ivregress 2sls not endogenous in original model

[Donovan Pollack]

Hello,

Perhaps this is too obvious of a question, but when running the 2sls command on my model I get this error " [my vars] not endogenous in original model". I take this to mean that Stata does not believe endogeneity is an issue in my OLS regression?

Is this what Stata means?

thanks!

Donovan

[William Lisowski]

Actually, the question is not at all obvious, since you haven't shown us the commands you have run and the output you have received.

After a text search to find your error message in Stata's ado files, it appears to me that you have run ivregress 2sls and followed that with the estat endogenous command, from which you received the error message.

The error message seems likely to be an attempt by estat endogenous to tell you that on the command you specified a variable name that was not in fact included as an endogenous variable in the ivregress 2sls command that preceded the estat endogenous command.

Here are examples of functioning and nonfunctioning tests of endogenity based on the examples in help ivregress postestimation.

. webuse hsng2
(1980 Census housing data)

. ivregress 2sls rent pcturban (hsngval = faminc i.region)

Instrumental variables (2SLS) regression          Number of obs   =         50
                                                  Wald chi2(2)    =      90.76
                                                  Prob > chi2     =     0.0000
                                                  R-squared       =     0.5989
                                                  Root MSE        =     22.166

------------------------------------------------------------------------------
        rent |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-------------+----------------------------------------------------------------
     hsngval |   .0022398   .0003284     6.82   0.000     .0015961    .0028836
    pcturban |    .081516   .2987652     0.27   0.785     -.504053     .667085
       _cons |   120.7065   15.22839     7.93   0.000     90.85942    150.5536
------------------------------------------------------------------------------
Instrumented:  hsngval
Instruments:   pcturban faminc 2.region 3.region 4.region

. estat endogenous

  Tests of endogeneity
  Ho: variables are exogenous

  Durbin (score) chi2(1)          =  12.8473  (p = 0.0003)
  Wu-Hausman F(1,46)              =  15.9067  (p = 0.0002)

. estat endogenous faminc
faminc not endogenous in original model
r(498);

[Donovan Pollack]

very helpful thank you