English, Article edition: DMEXOGXT: Stata module to test consistency of OLS vs XT-IV estimates Christopher F Baum; Steven Stillman

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Bookmark: http://trove.nla.gov.au/version/102921
Physical Description
  • code
Language
  • English

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Title
  • DMEXOGXT: Stata module to test consistency of OLS vs XT-IV estimates
Author
  • Christopher F Baum
  • Steven Stillman
Physical Description
  • code
Notes
  • 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.
  • instrumental variables, panel data, specification tests, exogeneity
  • RePEc:boc:bocode:s401103
Language
  • English
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