Unrestricted Test Equation in omitted variables test question

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eljayski
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Joined: Mon Jan 20, 2014 11:12 am

Unrestricted Test Equation in omitted variables test question

Postby eljayski » Mon Jun 17, 2019 12:02 pm

What is the purpose of this output? Is it for comparison with the initial estimate?

I'm estimating a model without a probable "necessary" regressor because of endogeneity concerns--I have no good instrumental variable to use for simultaneous estimation. My way forward seems to be to acknowledge the omitted variable and assess its impact.

The F test rejects the null that the omitted variable is not significant.

The Unrestricted Test Equation estimate resembles the output from my original estimate (without the endogenous variable) in terms of p-values and coefficient signs. This strikes me as a good thing but I need to know what I'm talking about for a journal submission.

Thank you for help! eljayski

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