How to test endogeneity.

[wutao9999]

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.

[mohamed_zaki]

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