Re: [Gretl-users] Testing the endogeneity of one or more regressors in a pooled OLS model?

Sven, Check out IV estimation with the 'tsls' command. May I make the Running the panel diagnostics informed me that Residual variance: 1.35107e+06/(822 - 60) = 1773.06 Joint significance of differing group means: F(46, 762) = -1.99828e-14 with p-value 1.79769e+308 (A low p-value counts against the null hypothesis that the pooled OLS model is adequate, in favor of the fixed effects alternative.) but neither is a fixed effects model, because I'm actually fitting this as a multilevel model, which -gretl-, of course, cannot yet do (no criticism intended; I can do all that in R). I can't properly run IV2SLS models in -gretl- because I only have one IV and the main model has 96 predictors, so it responds that I don't have enough instruments. But I only have _one_ variable in that 96 which I suspect of being endogenous. -gretl-, however, does not allow me to identify that variable as (potentially) endogenous. Taken on its own, that's not an issue: again, I can run an IV model to my satisfaction in R, but the point is _I don't know for sure that this variable *really is endogenous* unless I have a suitable variable or variables as candidates._ If it really is endogenous, then I have no option to abandon the multilevel approach and switch to IV in the hope I can get enough suitable instruments. If not, I can proceed with the multilevel approach. So, what to do in order to test the endogeneity of my regressor in a 'standard' model? -- Clive Nicholas "My colleagues in the social sciences talk a great deal about methodology. I prefer to call it style." -- Freeman J. Dyson