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.