Hello everyone,
I am now running a two level regression model. Level-1 model is: y=beta_0+beta_1*x1+beta_2*x2+beta_3*x3+error: level-2 model: beta_0=alpha_0+alpha_1*z1+alpha_2*z2+alpha_3*z3. Now I am considering z1 is an endogenous variable, then I find an instrument variable m1. So, in this model, first, how I can test whether this model has endogeneity problem? (Hausman test is only for the regular linear regression model, right? Can't be used here.) If there is an endogeneity problem, how can I address it using the instrument variable? What command I should use? Thanks very much for your guidance
I am now running a two level regression model. Level-1 model is: y=beta_0+beta_1*x1+beta_2*x2+beta_3*x3+error: level-2 model: beta_0=alpha_0+alpha_1*z1+alpha_2*z2+alpha_3*z3. Now I am considering z1 is an endogenous variable, then I find an instrument variable m1. So, in this model, first, how I can test whether this model has endogeneity problem? (Hausman test is only for the regular linear regression model, right? Can't be used here.) If there is an endogeneity problem, how can I address it using the instrument variable? What command I should use? Thanks very much for your guidance
