Dear Prof Sebasian
In my research model i have used system GMM (using xtdpgmm command) since the dependent variable in my study can be influenced by its past values, there exists heteroskedasticity and autocorrelation issue. Further, few of the explanotory variables are also influenced by unobserved factors and have a reverse causality effect on my dependent variable.
I would like to know that besides the post estimation tests of Arellano & Bond and Sargan-Hansen, do we also need to perform endogeneity test (Durbin-Wu-Hausman Test).
Thank You.
In my research model i have used system GMM (using xtdpgmm command) since the dependent variable in my study can be influenced by its past values, there exists heteroskedasticity and autocorrelation issue. Further, few of the explanotory variables are also influenced by unobserved factors and have a reverse causality effect on my dependent variable.
I would like to know that besides the post estimation tests of Arellano & Bond and Sargan-Hansen, do we also need to perform endogeneity test (Durbin-Wu-Hausman Test).
Thank You.
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