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

Author

Listed:
  • Christopher F Baum

    (Boston College)

  • Steven Stillman

    (New Zealand Department of Labour)

Programming Language

Stata

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.

Suggested Citation

  • Christopher F Baum & Steven Stillman, 1999. "DMEXOGXT: Stata module to test consistency of OLS vs XT-IV estimates," Statistical Software Components S401103, Boston College Department of Economics, revised 18 Jun 2003.
    • Handle: RePEc:boc:bocode:s401103
    Note: This module may be installed from within Stata by typing "ssc install dmexogxt". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/d/dmexogxt.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/d/dmexogxt.hlp
    File Function: help file
    Download Restriction: no
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    Citations

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    Cited by:

    1. Henrique Monteiro, 2010. "Residential Water Demand in Portugal: checking for efficiency-based justifications for increasing block tariffs," Working Papers Series 1 ercwp0110, ISCTE-IUL, Business Research Unit (BRU-IUL).
    2. Guerriero, Marta & Sen, Kunal, 2012. "What Determines the Share of Labour in National Income? A Cross-Country Analysis," IZA Discussion Papers 6643, Institute of Labor Economics (IZA).
    3. Gilbert Cette & Samuel Chang & Maty Konte, 2011. "The decreasing returns on working time: an empirical analysis on panel country data," Applied Economics Letters, Taylor & Francis Journals, vol. 18(17), pages 1677-1682.

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