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DMEXOGXT: Stata module to test consistency of OLS vs XT-IV estimates

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Author Info

  • Christopher F Baum

    ()
    (Boston College)

  • Steven Stillman

    ()
    (New Zealand Department of Labour)

Abstract

dmexogxt computes a test of exogeneity for a panel regression estimated via instrumental variables, the null hypothesis for which states that an ordinary least squares (OLS) estimator of the same equation would yield consistent estimates. A rejection of the null indicates that endogenous regressors' effects on the estimates are meaningful. Davidson and MacKinnon demonstrate that this test, which is similar to the (Durbin-Wu-)Hausman test in this context, will always yield a computable test statistic, whereas the Hausman test, depending on the difference of estimated covariance matrices being a positive definite matrix, often cannot be computed by standard matrix inverse methods.

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File URL: http://fmwww.bc.edu/repec/bocode/d/dmexogxt.ado
File Function: program code
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File URL: http://fmwww.bc.edu/repec/bocode/d/dmexogxt.hlp
File Function: help file
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Bibliographic Info

Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S401103.

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Programming language: Stata
Requires: Stata version 7.0
Date of creation: 14 Dec 1999
Date of revision: 18 Jun 2003
Handle: RePEc:boc:bocode:s401103

Note: This module may be installed from within Stata by typing "ssc install dmexogxt". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC

Order Information:
Web: http://repec.org/docs/ssc.php

Related research

Keywords: instrumental variables; panel data; specification tests; exogeneity;

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