Wednesday, January 04, 2006

Re: st: ivendog and robust errors

But doesn't -orthog- regard the exogeneity of the instruments themselves, where as I am interested in the exogeneity/endogeneity of the instrumentED variable? Do I have this all wrong in my head? Tinna

On 1/3/06, Mark Schaffer <M.E.Schaffer@hw.ac.uk> wrote: > 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 > > > > __________________________________________________________________ > > DISCLAIMER: > > This e-mail message is subject to http://www.hw.ac.uk/disclaim.htm > __________________________________________________________________ > > * > * 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/ >

* * 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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