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

Christopher Baum () and Steven Stillman ()

Statistical Software Components from Boston College Department of Economics

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.

Language: Stata
Requires: Stata version 7.0
Keywords: instrumental variables; panel data; specification tests; exogeneity (search for similar items in EconPapers)
Date: 1999-12-14, Revised 2003-06-18
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.

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/d/dmexogxt.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/d/dmexogxt.hlp help file (text/plain)

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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:s401103

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