Tuesday, January 03, 2006

Re: st: ivendog and robust errors

Tinna,

> Dear Statalisters, > > Why doesn't -ivendog- (Hausman tests) work after two stage estimations > with robust errors?

Because the test statistic isn't robust. If you want a robust test statistic for endogeneity, you can use the -orthog- option of -ivreg2-.

Hope this helps.

Cheers, Mark

> Thanks > Tinna > > * > * 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 +44-131-451-3294 email: m.e.schaffer@hw.ac.uk web: http://www.sml.hw.ac.uk/ecomes

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* * 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/


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