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