就是hausman检验证明没有内生性,因此不需要使用IV,可以直接OLS。
顺手从小猫那里偷点东西过来。
Y=B0+B1*X1+B2*X2+B3*X3+B4*X4+B5*X5+B6*X6+B7*X7+B8*X8+B9*X9+B10*X10+B11*X11+B12*X12+B13*X13+B14*Z+e1
There is a potential for endogeneity for Z.
Therefore Z=a0+a1*X14+a2*X15+a3*X16+e2
Z is endogeneity variable, X14,X15 and X16 are instrument variables.
方法一:
reg Z X14 X15 X16
predict Zhat,(in order to get the predicted value of instrumenting equation)
predict u, res ( in order to get residual of instrumenting equation)
reg Y X1 X2 X3 X4 X5 X6 X7 X8 X9 X10 X11 X12 X13 Zhat u
test u
方法二:
reg z X1 X2 X3 X4 X5 X6 X7 X8 X9 X10 X11 X12 X13 X14 X15 X16
predict u, res
reg y X1 X2 X3 X4 X5 X6 X7 X8 X9 X10 X11 X12 X13 u
test u
本文来自: 人大经济论坛 详细出处参考:
http://www.pinggu.org/bbs/viewthread.php?tid=382611&page=1&from^^uid=18739