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  • U Test in Instrument Regression

    Dear Fellow members,

    I have a small question can I use U shape test also similar in IV regression than in simple OLS? Bewlo how I would use it (it is not simple IV but zeroth stage adjusted)

    reg pdiv_aa mdist_rescaled ${geovars} ${contall} ${ethfrac} ${ethpolr} if smpl_flag1 == 1, robust
    predict pdiv_aa_hat if smpl_flag1 == 1, xb
    gen pdiv_aa_hat_sqr = pdiv_aa_hat ^ 2
    ivreg2 mean_total_100 (pdiv_aa pdiv_aa_sqr = mdist_rescaled pdiv_aa_hat_sqr) ${geovars} ${contall} ${ethfrac} ${ethpolr} ${popsize} ${ypercap} if smpl_flag1 == 1, robust first savefirst
    utest pdiv_aa pdiv_aa_sqr

    Thanks in advance!!
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