Wednesday, January 04, 2006

st: ivendog and robust errors

Tinna said

But doesn't -orthog- regard the exogeneity of the instruments themselves, where as I am interested in the exogeneity/endogeneity of the instrumentED variable?

The ivreg2 examples include

(Tests of exogeneity and endogeneity) (Test the exogeneity of 1 regressor)

. ivreg2 lw s expr tenure rns smsa _I* (iq=med kww age mrt), gmm orthog(s)

This is a test of whether s is properly considered exogenous (as this estimated equation specifies) versus endogenous.

Kit Baum, Boston College Economics

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