Durbin-Wu-Hausman test

[Ale Zapata]

Dear All,

I have a question about Durbin-Wu-Hausman test. By going through old FAQ about this test some questioons came up. First of all, I am trying to test whether my independent variable (agricultural export) is endogenous. What i did, I run a first regression when agricultural export was the independent variable. In this regressions I used the other control variables of the main regression plus other variables. After that, I collect the residual and I insert in the main equation(with agricultural export left out). I did not assume any IVs. Is my approach correct? Thank you a lot before hand

[Jeff Wooldridge]

That's not the correct way to implement the test. It's best to use Stata's built in commands. Start with -ivregress- and then use -estate endog-. With cross-sectional data,

ivregress 2sls y (export z1 ... zM) x1 ... xK, vce(robust)
estat endog

If you're using panel data and fixed effects IV, it's trickier but can be done pretty easily.

[Minhaj uddin]

Hello, Professor Jeff Wooldridge, could you please provide the panel data alternative for the above command? The existing posts on this issue are a bit confusing and since my background is not in econometrics, I found it hard to understand. I am using a dynamic panel data model (GMM) in my analysis involving various explanatory variables. In literature, people have classified variables as endogenous and exogenous without statistical support. So, can I use the Durbin-Wu-Hausman test to classify my explanatory variables into the above two categories?