Re: [Gretl-users] Hauman test and endogeneity
The answer to your question to your question is a bit to complicated to set
out in an email. Have a look at Wooldridge (2010). Econometric Analysis of
Croos section and Panel Data, MIT Press, Section 10.2.2 on page 287. Given
stochastic y and x and unobserved effect c then the exogeneity condition is
E[y_{it}| x_{i1}, x_{i2},..., x_{iT}, c_i] = E[y_{it}| x_{it}, c_i] =
x_{it}\beta + c_i
i.e. once one adds the unobserved effect the requirement is that the
"exogeneity" should go if the fixed effects estimator is OK. At least this
is what I understand to be the case.
Best Regards
John
On 13 July 2011 20:53, Anutechia Asongu <simplice_peace(a)yahoo.com> wrote:
Hi All,
I understand Hausamn test is useful to test for endogeneity(though
of low power). In the presence of endogeneity, do panel fixed effect
regressions take account this problem (endogeneity)?. I saying so because I
understand from explanations in Grelts Users Guide that , panel fixed
effects regressions are based on the undelying assumption that variables are
correlated with the error term(endogeneity)?. Am I correct in my intuition?
Thanks
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John C Frain
Economics Department
Trinity College Dublin
Dublin 2
Ireland
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