Consider the regression model yi = β1 + β2x2i + β3x3i + ei is known that X2i: is exogenous. It is suspected that :r may be endogenous. Data on another variable ; is available. It is known that zt; is correlated with X3i, and is uncorreleated with Using data from this file, test the null hypothesis that x3i is exogenous using a 1% significance level.
To get full marks for this question, you will need to construct a t-statistic from an auxiliary regression that you estimate by OLS, and be able to use Gretl to automatically generate a x2 statistic as part of an estimation routine.
(a) Enter the t-statistic that you calculated 'manually for the test in the box below (rounded to 3 decimal places).
(b) Enter the x2 statistic that Gretl generates for this test in the box below (rounded to 3 decimal places).
(c) Using the 'statistic, do you have evidence that X2, is endogenous?