Hello,
I am using the Hausman-Taylor IV estimator (xthtaylor). The command requires me to specify which independent variables are endogenous in the model, i.e., those which are correlated with the unobserved heterogeneity. Previous studies explain they have been able to identify whether each independent variable is endogenous through using fixed effects models with the Hausman test. I'm aware that the Hausman test can be used to identify whether a fixed effects model or random effects model should be used, but how can it be used to identify the endogeneity of each independent variable?
(I am using Stata/BE 17.0)
I am using the Hausman-Taylor IV estimator (xthtaylor). The command requires me to specify which independent variables are endogenous in the model, i.e., those which are correlated with the unobserved heterogeneity. Previous studies explain they have been able to identify whether each independent variable is endogenous through using fixed effects models with the Hausman test. I'm aware that the Hausman test can be used to identify whether a fixed effects model or random effects model should be used, but how can it be used to identify the endogeneity of each independent variable?
(I am using Stata/BE 17.0)
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