous or is there any other way? The
> > reason
> > I am asking this, perhaps, strange question is, in STATA7, the
> > xtabond
> > command requires predetermined variables in the sense that E(x,
> > error) is
> > nonzero.
> The Sargan(-Hansen) stat at the bottom of the xtabond output is a test of
> your orthogonality conditions, i.e., that your exogenous independent
> variables and instruments are indeed exogenous.
> Hope this helps.
> > Thank you,
> > Katarina
> > _________________________________________________________________
> > Immer für Sie da. MSN Hotmail. http://www.msn.de/email/webbased/
> > Jetzt
> > kostenlos anmelden und überall erreichbar sein!
> > *
> > * For searches and help try:
> > * http://www.stata.com/support/faqs/res/findit.html
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
> Prof. Mark Schaffer
> Director, CERT
> Department of Economics
> School of Management & Languages
> Heriot-Watt University, Edinburgh EH14 4AS
> tel +44-131-451-3494 / fax +44-131-451-3008
> email: email@example.com
> web: http://www.sml.hw.ac.uk/ecomes
> This e-mail and any files transmitted with it are confidential
> and intended solely for the use of the individual or entity to
> whom it is addressed. If you are not the intended recipient
> you are prohibited from using any of the information contained
> in this e-mail. In such a case, please destroy all copies in
> your possession and notify the sender by reply e-mail. Heriot
> Watt University does not accept liability or responsibility
> for changes made to this e-mail after it was sent, or for
> viruses transmitted through this e-mail. Opinions, comments,
> conclusions and other information in this e-mail that do not
> relate to the official business of Heriot Watt University are
> not endorsed by it.
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
Libero ADSL: navighi gratis a 1.2 Mega, senza canone e costi di attivazione.
Abbonati subito su http://www.libero.it
* For searches and help try: