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.
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