Hello..i am stata 14 user. I have to run "The Wooldridge Test for Strict Exogeneity", kindly share me the command for it and guide me on how to perform this test.Thank you.
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xtset id year xtreg y d2 ... d(T-1) dT x1 ... xK w1 ... wJ, fe vce(cluster) xtreg y d2 ... d(T-1) x1 ... xK w1 ... wJ F.w1 ... F.wJ, fe vce(cluster) test F.w1 F.w2 ... F.wJ
xtreg TOBINSQ_w YEAR2 YEAR3 YEAR4 YEAR5 YEAR6 YEAR7 YEAR8 YEAR9 YEAR10 ESGSCORE SIZE_w LEV_w ROA_w , fe vce(r)
xtreg TOBINSQ_w YEAR2 YEAR3 YEAR4 YEAR5 YEAR6 YEAR7 YEAR8 YEAR9 ESGSCORE SIZE_w LEV_w ROA_w F.ESGSCORE F.SIZE_w F.LEV_w F.ROA_w , fe vce(r)
test F.ESGSCORE F.SIZE_w F.LEV_w F.ROA_w ( 1) F.ESGSCORE = 0 ( 2) F.SIZE_w = 0 ( 3) F.LEV_w = 0 ( 4) F.ROA_w = 0 F( 4, 624) = 26.71 Prob > F = 0.0000
xtreg TOBINSQ_w YEAR2 YEAR3 YEAR4 YEAR5 YEAR6 YEAR7 YEAR8 YEAR9 YEAR10 ESGSCORE SIZE_w LEV_w ROA_w , fe vce(r)
xtreg TOBINSQ_w YEAR2 YEAR3 YEAR4 YEAR5 YEAR6 YEAR7 YEAR8 YEAR9 ESGSCORE SIZE_w LEV_w ROA_w F.ESGSCORE F.SIZE_w F.LEV_w F.ROA_w , fe vce(r)
test F.ESGSCORE F.SIZE_w F.LEV_w F.ROA_w ( 1) F.ESGSCORE = 0 ( 2) F.SIZE_w = 0 ( 3) F.LEV_w = 0 ( 4) F.ROA_w = 0 F( 4, 624) = 26.71 Prob > F = 0.0000
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