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


  • Christopher F Baum

    () (Boston College)

  • Steven Stillman

    () (New Zealand Department of Labour)


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". Windows users should not attempt to download these files with a web browser.

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