DMEXOGXT: Stata module to test consistency of OLS vs XT-IV estimates
Abstractdmexogxt 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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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number S401103.
Programming language: Stata
Requires: Stata version 7.0
Date of creation: 14 Dec 1999
Date of revision: 18 Jun 2003
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
Web page: http://fmwww.bc.edu/EC/
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