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
>
>
>
> _______________________________________________
> Gretl-users mailing list
> Gretl-users(a)lists.wfu.edu
> http://lists.wfu.edu/mailman/listinfo/gretl-users
>
--
John C Frain
Economics Department
Trinity College Dublin
Dublin 2
Ireland
www.tcd.ie/Economics/staff/frainj/home.html
mailto:frainj(a)tcd.ie
mailto:frainj(a)gmail.com
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 isE[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 <[email protected]> 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
_______________________________________________
Gretl-users mailing list
[email protected]
http://lists.wfu.edu/mailman/listinfo/gretl-users
--
John C Frain
Economics Department
Trinity College Dublin
Dublin 2
Ireland
www.tcd.ie/Economics/staff/frainj/home.html
mailto:[email protected]
mailto:[email protected]
