Testing endogeneity in Stata
Good night! I have a doubt and I would be very thankful if you could help me out.
I am estimating a model (panel data) where my Y is the stock_index and I have 6 explanatory variables. When testing endogeneity, I needed to use an instrument for that (is the only way, right?). For every endogenous variable, I found an instrument where F>10. This is one example of what I did for each variable:
reg stock_index pop_dis gdp yield hours_worked gov_trust pop_educ, robust
reg pop_dis secur gdp yield hours_worked gov_trust pop_educ, robust
predict vhat6, xb
reg stock_index vhat6 gdp yield hours_worked gov_trust pop_educ, robust
test vhat6=0
My question is, after doing this for every variable, which command do I use to put it all together in a regression? I tested something like: "reg stock_index vhat gdp vhat3 vhat4 vhat5 vhat6, robust" but a friend told me that´s not the correct formula (but also didn´t know the correct one).
Can you help me, please?
I am estimating a model (panel data) where my Y is the stock_index and I have 6 explanatory variables. When testing endogeneity, I needed to use an instrument for that (is the only way, right?). For every endogenous variable, I found an instrument where F>10. This is one example of what I did for each variable:
reg stock_index pop_dis gdp yield hours_worked gov_trust pop_educ, robust
reg pop_dis secur gdp yield hours_worked gov_trust pop_educ, robust
predict vhat6, xb
reg stock_index vhat6 gdp yield hours_worked gov_trust pop_educ, robust
test vhat6=0
My question is, after doing this for every variable, which command do I use to put it all together in a regression? I tested something like: "reg stock_index vhat gdp vhat3 vhat4 vhat5 vhat6, robust" but a friend told me that´s not the correct formula (but also didn´t know the correct one).
Can you help me, please?
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