RE: st: St: interpret the result of Hausman test

["Hoang Dinh Quoc" <hoangdquoc@gmail.com>]

Thanks Anees,

I am still not quite sure about your suggestion.

The output of model OLS showed the suspected endogenous variable with
coefficient (.03589) and p-value (0.615); and model ivregress 2sls showed
the coefficient (.3302337) and p-value (0.025). 

My question is which model should I choose and do I have endogeneity
problem? 

Thanks,
Hoang Dinh Quoc


-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Muhammad Anees
Sent: Thursday, April 19, 2012 3:45 PM
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: St: interpret the result of Hausman test

Hi,

You can now easily select the model depending on the difference
between the estimated coefficient of (b) and (B) in the output, you
skipped. The p-value is self explanatory and suggest you can
accept/reject (check which one to go for) the null hypothesis of
Hausaman's test.

Hope this is good now,
Anees

On Thu, Apr 19, 2012 at 1:39 PM, Hoang Dinh Quoc <hoangdquoc@gmail.com>
wrote:
> Dear Prof. Antonakis,
>
> Thank you very much for your quick support.
>
> I followed your suggestion:
> "reg y x
> est store one
> ivregress 2sls y (x=z)
> est store two
> hausman one two"
>
> And I got this result:
>
> Test:  Ho:  difference in coefficients not systematic
>
>                  chi2(1) = (b-B)'[(V_b-V_B)^(-1)](b-B)
>                          =        3.31
>                Prob>chi2 =      0.0687
>                (V_b-V_B is not positive definite)
>
> With is result, can I conclude that no endogeneity problem?
>
> Thanks,
> Best,
> Hoang Dinh Quoc
>
>
>
> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of John Antonakis
> Sent: Thursday, April 19, 2012 3:23 PM
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: St: interpret the result of Hausman test
>
> Hi:
>
> I am not quite sure what you have done here.
>
> If you want to do this "by hand" do an augmented regression:
>
> http://www.stata.com/support/faqs/stat/endogeneity.html
>
> Else, use the -endog- option in the user-written program, ivreg2,
> available from ssc (i.e., ssc install ivreg2, replace), e.g. (for
> dependent variable y, endogenous regressor x, and instrument z):
>
> ivreg2 y (x = z), endog(x).
>
> Or do the usual hausman test via Stata, e.g.,
>
> reg y x
> est store one
> ivregress 2sls y (x=z)
> est store two
> hausman one two
>
> Finally, you can do this in the new Stata command, -sem- using maximum
> likelihood:
>
> sem (y<-x) (x<-z), cov(e.y*e.x)
>
> The test of the correlation between the disturbances is the Hausman
> test, as we explain in detail here:
>
> Antonakis, J., Bendahan, S., Jacquart, P., & Lalive, R. (2010). On
> making causal claims: A review and recommendations. The Leadership
> Quarterly, 21(6). 1086-1120.
> http://www.hec.unil.ch/jantonakis/Causal_Claims.pdf
>
> For more basic explanations see:
>
> Antonakis, J., Bendahan, S., Jacquart, P., & Lalive, R. (submitted).
> Causality and endogeneity: Problems and solutions. In D.V. Day (Ed.),
> The Oxford Handbook of Leadership and Organizations.
> http://www.hec.unil.ch/jantonakis/Causality_and_endogeneity_final.pdf
>
>
> HTH,
> J.
>
> __________________________________________
>
> Prof. John Antonakis
> Faculty of Business and Economics
> Department of Organizational Behavior
> University of Lausanne
> Internef #618
> CH-1015 Lausanne-Dorigny
> Switzerland
> Tel ++41 (0)21 692-3438
> Fax ++41 (0)21 692-3305
> http://www.hec.unil.ch/people/jantonakis
>
> Associate Editor
> The Leadership Quarterly
> __________________________________________
>
>
> On 19.04.2012 10:14, Hoang Dinh Quoc wrote:
>  > Dear Statalist members,
>  >
>  > I would like to ask you a question regarding the result of a Hausman
> test.
>  >
>  > My question is, with this result, if I conclude that I have no problem
of
>  > endogeneity; in other words, I have no endogenous variable?
>  >
>  > I followed these steps:
>  > 1. regress (OLS) to get a residual
>  > 2. predict weak_rest1
>  > 3. regress (OLS) using weak_rest1
>  > 4. regress 2sls using IV
>  >
>  > Here is the result of the t test of the residual:
>  > . test weak_res1
>  >
>  >  ( 1)  weak_res1 = 0
>  >
>  >        F(  1,   355) =    3.34
>  >             Prob > F =    0.0686
>  >
>  > With is result, can I conclude that no endogeneity problem?
>  >
>  > Thank you very much.
>  >
>  > Best regards,
>  > Hoang Dinh Quoc
>  >
>  >
>  >
>  >
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-- 

Best
---------------------------
Muhammad Anees
Assistant Professor/Programme Coordinator
COMSATS Institute of Information Technology
Attock 43600, Pakistan
http://www.aneconomist.com

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