Hi there,

I was wondering something. I have panel data and need to check the strict exogeneity assumption of a fixed effects model (idiosyncratic error term is uncorrelated with variable of interest).

I was wondering if there is a way to check this in Stata. Also, I'm looking at results of a study and was wondering if you could say something about this assumption from those results. Just to get a better understanding of the model and the what the assumption actually entails.

The study checks whether sport participation and/or club participation (both dummy variables) influence the test score of students in high school. T = 3.

Column 1 (4) is the base model. Column 2 (5) add some time-varying variables that could be correlated with both participation and test score. In column 3 (6) even more time-varying variables are added.

In the article they say that it's likely the strict exogeneity assumption holds, since adding the time-varying variables doesn't change the coefficients of sport participation and club participation much and remain significant. Therefore, it's likely that other time-varying variables don't matter as well, and hence there is no endogeneity.

However, I was wondering if you could really state that. Some coefficients of these time-varying variables are significant. In addition, the coefficient of club participation changes quite a lot (in my opinion) from column 1 to column 3.

Sorry for the long story. I hope everything is clear. In short, I have 2 questions:

1. Is there a way to test the strict exogeneity assumption in Stata?

2. Is it possible to say something about the strict exogeneity assumption in results like these below?

Thank you in advance (:

I was wondering something. I have panel data and need to check the strict exogeneity assumption of a fixed effects model (idiosyncratic error term is uncorrelated with variable of interest).

I was wondering if there is a way to check this in Stata. Also, I'm looking at results of a study and was wondering if you could say something about this assumption from those results. Just to get a better understanding of the model and the what the assumption actually entails.

The study checks whether sport participation and/or club participation (both dummy variables) influence the test score of students in high school. T = 3.

Column 1 (4) is the base model. Column 2 (5) add some time-varying variables that could be correlated with both participation and test score. In column 3 (6) even more time-varying variables are added.

In the article they say that it's likely the strict exogeneity assumption holds, since adding the time-varying variables doesn't change the coefficients of sport participation and club participation much and remain significant. Therefore, it's likely that other time-varying variables don't matter as well, and hence there is no endogeneity.

However, I was wondering if you could really state that. Some coefficients of these time-varying variables are significant. In addition, the coefficient of club participation changes quite a lot (in my opinion) from column 1 to column 3.

Sorry for the long story. I hope everything is clear. In short, I have 2 questions:

1. Is there a way to test the strict exogeneity assumption in Stata?

2. Is it possible to say something about the strict exogeneity assumption in results like these below?

Thank you in advance (:

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