Fama MacBeth and endogeneity

[Yousef Kaddoura]

Hello my question is brief this time,

Is it possible to test for endogeneity when using "xtfmb" Fama MacBeth regression?

Regards,

[Phil Bromiley]

You'll increase your chances of a useful answer by following the FAQ on asking questions - provide Stata code in code delimiters, readable Stata output (fixed spacing fonts help), and sample data using dataex. Remember, we're not necessarily from your area.

User written programs like xtfmb do whatever they say they do. If it doesn't say it does endogeneity tests, then it doesn't.