Dear all,
as far as I know, endogeneity exists when the independent variable is correlated with the error term. This brings us to my first question: How do I find this out in panel data?
The second question relates to the procedure for testing whether the instrumental variables chosen to treat endogeneity are exogenous and correlated with the independent variable. In a non-panel data based dataset, I would calculate "ivregress 2sls, vce(robust) first". If the F-value is greater than 10, the instrumental variables would be sufficiently strong. Following this, I would calculate "estat overid". With a value of p<0,05 I have to define new instrumental variables. With a value of p>0,05 I can continue with the command "estat endogenous". Here, if p>0,05 I continue with the edogenicity model, otherwise I take my original model. So far I think I have understood everything. But I have panel data, thus I have to change the command "ivregress 2sls, vce(robust) first" to "xtivreg, fe vce(robust) first". However, Stata (14.2) then tells me that "estat overid" is not valid. How can I apply the above procedure to panel data?
Thanks a lot for your help!
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