Programming the statistical procedures from SAS

How to test endogeneity.

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Contributor
Posts: 52

How to test endogeneity.

Is anybody know how to test endogeneity, i.e., the correlation among independent variables and model residuals in SAS procedures, such as REG and AUTOREG?  Thank you.

Super Contributor
Posts: 490

Re: How to test endogeneity.

Check this

DURBIN, HAUSMAN AND WU TEST FOR ENDOGENEITY

1. Estimate the first-stage model.

2. Include the first-stage residual in the structural model along with the endogenous X

3. Test for significance of the coefficient on residual

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