Regressing residuals

[Adnan Habib]

Hi,
I have read somewhere online that after a fixed effect panel regression I can predict the residuals, square them and regress the residuals as dependent variable with all the other independent variable to check for endogeneity. Is this a reliable test? Can you provide any papers that have used this method? What other benefits can I get by regressing the residuals or squares of residuals with either independent or dependent variables?

[Phil Bromiley]

You'll increase your chances of a helpful answer by following the FAQ on asking questions - provide Stata code in code delimiters, readable Stata output, and sample data using dataex.

Stata offers endogeneity tests - you don't have to do it yourself. Also, xtivreg2 offers such tests. see also https://www.statalist.org/forums/for...est-panel-data